PETROL FİYATLARI, DÖVİZ KURLARI VE ENFLASYONUN HİSSE SENEDİ GETİRİLERİ ÜZERİNDEKİ ASİMETRİK ETKİSİNİN TESPİTİ: NARDL YAKLAŞIMI

Year 2020, Volume: 9 Issue: 2, 411 - 423, 31.12.2020

Hikmet Akyol

Abstract

Bu araştırmada petrol fiyatları, döviz kurları ve enflasyon oranlarıyla hisse senedi getirileri arasındaki ilişki hem teoriksel olarak hem de ampirik olarak sınanmıştır. Aynı zamanda değişkenler arasındaki asimetrik ilişkinin boyutu ortaya konulmaya çalışılmıştır. Bu amaç doğrultusunda petrol fiyatları, döviz kurları ve enflasyon ile Borsa İstanbul 100 endeks getirilerinin 2006: Q1 ile 2019: Q4 arasındaki dönemi Shin vd. (2014), NARDL yöntemiyle analiz edilmiştir. Sonuçlar petrol fiyatlarının hisse senedi getirileri üzerinde, kısa ve uzun dönemde herhangi bir asimetrik etkisi olmadığını göstermiştir. Efektif döviz kurlarındaki pozitif yönlü değişimlerin hisse senedi getirilerini negatif yönlü etkilediği gösterilmiştir. Efektif döviz kurlarındaki gerilemelerin (yerel paranın değer yitirmesi) ise hisse senedi getirilerini pozitif yönlü etkilediği tespit edilmiştir. Bu bulgu, yerel paranın değer kaybetmesinin, ihracat üzerinden firmaların rekabetini ve karlılığını arttıracağını ileri süren akım odaklı hipotezi doğrulamaktadır. TUFE’deki pozitif değişimlerin hisse senedi getirilerini pozitif yönlü etkilediği, negatif yönlü değişimlerin ise negatif yönlü etkilediği gösterilmiştir. Bu bulgu, enflasyon ile hisse senedi getirileri arasında pozitif yönlü ilişki ima eden Genelleştirilmiş Fisher (1930) hipotezini doğrulamıştır.

Keywords

Petrol Fiyatları, Döviz Kurları, Enflasyon, Hisse Senedi Getirileri, NARDL Yöntemi

DETERMINING THE ASYMMETRIC EFFECT OF OIL PRICES, EXCHANGE RATES AND INFLATION ON STOCK RETURNS: THE NARDL APPROACH

Abstract

In this study, the relationship between oil prices, exchange rates and inflation rates and stock returns has been tested both theoretically and empirically. At the same time, the size of the asymmetric relationship between variables is tried to be revealed. For this purpose, for the relationship between oil prices, exchange rates and inflation and Borsa İstanbul 100 index returns, the period between 2006: Q1 and 2019: Q4 is determined by Shin et al. (2014) analyzed with the NARDL method.The results show that oil prices do not have any asymmetric effects on stock returns in the short and long run. It has been shown that positive changes in effective exchange rates affect stock returns negatively. It has been determined that the declines in effective exchange rates (depreciation of the local currency) positively affect stock returns. This finding confirms the flow-oriented hypothesis that the depreciation of the local currency will increase the competitiveness and profitability of firms through exports.It has been shown that positive changes in CPI (Consumer Price Inflation) have a positive effect on stock returns, while negative changes have a negative effect. This finding confirmed the Generalized Fisher (1930) hypothesis, which implies a positive relationship between inflation and stock returns.

Keywords

Oil Prices, Exchange Rates, Inflation Rates, Stock Returns, NARDL Approach

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