BIST 100, Döviz Kuru, Altın ve Petrol Fiyatları Arasındaki Etkileşimlerin Zaman ve Frekans Boyutunda Analizi

Year 2025, Volume: 10 Issue: 28, 638 - 663

Nuray Yüzbaşıoğlu

https://doi.org/10.25204/iktisad.1591691

Abstract

Bu çalışmada, Türkiye’nin BIST 100 endeksi, döviz kuru, altın ve petrol fiyatları arasındaki kısa, orta ve uzun vadeli etkileşimlerin zaman ve frekans boyutunda incelenmesi amaçlanmıştır. 01.01.2013 - 31.10.2024 tarihleri arasındaki günlük açılış verileri dalgacık dönüşümü tekniği kullanılarak analiz edilmiştir. Çalışma sonuçları, altın fiyatları ile döviz kuru arasında hem kısa hem orta hem de uzun vadede güçlü bir ilişki olduğunu göstermektedir. Döviz kuru ile petrol fiyatları ve BIST 100 endeksi arasındaki etkileşim kısa vadede zayıf, orta vadede artan, uzun vadede ise oldukça güçlü bir hale gelmiştir. Benzer şekilde, altın ile BIST 100 endeksi ve petrol fiyatları arasındaki ilişkiler de kısa vadede düşük olmakla beraber orta ve uzun vadelerde belirgin şekilde güçlenmiştir. Döviz kuru ve petrol fiyatları arasındaki korelasyon, kısa vadede düşük, orta vadede artan ve uzun vadede güçlü bir ilişki olarak saptanmıştır. Çalışma, Türkiye'nin finansal piyasasında döviz kuru, altın fiyatları, petrol fiyatları ve BIST 100 endeksi arasındaki dinamiklerin zaman içinde nasıl değiştiğini ve ekonomik krizler ile küresel olaylardan (COVİD-19) nasıl etkilendiğini göstermektedir. Bu bilgiler yatırımcıların risk yönetimi ve portföy çeşitlendirmesi stratejilerini belirlerken faydalı olacaktır.

Keywords

BIST 100 endeksi , Döviz kuru , Altın fiyatları , Petrol fiyatları , Dalgacık Dönüşümü

Analysis of Interactions Between BIST 100, Exchange Rates, Gold, and Oil Prices in Time and Frequency Dimensions

Abstract

This study aims to examine the short-, medium-, and long-term interactions between Türkiye BIST 100 index, exchange rates, gold, and oil prices within the time and frequency domains. The daily opening data between 01.01.2013 and 31.10.2024 have been analyzed using the wavelet transform technique. The results of the study indicated a strong relationship between gold prices and the exchange rate in the short, medium, and long term. The interaction between the exchange rate, oil prices, and the BIST 100 index was weak in the short term, increased in the medium term, and became strong in the long term. Similarly, the relationships between gold and the BIST 100 index, as well as oil prices, were weak in the short term, but significantly strengthened in the medium and long terms. The correlation between the exchange rate and oil prices was found to be low in the short term, increasing in the medium term, and strong in the long term. The study shows how the dynamics between the exchange rate, gold prices, oil prices, and the BIST 100 index in Turkey's financial market have changed over time and how they were influenced by economic crises and global events (COVID-19). This information is expected to provide valuable insights for investors in determining risk management and portfolio diversification strategies.

Keywords

BIST 100 Index , Exchange Rate , Gold Prices , Oil Prices , Wavelet Transform

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