THE RELATION BETWEEN INFLATION UNCERTAINTY AND STOCK INDEX RETURNS AND VOLATILITY: EVIDENCE FROM TURKEY
Abstract
The aim of this study is to examine whether the presence of causal link between inflation rates and stock markets. In this context, inflation rates and stock returns series are estimated by using GARCH model and it is investigated the existence of causal link running from inflation uncertainty to stock market returns and volatility by means of causality in variance test. Empirical results suggest that causality relation between inflation uncertainty and stock market has varied due to different sample periods. Specifically, we find that the causal link running from inflation uncertainty to stock market returns and volatility in the financial crisis periods
Keywords
References
- Alexakis, P., Apergis, N. & Xanthakis E. (1996). Inflation volatility and stock prices:evidence from ARCH effects. International Advances in Economic Research, 2(2), 101-111.
- Amihud, Y. (1996). Unexpected inflation and stock returns revisited-evidence from Israel. Journal of Money, Credit and Banking, 28(1), 22-33.
- Artan, S. (2006). Türkiye’de enflasyon, enflasyon belirsizliği ve büyüme. Türkiye Ekonomi Kurumu, Tartışma metni 2006/14. Erişim Tarihi: 20.02.2016, http://www.tek.org.tr/dosyalar/ artanseyfettin.pdf
- Azar, Samih A. (2013). The spurious relation between inflation uncertainty and stock returns: evidence from the U.S.. Review of Economics & Finance. 3, 99-109.
- Azar, Samih A. (2014). The determinants of US stock market returns. Open Economics and Management Journal, 1, 1-13.
- Bağcı, H. (1990). Enflasyon ve Endeksleme. Sermaye Piyasası Kurulu Denetleme Dairesi Araştırma Raporu (Yeterlik Etüdü), Ocak, Ankara.
- Bhar, R. (2010). Inflation uncertainty and stock return: a reassessment of macroeconomic time series. International Review of Applied Financial Issues and Economics, 2(3), 416-427.
- Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327.
- Cheung, Y. W. & Ng, L. K. (1996). A causality-in-variance test and its application to financial market prices. Journal of Econometrics, 72, 33-48.
- Dickey, D. A. & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, 427–431.
- Hong, Y. (2001). A test for volatility spillover with application to exchange rates. Journal of Econometrics. 103, 183–224.
- Hu, X. & Willett T. D. (2000). The Variability of inflation and real stock returns. Applied Financial Economics, 10(6), 655-665.
- Jung, C., Shambora W. & Choi K. (2007). The Relationship between stock returns and inflation in four european markets. Applied Economics Letters, 14(8), 555-557.
- Korkmaz, T. & Ceylan A. (2015). Sermaye Piyasası ve Menkul Değer Analizi. 7. Baskı, Bursa: Ekin Kitabevi.
- Lee, K. (1999). Unexpected inflation, inflation uncertainty, and stock returns. Applied Financial Economics, 9(4), 315-328.
- Mantalos, P. & Shukur, G. (2010). The effect of spillover on the Granger causality test. Journal of Applied Statistics, 37, 1473–1486.
- Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: a new approach. Econometrica, 59, 347–370.
- Phillips, P. C. B. & Perron, P. (1988). Testing for a unit root in time series regression, Biometrika 75, 335–346.
- Teziş, F. (1987). Pay senedi yatırımlarında risk türleri. Para ve Sermaye Piyasası
- Dergisi, 9(98), Nisan.
Year 2016,
ICAFR 16 Özel Sayısı, 159 - 172, 01.10.2016
Abstract
Bu çalışmanın amacı, enflasyon oranları ile pay senedi piyasası arasında nedensellik ilişkisi olup olmadığını araştırmaktır. Bu amaçla enflasyon oranları ve pay senedi getiri serileri GARCH model ile tahmin edilmiş ve varyansta nedensellik testi kullanılarak enflasyon belirsizliğinden pay senedi getirisi ve volatilitesine yönelik nedensellik ilişkileri araştırılmıştır. Elde edilen sonuçlara göre, enflasyon belirsizliği ile pay senedi piyasası arasındaki nedensellik ilişkisi dönemlere göre farklılık göstermektedir. Özellikle kriz dönemlerinde enflasyon belirsizliğinden pay senedi piyasasına yönelik nedensellik ilişkisi bulunmuştur.
References
- Alexakis, P., Apergis, N. & Xanthakis E. (1996). Inflation volatility and stock prices:evidence from ARCH effects. International Advances in Economic Research, 2(2), 101-111.
- Amihud, Y. (1996). Unexpected inflation and stock returns revisited-evidence from Israel. Journal of Money, Credit and Banking, 28(1), 22-33.
- Artan, S. (2006). Türkiye’de enflasyon, enflasyon belirsizliği ve büyüme. Türkiye Ekonomi Kurumu, Tartışma metni 2006/14. Erişim Tarihi: 20.02.2016, http://www.tek.org.tr/dosyalar/ artanseyfettin.pdf
- Azar, Samih A. (2013). The spurious relation between inflation uncertainty and stock returns: evidence from the U.S.. Review of Economics & Finance. 3, 99-109.
- Azar, Samih A. (2014). The determinants of US stock market returns. Open Economics and Management Journal, 1, 1-13.
- Bağcı, H. (1990). Enflasyon ve Endeksleme. Sermaye Piyasası Kurulu Denetleme Dairesi Araştırma Raporu (Yeterlik Etüdü), Ocak, Ankara.
- Bhar, R. (2010). Inflation uncertainty and stock return: a reassessment of macroeconomic time series. International Review of Applied Financial Issues and Economics, 2(3), 416-427.
- Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327.
- Cheung, Y. W. & Ng, L. K. (1996). A causality-in-variance test and its application to financial market prices. Journal of Econometrics, 72, 33-48.
- Dickey, D. A. & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, 427–431.
- Hong, Y. (2001). A test for volatility spillover with application to exchange rates. Journal of Econometrics. 103, 183–224.
- Hu, X. & Willett T. D. (2000). The Variability of inflation and real stock returns. Applied Financial Economics, 10(6), 655-665.
- Jung, C., Shambora W. & Choi K. (2007). The Relationship between stock returns and inflation in four european markets. Applied Economics Letters, 14(8), 555-557.
- Korkmaz, T. & Ceylan A. (2015). Sermaye Piyasası ve Menkul Değer Analizi. 7. Baskı, Bursa: Ekin Kitabevi.
- Lee, K. (1999). Unexpected inflation, inflation uncertainty, and stock returns. Applied Financial Economics, 9(4), 315-328.
- Mantalos, P. & Shukur, G. (2010). The effect of spillover on the Granger causality test. Journal of Applied Statistics, 37, 1473–1486.
- Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: a new approach. Econometrica, 59, 347–370.
- Phillips, P. C. B. & Perron, P. (1988). Testing for a unit root in time series regression, Biometrika 75, 335–346.
- Teziş, F. (1987). Pay senedi yatırımlarında risk türleri. Para ve Sermaye Piyasası
- Dergisi, 9(98), Nisan.
There are 20 citations in total.
Details
| Primary Language | Turkish |
|---|---|
| Journal Section | Research Article |
| Authors | |
| Publication Date | October 1, 2016 |
| Published in Issue | Year 2016 ICAFR 16 Özel Sayısı |