Satın Alma Yöneticileri Endeksi (PMI) ile Finansal Piyasalar Arasındaki İlişki: Türkiye Örneği

Year 2024, Issue: 37, 497 - 506, 15.10.2024

Ahmet Tasdemir

https://doi.org/10.54600/igdirsosbilder.1520707

Abstract

Satın Alma Yöneticileri Endeksi (PMI), 40'tan fazla ülke için Tedarik Yönetimi Enstitüsü (ISM) tarafından oluşturulan aylık bir ekonomik faaliyet endeksidir Bu endeks, yeni satış siparişleri, çalışan istihdamı, tedarikçi siparişleri ve envanter düzeyleri ile ilgili sorulara yanıt veren atanmış yöneticiler arasında yürütülen anketlerden türetilmiştir. Literatürde Satın Alma Yöneticileri Endeksleri (PMI) ile finansal piyasalar arasındaki ilişkinin varlığına dair çeşitli kanıtlar sunulmakta, ve PMI gibi öncü göstergelerin önemine dikkat çekilmektedir. Bu noktadan hareketle gerçekleştirilen çalışma kapsamında ise; Pay piyasaları, Tahvil piyasaları ve Döviz piyasaları gibi Türkiye'deki bazı finansal piyasaların getirileri ile PMI arasındaki nedensellik ilişkisinin incelenmesi amaçlanmıştır. Çalışmada ele alınan Satın Alma Yöneticileri Endeksi, Pay piyasası, Tahvil piyasası ve Döviz piyasasını temsilen belirlenen değişkenlere ait 2015 ve 2024 yılları arasındaki aylık veriler elde edilerek analize tabi tutulmuş ve sonuçlar yorumlanmıştır. Sonuçlar PMI ile finansal piyasaların uzun dönemde eşbütüleşik bir ilişkiye sahip olduğunu gösterirken, gerçekleştirilen nedensellik testi sonuçları ise, sadece PMI’den döviz pıiyasalarına doğru bir nedenselliğin varlığına işaret etmektedir. Pay piyasaları ve Tahvil piyasaları için ise böyle bir nedensellik ilişkisi tespit edilememiştir.

Keywords

Finansal Piyasalar, PMI (Satın Alma Yöneticileri Endeksi), Pay senedi, Tahvil, Döviz, Nedensellik

The Relationship Between Purchasing Managers Index (PMI) and Financial Markets: Turkey Example

Abstract

The Purchasing Managers' Index (PMI) is a monthly economic activity index developed by the Institute for Supply Management (ISM) for over 40 countries. This index is derived from surveys conducted among designated managers who respond to questions regarding new sales orders, employee employment, supplier orders, and inventory levels. The literature provides various evidence for the existence of a relationship between Purchasing Managers' Indices (PMI) and financial markets, highlighting the significance of leading indicators such as the PMI. Building on this premise, the present study aims to examine the causal relationship between the returns of certain financial markets in Turkey, including the equity market, bond market, and foreign exchange market, and the PMI. Monthly data for the variables representing the Purchasing Managers' Index, equity market, bond market, and foreign exchange market were collected for the period between 2015 and 2024, and analyzed accordingly. The results indicate that there is a long-term cointegrated relationship between the PMI and the financial markets, while the findings from the causality tests suggest a causal relationship only from the PMI to the foreign exchange markets. No such causal relationship was identified for the equity and bond markets.

Keywords

Financial Markets, PMI (Purchasing Managers Index), Stocks, Bonds, Foreign Exchange, Causality

References

• Alsu, E., & Mandacı, P. E. (2020). Is Purchasing Managers’ Index (PMI) A Leading Indicator for Stock, Bond And Foreign Exchange Markets in Turkey?. Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi, 21(1), 219-233.
• Brenner, M., Pasquariello, P., & Subrahmanyam, M. (2009). On the volatility and comovement of US financial markets around macroeconomic news announcements. Journal of Financial and quantitative Analysis, 44(6), 1265-1289.
• Chien, Y., Morris, P. (2016). PMI and GDP: Do They Correlate for the United States? For China? Federal Reserve Bank of St. Louis Economic Research, 6.
• El Ouadghiri, I., Mignon, V., & Boitout, N. (2016). On the impact of macroeconomic news surprises on Treasury-bond returns. Annals of Finance, 12, 29-53.
• Engelberg, J. E., & Parsons, C. A. (2011). The causal impact of media in financial markets. the Journal of Finance, 66(1), 67-97.
• Erik, B., Lombardi, M. J., Mihaljek, D., & Shin, H. S. (2019). Financial conditions and purchasing managers’ indices: exploring the links. BIS Quarterly Review, September.
• Evans, K., & Speight, A. (2010). International macroeconomic announcements and intraday euro exchange rate volatility. Journal of the Japanese and international economies, 24(4), 552-568.
• Gajewski, P. (2014). Nowcasting quarterly GDP dynamics in the euro area: The role of sentiment indicators. Comparative economic research. Central and Eastern Europe, 17(2), 5-23.
• Harris, E. S. (1991). Tracking the economy with the purchasing managers index. Federal Reserve Bank.
• Hayo, B., & Kutan, A. M. (2005). The impact of news, oil prices, and global market developments on Russian financial markets 1. Economics of Transition, 13(2), 373-393.
• Hess, D., Huang, H., & Niessen, A. (2008). How do commodity futures respond to macroeconomic news?. Financial Markets and Portfolio Management, 22, 127-146.
• Iselin, D., & Siliverstovs, B. (2016). Using newspapers for tracking the business cycle: A comparative study for Germany and Switzerland. Applied Economics, 48(12), 1103-1118.
• Jayathilaka, R., Rathnayake, R., Jayathilake, B., Dharmasena, T., Bodinayake, D., & Kathriarachchi, D. (2023). Exploring the growth direction: the impact of exchange rate and purchasing managers index on economic growth in Sri Lanka. Quality & Quantity, 57(3), 2687-2703.
• Lahiri, K., & Monokroussos, G. (2013). Nowcasting US GDP: The role of ISM business surveys. International Journal of Forecasting, 29(4), 644-658.
• Kang, Q. (2021). Correlation analysis of stocks and PMI index based on logistic regression model. Journal of Sensors, 2021(1), 1089266.
• Kilinc, Z., Yucel, E. (2016). PMI Thresholds for GDP Growth. Munich Personal RePEc Archive Paper, 70929.
• Koenig, E. F. (2002). Using the purchasing managers’ index to assess the economy’s strength and the likely direction of monetary policy. Federal Reserve Bank of Dallas Economic and Financial Policy Review, 1(6), 1-14.
• Nazlioglu, S., Gormus, N. A., & Soytas, U. (2016), Oil prices and Real Estate Investment Trusts (REITs): Gradual-Shift Causality and Volatility Transmission Analysis. Energy Economics, 60, 168-175.
• Pelaez, R. F. (2003). A new index outperforms the purchasing managers' index. Quarterly Journal of Business and Economics, 41-55.
• Saleheen, F., & Habib, M. M. (2022). Constructing Performance Measurement Index for the Manufacturing Industry: An Empirical Study. Open Journal of Social Sciences, 10(3), 137-151.
• Sia, P. C., Leong, C. M., & Puah, C. H. (2023). Asymmetric effects of inflation rate changes on the stock market index: The case of Indonesia. Journal of International Studies, 16(1).
• Simpson, M. W., Ramchander, S., & Chaudhry, M. (2005). The impact of macroeconomic surprises on spot and forward foreign exchange markets. Journal of International Money and Finance, 24(5), 693-718.
• Sobko, R., & Klonowska-Matynia, M. (2021). The relationship between the Purchasing Managers’ Index (PMI) and economic growth: The case for Poland.
• Wang, Y., & Yang, X. (2018). Asymmetric response to PMI announcements in China's stock returns. arXiv preprint arXiv:1806.04347.
• Wei, Y., Bai, L., Yang, K., & Wei, G. (2021). Are industry‐level indicators more helpful to forecast industrial stock volatility? Evidence from Chinese manufacturing purchasing managers index. Journal of Forecasting, 40(1), 17-39.
• Yanik, R., Osman, A. B., & Ozturk, O. (2020). Impact of manufacturing PMI on stock market index: A study on Turkey. Journal of Administrative and Business Studies, 6(3), 104-108.