Research Article
BibTex RIS Cite

DÖVİZ KURU VE BORSA ARASINDAKİ SİMETRİK VE ASİMETRİK İLİŞKİNİN İNCELENMESİ: TÜRKİYE ÖRNEĞİ

Year 2020, Volume: 1 Issue: 2, 15 - 25, 30.12.2020

Abstract

Bu çalışmanın amacı Türkiye’de döviz kurunun borsa üzerindeki kısa ve uzun dönemli simetrik ve asimetrik etkilerinin incelenmesidir. 2001 Aralık – 2020 Eylül dönemine ait aylık güncel veriler kullanılarak, Bahmanie-Oskooee ve Saha (2016)’da geliştirilen model, ARDL (Gecikmesi Dağıtılmış Otoregresif) ve NARDL (Doğrusal Olmayan Gecikmesi Dağıtılmış Otoregresif) sınır testi yaklaşımı ile tahmin edilmiştir. Asimetrik etkinin göz önüne alınmadığı durumda spesifikasyon hatası ortaya çıkabildiği için simetrik ve asimetrik etkinin birlikte modele dahil edilmesi ekonometrik açıdan daha anlamlı sonuçlar elde edilmesini sağlamıştır. NARDL test sonuçlarına göre, çalışmaya konu olan değişkenler arasında uzun dönem denge (eşbütünleşme) ilişkisi saptanmış olup, buna ek olarak, döviz kurunun borsa üzerinde hem kısa hem de uzun dönemde asimetrik etkisinin olduğu sonucuna varılmıştır.

References

  • Adeniyi, O. & Kumeka, T. (2020). Exchange Rate and Stock Prices in Nigeria: Firm-Level Evidence. Journal of African Business, 21(2), 1-29.
  • Bahmani-Oskooee, M. & Saha, S. (2015). On the relation between stock prices and exchange rates: A review article. Journal of Economic Studies, 42, 707-732.
  • Bahmani-Oskooee, M. & Saha, S. (2016). Do exchange rates have symetric or asymetric effects on stock prices, Global Finance Journal, 31, 57-72.
  • Cheah, S., Yiew, T., Ng, C. (2017). A nonlinear ARDL analysis on the relation between stock price and exchange rate in Malaysia. Economics Bulletin, 37(1), 336-346.
  • Benli, M., Durmuskaya, S., Bayramoglu, G. (2019). Asymmetric exchange rate pass-through and sectoral stock price indices: Evidence from Turkey. International Journal of Business and Management, 7(1), 25-47.
  • Habibi, A. & Lee, C. (2019). Asymmetric effects of exchange rates on stock prices in G7 countries. Capital Markets Review, 27(1), 19-33.
  • Nautiyal, N. (2019). Linkage between Exchange Rate and Stock price: Symmetric and Asymmetric Cointegration. SCMS Journal of Indian Management, April-June, 5-16.
  • Nkoro, E. & Uko, A. (2016). Autoregressive Distributed Lag (ARDL) cointegration technique: application and interpretation. Journal of Statistical and Econometric Methods, 5(4), 63-91.
  • Oyinlola, M. & Oloko, T. (2018). Exchange rate dynamics and stock market performance in Nigeria: Evidence from a Nonlinear ARDL Approach, Centre for Econometric and Allied Research, University of Ibadan Working Papers Series, 59, 24.
  • Pesaran, M., Shin, Y., Smith, R. (2001). Bounds testing approaches to the analysis of level relationships, Journal of Applied Econometrics, 16 (3), 289–326.
  • Shin, Y., Yu, B., Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework, Festschrift in honor of Peter Schmidt: Econometric methods and applications (R. Sickels, ve W. Horrace (Editörler)), Springer, 281–314.
  • Tiryaki, A., Ceylan, R., Erdoğan, L. (2019). Asymmetric effects of industrial production, money supply and exchange rate changes on stock returns in Turkey, Applied Economics, 51(20), 2143-2154.
  • Zarei, A., Ariff, M., Hook, L., Nassir, A. (2015). Identifying Multiple Structural Beaks in Exchange Rate Series in a Finance Research, Pertanika Journals Social Sciences & Humanities, 23(S), 155-166.
  • Zivot, E. & Andrews, D. (1992). Further Evidence On The Great Grash, The Oil-Price Shock, And The Unit-Root Hypothesis, Journal Of Business and Economic Statistics, 10(3), 251-270.

AN INVESTIGATION OF SYMMETRIC AND ASYMMETRIC EFFECTS OF EXCHANGE RATES ON STOCK MARKET: THE CASE OF TURKEY

Year 2020, Volume: 1 Issue: 2, 15 - 25, 30.12.2020

Abstract

The aim of this study is to examine the short and long-run symmetric and asymmetric effects of the exchange
rates on the stock market in Turkey. Using the most recent monthly data for the period of December 2001-
September 2020, the model developed in Bahmanie-Oskooee and Saha (2016) is estimated with ARDL
(Autoregressive Distributed Lag) and NARDL (Nonlinear Autoregressive Distributed Lag) bounds testing
approach. Since the specification error may occur when the asymmetric effect is not taken into account, the
inclusion of symmetric and asymmetric effects together in the model have provided econometrically more
meaningful results. According to the results of the NARDL test, a long-term equilibrium (cointegration)
relationship among the variables of interest is determined and further, it is concluded that the exchange rate
has an asymmetric effect on the stock market in both short and long-run.

References

  • Adeniyi, O. & Kumeka, T. (2020). Exchange Rate and Stock Prices in Nigeria: Firm-Level Evidence. Journal of African Business, 21(2), 1-29.
  • Bahmani-Oskooee, M. & Saha, S. (2015). On the relation between stock prices and exchange rates: A review article. Journal of Economic Studies, 42, 707-732.
  • Bahmani-Oskooee, M. & Saha, S. (2016). Do exchange rates have symetric or asymetric effects on stock prices, Global Finance Journal, 31, 57-72.
  • Cheah, S., Yiew, T., Ng, C. (2017). A nonlinear ARDL analysis on the relation between stock price and exchange rate in Malaysia. Economics Bulletin, 37(1), 336-346.
  • Benli, M., Durmuskaya, S., Bayramoglu, G. (2019). Asymmetric exchange rate pass-through and sectoral stock price indices: Evidence from Turkey. International Journal of Business and Management, 7(1), 25-47.
  • Habibi, A. & Lee, C. (2019). Asymmetric effects of exchange rates on stock prices in G7 countries. Capital Markets Review, 27(1), 19-33.
  • Nautiyal, N. (2019). Linkage between Exchange Rate and Stock price: Symmetric and Asymmetric Cointegration. SCMS Journal of Indian Management, April-June, 5-16.
  • Nkoro, E. & Uko, A. (2016). Autoregressive Distributed Lag (ARDL) cointegration technique: application and interpretation. Journal of Statistical and Econometric Methods, 5(4), 63-91.
  • Oyinlola, M. & Oloko, T. (2018). Exchange rate dynamics and stock market performance in Nigeria: Evidence from a Nonlinear ARDL Approach, Centre for Econometric and Allied Research, University of Ibadan Working Papers Series, 59, 24.
  • Pesaran, M., Shin, Y., Smith, R. (2001). Bounds testing approaches to the analysis of level relationships, Journal of Applied Econometrics, 16 (3), 289–326.
  • Shin, Y., Yu, B., Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework, Festschrift in honor of Peter Schmidt: Econometric methods and applications (R. Sickels, ve W. Horrace (Editörler)), Springer, 281–314.
  • Tiryaki, A., Ceylan, R., Erdoğan, L. (2019). Asymmetric effects of industrial production, money supply and exchange rate changes on stock returns in Turkey, Applied Economics, 51(20), 2143-2154.
  • Zarei, A., Ariff, M., Hook, L., Nassir, A. (2015). Identifying Multiple Structural Beaks in Exchange Rate Series in a Finance Research, Pertanika Journals Social Sciences & Humanities, 23(S), 155-166.
  • Zivot, E. & Andrews, D. (1992). Further Evidence On The Great Grash, The Oil-Price Shock, And The Unit-Root Hypothesis, Journal Of Business and Economic Statistics, 10(3), 251-270.
There are 14 citations in total.

Details

Primary Language Turkish
Subjects Economics
Journal Section Research Articles
Authors

Taylan Taner Doğan This is me

Tayyibe Işıl Doğan This is me

Publication Date December 30, 2020
Published in Issue Year 2020 Volume: 1 Issue: 2

Cite

APA Doğan, T. T., & Doğan, T. I. (2020). DÖVİZ KURU VE BORSA ARASINDAKİ SİMETRİK VE ASİMETRİK İLİŞKİNİN İNCELENMESİ: TÜRKİYE ÖRNEĞİ. Journal of Economics and Research, 1(2), 15-25.

22310