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Borsa İstanbul'da kısa ve uzun dönemli denge ilişkileri

Year 2014, Volume: 2 Issue: 2, 71 - 85, 28.05.2015

Abstract

Bu makale ile Borsa İstanbul ve bazı makroekonomik değişkenler arasındaki uzun dönemli ve kısa dönemli denge ilişkilerinin araştırılması amaçlanmıştır. Bu çalışmada BIST-100 Endeksi'nin aylık verileri borsayı göstermek üzere seçilirken; (i) bankalarca açılan mevduatlara uygulanan ağırlıklı ortalama aylık faiz oranları, (ii) aylık para arzı, (iii) aylık Dolar kur değeri (iv) aylık Euro kur değeri, (v) ons külçe altının aylık Londra satış fiyatı, (vi) aylık iç borçlanma faiz oranları, (vii) SP-500 endeksi aylık verileri, (vii) İTO'nun aylık Toptan Eşya Fiyat Genel Endeksi makroekonomik değişkenleri göstermek üzere kullanılmıştır. İlk önce değişkenlerin durağanlığı araştırılmış; I(1) olanlar ile eşbütünleşme tespit edilmiştir. I(1) olanlar ile VARs üzerine kurulu Johansen tekniği ile eşbütünleşme ilişki adedi belirlendikten sonra Vektör Hata Düzeltme Modeli (VECM) ile borsadaki kısa dönemli ilişkiler ve uzun dönemli denge ilişkileri tespit edilmiştir. BİST-100 Endeksi; iç borçlanma faiz oranları, SP-500 Endeksi ve para arzı arttıkça (azaldıkça) uzun dönemde yükselmekte (düşmekte); Euro, Dolar, ons külçe altın ve bankalarca açılan mevduatlara uygulanan ağırlıklı ortalama faiz oranları arttıkça (azaldıkça) uzun dönemde düşmektedir (yükselmektedir).

 

Anahtar Kelimeler: Durağanlık, Eşbütünleşme, Vektör Hata Düzeltme Modeli, Borsa İstanbul

 

References

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  • Al-Sharkas, A. (2004). The dynamic relationship between macroeconomic factors and the Jordanian stock market. International Journal of Applied Econometrics and Quantitative Studies, 1(1), 97-114.
  • Ali, M. B. (2011). Impact of Micro and Macroeconomic Variables on Emerging Stock Market Return: A Case on Dhaka Stock Exchange (DSE). Interdisciplinary Journal of Research in Business, 1(5), 8-16.
  • Brooks, C. (2008). Introductory Econometrics for Finance, Second Edition. Cambridge University Press, UK.
  • Chen, N. F., Roll, R. ve Ross, S. A. (1986). Economic forces and the stock market. Journal of business, 383-403.
  • Engle, R. F. ve Granger, C. W. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica: Journal of the Econometric Society, 251-276.
  • Gan, C., Lee, M., Yong, H. H. A. ve Zhang, J. (2006). Macroeconomic variables and stock market interactions: New Zealand evidence. Investment Management and Financial Innovations, 3(4), 89-101.
  • Granger, C. W. (1986). Developments in the study of cointegrated economic variables. Oxford Bulletin of economics and statistics, 48(3), 213-228.
  • Gujarati, D.N. (2011). Temel Ekonometri. Ümit Şenesen ve Gülay Günlük Şenesen (çev.), İstanbul: Literatür Yayıncılık.
  • Gunasekarage, A., Pisedtasalasai, A. ve Power, D. M. (2004). Macroeconomic influence on the stock market: evidence from an emerging market in South Asia. Journal of Emerging Market Finance, 3(3), 285-304.
  • Hosseini, S.M., Ahmad, Z. ve Lai, Y.W. (2011). The Role of Macroeconomic Variables on Stock Market Index in China and India. International Journal Of Economics And Finance, 3(6), 233-243.
  • Humpe, A. ve Macmillan P. (2007). Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan, University of St. Andrews, Centre for Dynamic Macroeconomic Analysis Working Paper Series. UK.
  • Hussain, A., Lal, I. ve Mubin, M. (2009). Short run and Long run Dynamics of Macroeconomics Variables and Stock prices: Case Study of KSE (Karachi Stock Exchange). Kashmir Economic Review, 18(1), 43-61.
  • Kuwornu, John K.M., Accra, L. ve Victor, O. (2011). Macroeconomic Variables and Stock Market Returns: Full Information Maximum Likelihood Estimation. Research Journal of Finance and Accounting, 2(4).
  • Kwon, C. S. ve Shin, T. S. (1999). Cointegration and causality between macroeconomic variables and stock market returns. Global Finance Journal, 10(1), 71-81.
  • Maysami, R. C., Howe, L. C. ve Hamzah, M. A. (2004). Relationship between macroeconomic variables and stock market indices: Cointegration evidence from stock exchange of Singapore's All-S sector indices. Jurnal Pengurusan, 24(1), 47-77.
  • Maysami, R. C. ve Koh, T. S. (2000). A vector error correction model of the Singapore stock market. International Review of Economics & Finance, 9(1), 79-96.
  • Maysami, R. C. ve Sim, H. H. (2002). Macroeconomics variables and their relationship with stock returns: error correction evidence from Hong Kong and Singapore. The Asian Economic Review, 44(1), 69-85.
  • Mireku, K., Sarkodie, K. ve Poku, K. (2013). Effect of Macroeconomic Factors on Stock Prices in Ghana: A Vector Error Correction Model Approach. International Journal of Academic Research in Accounting, Finance and Management Sciences, 3(2), 32-43.
  • Mukherjee, T. K. ve Naka, A. (1995). Dynamic relations between macroeconomic variables and the Japanese stock market: an application of a vector error correction model. Journal of Financial Research, 18(2), 223-37.
  • Özlen, Ş. ve Ergun, U. (2012). Macroeconomic Factors And Stock Returns, International Journal of Academic Research in Business and Social Sciences, 2(9), 315-343.
  • Phylaktis, K. ve Ravazzolo, F. (2005). Stock prices and exchange rate dynamics. Journal of International Money and Finance, 24(7), 1031-1053.
  • Singh, T., Mehta, S. ve Varsha, A. S. (2011). Macroeconomic factors and stock returns: Evidence from Taiwan. Journal of Economics and International Finance, 2(4), 217-227.
  • -
  • Sohail, N., Hussain, Z. (2009). Long-Run and Short-Run Relationship between Macroeconomic Variables and Stock Prices in Pakistan: The Case of Lahore Stock Exchange. Pakistan Economic and Social Review, 183-198.
  • T.C. Kalkınma Bakanlığı web sitesi.
  • T.C. Merkez Bankası web sitesi.
Year 2014, Volume: 2 Issue: 2, 71 - 85, 28.05.2015

Abstract

References

  • Amerika Birleşik Devletleri St. Louis Federal Reserve Bank web sitesi.
  • Achsani, N. ve Strohe, H. G. (2002). Stock market returns and macroeconomic factors, evidence from Jakarta Stock Exchange of Indonesia 1990-2001. Universität Potsdam, Wirtschaftsund Sozialwissenschaftliche Fakultät, Discussion Paper.
  • Al-Sharkas, A. (2004). The dynamic relationship between macroeconomic factors and the Jordanian stock market. International Journal of Applied Econometrics and Quantitative Studies, 1(1), 97-114.
  • Ali, M. B. (2011). Impact of Micro and Macroeconomic Variables on Emerging Stock Market Return: A Case on Dhaka Stock Exchange (DSE). Interdisciplinary Journal of Research in Business, 1(5), 8-16.
  • Brooks, C. (2008). Introductory Econometrics for Finance, Second Edition. Cambridge University Press, UK.
  • Chen, N. F., Roll, R. ve Ross, S. A. (1986). Economic forces and the stock market. Journal of business, 383-403.
  • Engle, R. F. ve Granger, C. W. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica: Journal of the Econometric Society, 251-276.
  • Gan, C., Lee, M., Yong, H. H. A. ve Zhang, J. (2006). Macroeconomic variables and stock market interactions: New Zealand evidence. Investment Management and Financial Innovations, 3(4), 89-101.
  • Granger, C. W. (1986). Developments in the study of cointegrated economic variables. Oxford Bulletin of economics and statistics, 48(3), 213-228.
  • Gujarati, D.N. (2011). Temel Ekonometri. Ümit Şenesen ve Gülay Günlük Şenesen (çev.), İstanbul: Literatür Yayıncılık.
  • Gunasekarage, A., Pisedtasalasai, A. ve Power, D. M. (2004). Macroeconomic influence on the stock market: evidence from an emerging market in South Asia. Journal of Emerging Market Finance, 3(3), 285-304.
  • Hosseini, S.M., Ahmad, Z. ve Lai, Y.W. (2011). The Role of Macroeconomic Variables on Stock Market Index in China and India. International Journal Of Economics And Finance, 3(6), 233-243.
  • Humpe, A. ve Macmillan P. (2007). Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan, University of St. Andrews, Centre for Dynamic Macroeconomic Analysis Working Paper Series. UK.
  • Hussain, A., Lal, I. ve Mubin, M. (2009). Short run and Long run Dynamics of Macroeconomics Variables and Stock prices: Case Study of KSE (Karachi Stock Exchange). Kashmir Economic Review, 18(1), 43-61.
  • Kuwornu, John K.M., Accra, L. ve Victor, O. (2011). Macroeconomic Variables and Stock Market Returns: Full Information Maximum Likelihood Estimation. Research Journal of Finance and Accounting, 2(4).
  • Kwon, C. S. ve Shin, T. S. (1999). Cointegration and causality between macroeconomic variables and stock market returns. Global Finance Journal, 10(1), 71-81.
  • Maysami, R. C., Howe, L. C. ve Hamzah, M. A. (2004). Relationship between macroeconomic variables and stock market indices: Cointegration evidence from stock exchange of Singapore's All-S sector indices. Jurnal Pengurusan, 24(1), 47-77.
  • Maysami, R. C. ve Koh, T. S. (2000). A vector error correction model of the Singapore stock market. International Review of Economics & Finance, 9(1), 79-96.
  • Maysami, R. C. ve Sim, H. H. (2002). Macroeconomics variables and their relationship with stock returns: error correction evidence from Hong Kong and Singapore. The Asian Economic Review, 44(1), 69-85.
  • Mireku, K., Sarkodie, K. ve Poku, K. (2013). Effect of Macroeconomic Factors on Stock Prices in Ghana: A Vector Error Correction Model Approach. International Journal of Academic Research in Accounting, Finance and Management Sciences, 3(2), 32-43.
  • Mukherjee, T. K. ve Naka, A. (1995). Dynamic relations between macroeconomic variables and the Japanese stock market: an application of a vector error correction model. Journal of Financial Research, 18(2), 223-37.
  • Özlen, Ş. ve Ergun, U. (2012). Macroeconomic Factors And Stock Returns, International Journal of Academic Research in Business and Social Sciences, 2(9), 315-343.
  • Phylaktis, K. ve Ravazzolo, F. (2005). Stock prices and exchange rate dynamics. Journal of International Money and Finance, 24(7), 1031-1053.
  • Singh, T., Mehta, S. ve Varsha, A. S. (2011). Macroeconomic factors and stock returns: Evidence from Taiwan. Journal of Economics and International Finance, 2(4), 217-227.
  • -
  • Sohail, N., Hussain, Z. (2009). Long-Run and Short-Run Relationship between Macroeconomic Variables and Stock Prices in Pakistan: The Case of Lahore Stock Exchange. Pakistan Economic and Social Review, 183-198.
  • T.C. Kalkınma Bakanlığı web sitesi.
  • T.C. Merkez Bankası web sitesi.
There are 28 citations in total.

Details

Primary Language Turkish
Journal Section Makale
Authors

Atilla Aras

Publication Date May 28, 2015
Submission Date September 4, 2014
Published in Issue Year 2014 Volume: 2 Issue: 2

Cite

APA Aras, A. (2015). Borsa İstanbul’da kısa ve uzun dönemli denge ilişkileri. İşletme Bilimi Dergisi, 2(2), 71-85. https://doi.org/10.22139/ibd.20188