IS PURCHASING MANAGERS’ INDEX (PMI) A LEADING INDICATOR FOR STOCK, BOND AND FOREIGN EXCHANGE MARKETS IN TURKEY?

Year 2020, Volume: 21 Issue: 1, 219 - 233, 15.06.2020

Erkan Alsu Pınar Evrim Mandacı

https://doi.org/10.24889/ifede.605338

Cited By: 2

Abstract

The aim of this paper is to examine whether the PMI (Production
Managers’ Index) is a leading indicator for the returns of stock, bond and
foreign exchange markets in Turkey.  This
paper examines the causality relationship between PMI and stock, bond and
foreign exchange markets. We employ Toda Yamamoto (1995) and Fourier Toda Yamamoto (2016) causality tests
and data for the period spanning from December 2012 to
August 2018.  We find out the existence of unidirectional
causality from the PMI to all these Turkish financial markets -except Food and
Chemistry sub-sectors after the consideration of structural breaks. PMI is a leading indicator of foreign exchange, bond and stock markets,
save the stocks traded in Food and Chemistry sub-sectors.

Keywords

PMI (Production Managers’ Index), stock, bond and foreign exchange markets

PMI (ÜRETİM YÖNETİCİLERİ ENDEKSİ) TÜRKİYE'DE HİSSE SENEDİ, TAHVİL VE DÖVİZ PİYASALARININ GETİRİSİ İÇİN ÖNCÜ BİR GÖSTERGE MİDİR?

Abstract

Bu çalışmanın amacı, PMI'nın (Üretim Yöneticileri Endeksi) Türkiye'deki hisse senedi, tahvil ve döviz piyasalarının getirisi için öncü bir gösterge olup olmadığını incelemektir. Bu çalışma, PMI ile hisse senedi, bono ve döviz piyasaları arasındaki nedensellik ilişkisini araştırmaktadır. Bu çalışmada, Toda Yamamoto (1995) ve Fourier Toda Yamamoto (2016) nedensellik testleri kullanılmıştır. Çalışmada veri dönemi Aralık 2012 ile Ağustos 2018 arasını kapsamaktadır. Yapısal kırılmaların değerlendirilmesinden sonra Gıda ve Kimya alt sektörleri hariç, PMI'den tüm bu Türk finansal piyasalarına tek yönlü nedenselliğin varlığı tespit edilmiştir. PMI'nin döviz, tahvil ve Kimya-Gıda alt sektörlerinde işlem gören hisse senetlerinin öncü gösterge olduğu sonucuna varılmıştır. 

Keywords

PMI (Üretim Yöneticileri Endeksi), hisse senedi, tahvil ve döviz piyasaları

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