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Türkiye’de Hisse Senedi Fiyatları ile Döviz Kuru Arasındaki İlişki: Asimetrik Nedensellik ve Markov Rejim Değişim Modeli Yaklaşımı

Year 2021, Volume: 16 Issue: 62, 601 - 617, 30.04.2021
https://doi.org/10.19168/jyasar.816375

Abstract

Son yıllarda gerçekleştirilen finansal serbestleşme politikaları sonucu, hisse senedi fiyatları ile döviz kurları arasındaki ilişkinin arttığı gözlemlenmektedir. Bu gelişmelerle birlikte, hisse senedi piyasası ile döviz kuru arasındaki ilişkiyi inceleyen çalışmaların önemi artmıştır. Yapılan bu çalışmada, Türkiye’de 2009:01 - 2020:06 dönemi arası veriler günlük bazda kullanılarak hisse senedi piyasası ile döviz kuru arasındaki ilişki Markov Rejim Değişim Modeli ve Asimetrik Nedensellik Analizi yardımıyla araştırılmıştır. BIST100 Endeksi ile USD/TRY kurunun değişken olarak kullanıldığı çalışmada, “Mal Piyasası” ve “Portföy Dengesi” teorilerinin geçerliliği incelenmiştir. Markov Rejim Değişim Modeli bulguları, Türkiye ekonomisindeki hem genişleme hem de daralma dönemlerinde hisse senedi fiyatları ile döviz kuru arasında anlamlı bir ilişkinin olduğunu göstermiştir. Hatemi-J (2012) asimetrik nedensellik testi bulgularında, BIST100 endeksindeki pozitif ve negatif şoklardan döviz kurundaki pozitif ve negatif şoklara doğru nedenselliğin olduğu ve Türkiye’de Portföy Dengesi teorisinin geçerli olduğu görülmüştür. Ayrıca, döviz kurundaki pozitif şoklardan BIST100 endeksindeki pozitif şoklara doğru nedenselliğin olması Mal Piyasası teorisinin geçerliliğini göstermekte olup, negatif şoklar arasında ise nedensellik ilişkisi görülmemiştir.

References

  • Abdalla, I. S., ve Murinde, V. (1997). “Exchange Rate and Stock Price Interactions in Emerging Financial Markets: Evidence on India, Korea, Pakistan and the Philippines”, Applied Financial Economics, 7(1): 25-35.
  • Akdağ, S., ve Yıldırım, H. (2019). “Dolar Kuru ile Seçilmiş BİST Sektör Endeksleri Arasındaki İlişki: Asimetrik Nedensellik Analizi”, Akademik Hassasiyetler, 12(6): 409-425.
  • Akdoğu, S. K., ve Birkan, A. O. (2016). “Interaction Between Stock Prices and Exchange Rate in Emerging Market Economies”, Research in World Economy, 7(1): 80-94.
  • Aydemir, O., ve Demirhan, E. (2009). “The Relationship Between Stock Prices and Exchange Rates: Evidence from Turkey”, International Research Journal of Finance and Economics, 23(2): 207-215.
  • Ayvaz, Ö. (2006). “Döviz Kuru ve Hisse Senetleri Fiyatları Arasındaki Nedensellik İlişkisi”, Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 8(2): 1 – 14.
  • Bahmani-Oskooee, M., ve Sohrabian, A. (1992). “Stock Prices and the Effective Exchange Rate of the Dollar”, Applied Economics, 24(4): 459-464.
  • Boyacıoğlu, M. A., ve Çürük, D. (2016). “Döviz Kuru Değişimlerinin Hisse Senedi Getirisine Etkisi: Borsa İstanbul 100 Endeksi Üzerine Bir Uygulama”, Muhasebe ve Finansman Dergisi, 70: 143-156.
  • Doğru, B., ve Recepoğlu, M. (2013). “Türkiye’de Hisse Senedi Fiyatları ve Döviz Kuru Arasında Doğrusal ve Doğrusal Olmayan Eş Bütünleşme İlişkisi”, Dumlupınar Üniversitesi Sosyal Bilimler Dergisi EYİ, 17-34.
  • Dornbusch, R., ve Fischer, S. (1980). “Exchange Rates and the Current Account”, The American Economic Review, 70(5): 960-971.
  • Elmas, B., ve Esen, Ö. (2011). “Hisse Senedi Fiyatları ile Döviz Kuru Arasındaki Dinamik İlişkinin Belirlenmesi; Farklı Ülke Piyasaları İçin Bir Araştırma”, Muhasebe ve Finansman Dergisi, 52: 153-170.
  • Frömmel, M., MacDonald, R., & Menkhoff, L. (2005). Markov switching regimes in a monetary exchange rate model. Economic Modelling, 22(3), 485-502.
  • Granger, C. W., Huangb, B. N., ve Yang, C. W. (2000). “A Bivariate Causality Between Stock Prices and Exchange Rates: Evidence from Recent Asianflu☆”. The Quarterly Review of Economics and Finance, 40(3): 337-354.
  • Goldfeld, S. M., & Quandt, R. E. (1973). A Markov model for switching regression. Journal of econometrics, 1, 3-15.
  • Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: journal of the Econometric Society, 424-438.
  • Granger, C. W., & Yoon, G. (2002). Hidden cointegration. University of California San Diego. Economics working paper series, 2(2002), 1-48.
  • Hamilton, J. D. (1988). Rational-expectations econometric analysis of changes in regime: An investigation of the term structure of interest rates. Journal of Economic Dynamics and Control, 12(2-3), 385-423.
  • Hamilton, J. D. (1989). A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica: Journal of the Econometric Society, 357-384.
  • Hamilton, J. D. (1990). Analysis of time series subject to changes in regime. Journal of econometrics, 45(1-2), 39-70.
  • Hamilton, J. D. (1994), Time Series Analysis. Princeton: Princeton University Press.
  • Hamilton, James D. (1996). “Specification Testing in Markov-switching Time-series Models,” Journal of Econometrics, 70, 127–157.
  • Hansen, B. E. (1992). “The Likelihood Ratio Test Under Nonstandard Conditions: Testing the Markov Switching Model of GNP,” Journal of Applied Econometrics, 7, S6–S82.
  • Hatemi-j, A. (2012). Asymmetric causality tests with an application. Empirical Economics, 43(1), 447- 456.
  • Kasman, S. (2003). “The Relationship Between Exchange Rates and Stock Prices: A Causality Analysis”, Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü, 5(2): 70-79.
  • Kim, Chang-Jin (1994). “Dynamic Linear Models with Markov-Switching,” Journal of Econometrics, 60, 1–22.
  • Kim, Chang-Jin and Charles R. Nelson (1999). State-Space Models With Regime Switching, Cambridge: The MIT Press.
  • Krolzig, Hans-Martin (1997). Markov-Switching Vector Autoregressions: Modelling, Statistical Inference, and Application to Business Cycle Analysis, Berlin: Springer-Verlag.
  • Liang, C. C., Lin, J. B., ve Hsu, H. C. (2013). “Reexamining the Relationships Between Stock Prices and Exchange Rates in ASEAN-5 Using Panel Granger Causality Approach”, Economic Modelling, 32: 560-563.
  • Luqman, R., ve Kouser, R. (2019). “Cointegration and Causality Between Stock Prices and Exchange Rates: Empirical Evidence from Developed & Developing Economies”, International Transaction Journal of Engineering, Management, & Applied Sciences & Technologies, 10(7): 887-896.
  • Lütkepohl, H. (2005). New introduction to multiple time series analysis. Springer Science & Business Media.
  • Maddala, G. S. (1986). “Disequilibrium, Self-Selection, and Switching Models,” Handbook of Econometrics, Chapter 28 in Z. Griliches & M. D. Intriligator (eds.), Handbook of Econometrics, Volume 3, Amsterdam: North- Holland.
  • Maheu, John M., and Thomas H. McCurdy (2000). “Identifying Bull and Bear Markets in Stock Returns,” Journal of Business & Economic Statistics, 18, 100–112.
  • Nath, G. C., ve Samanta, G. P. (2003, February). “Dynamic Relation Between Exchange Rate and Stock Prices: A Case for India”, In 39th Annual Conference Paper of Indian Econometric Society Also Published in NSE News February.
  • Obben, J., Pech, A., ve Shakur, S. (2006). “Analysis of the Relationship Between the Share Market Performance and Exchange Rates in New Zealand: A Cointegrating VAR Approach”, New Zealand Economic Papers, 40(2): 147-180.
  • Özmen, M. (2007). “Farklı Döviz Kuru Rejimleri Altında Hisse Senetleri Fiyatları ile Döviz Kurları Arasındaki İlişkinin Ekonometrik Analizi”, Journal of the Cukurova University Institute of Social Sciences, 16(1): 519-538.
  • Park, J., & Hong, T. (2013). Analysis of South Korea’s economic growth, carbon dioxide emission, and energy consumption using the Markov switching model. Renewable and Sustainable Energy Reviews, 18, 543-551.
  • Quandt, R. E. (1972). A new approach to estimating switching regressions. Journal of the American Statistical Association 67: 306–310.
  • Seyidoğlu, H. (2013). “Uluslararası Finans”, 5. Baskı, İstanbul: Güzem Can Yayınları.
  • Smith, Daniel R. (2008). “Evaluating Specification Tests for Markov-switching Time-series Models,” Journal of Time Series Analysis, 29, 629–652.
  • Smyth, R., ve Nandha, M. (2003). “Bivariate Causality Between Exchange Rates and Stock Prices in South Asia”, Applied Economics Letters, 10(11): 699-704.
  • Tabak, B. M. (2006). “The Dynamic Relationship Between Stock Prices and Exchange Rates: Evidence for Brazil”, International Journal of Theoretical and Applied Finance, 9(08): 1377-1396.
  • Tian, G. G., ve Ma, S. (2010). “The Relationship Between Stock Returns and the Foreign Exchange Rate: The ARDL Approach”, Journal of the Asia Pacific Economy, 15(4): 490-508.

The Relationship Between Stock Prices And Exchange Rate In Turkey: Asymmetric Causality And Markov Regime Switching Approach

Year 2021, Volume: 16 Issue: 62, 601 - 617, 30.04.2021
https://doi.org/10.19168/jyasar.816375

Abstract

In recent years, as a result of the financial liberalization policies implemented it is observed that the relationship between stock prices and exchange rates has increased. With these developments, the importance of studies examining the relationship between stock market and exchange rate has increased. In this study, using historical data for daily basis from 2009: 01-2020: 06 period was to investigate the relationship between the exchange rate and the stock market in Turkey help of the Asymmetric Causality Analysis and Markov Regime Switching Model. In the study, in which the BIST100 Index and the USD/TRY exchange rate were used as variables, there were examined the validity of the "Good Market" and "Portfolio Balance" theories. Markov Regime Switching Model findings showed that a significant relationship between exchange rate and stock prices in both periods of expansion and contraction in Turkey's economy. Hatemi-J (2012) asymmetric causality test findings, there is a causality from positive and negative shock in the BIST100 to positive and negative shock in the exchange rate, and there was a found that the Portfolio Balance theory validity in Turkey. In addition, the existence of causality from from positive shocks in the exchange rate to positive shocks in the BIST100 index demonstrates the validity of the Goods Market theory, and there is no causality relationship between negative shocks. 

References

  • Abdalla, I. S., ve Murinde, V. (1997). “Exchange Rate and Stock Price Interactions in Emerging Financial Markets: Evidence on India, Korea, Pakistan and the Philippines”, Applied Financial Economics, 7(1): 25-35.
  • Akdağ, S., ve Yıldırım, H. (2019). “Dolar Kuru ile Seçilmiş BİST Sektör Endeksleri Arasındaki İlişki: Asimetrik Nedensellik Analizi”, Akademik Hassasiyetler, 12(6): 409-425.
  • Akdoğu, S. K., ve Birkan, A. O. (2016). “Interaction Between Stock Prices and Exchange Rate in Emerging Market Economies”, Research in World Economy, 7(1): 80-94.
  • Aydemir, O., ve Demirhan, E. (2009). “The Relationship Between Stock Prices and Exchange Rates: Evidence from Turkey”, International Research Journal of Finance and Economics, 23(2): 207-215.
  • Ayvaz, Ö. (2006). “Döviz Kuru ve Hisse Senetleri Fiyatları Arasındaki Nedensellik İlişkisi”, Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 8(2): 1 – 14.
  • Bahmani-Oskooee, M., ve Sohrabian, A. (1992). “Stock Prices and the Effective Exchange Rate of the Dollar”, Applied Economics, 24(4): 459-464.
  • Boyacıoğlu, M. A., ve Çürük, D. (2016). “Döviz Kuru Değişimlerinin Hisse Senedi Getirisine Etkisi: Borsa İstanbul 100 Endeksi Üzerine Bir Uygulama”, Muhasebe ve Finansman Dergisi, 70: 143-156.
  • Doğru, B., ve Recepoğlu, M. (2013). “Türkiye’de Hisse Senedi Fiyatları ve Döviz Kuru Arasında Doğrusal ve Doğrusal Olmayan Eş Bütünleşme İlişkisi”, Dumlupınar Üniversitesi Sosyal Bilimler Dergisi EYİ, 17-34.
  • Dornbusch, R., ve Fischer, S. (1980). “Exchange Rates and the Current Account”, The American Economic Review, 70(5): 960-971.
  • Elmas, B., ve Esen, Ö. (2011). “Hisse Senedi Fiyatları ile Döviz Kuru Arasındaki Dinamik İlişkinin Belirlenmesi; Farklı Ülke Piyasaları İçin Bir Araştırma”, Muhasebe ve Finansman Dergisi, 52: 153-170.
  • Frömmel, M., MacDonald, R., & Menkhoff, L. (2005). Markov switching regimes in a monetary exchange rate model. Economic Modelling, 22(3), 485-502.
  • Granger, C. W., Huangb, B. N., ve Yang, C. W. (2000). “A Bivariate Causality Between Stock Prices and Exchange Rates: Evidence from Recent Asianflu☆”. The Quarterly Review of Economics and Finance, 40(3): 337-354.
  • Goldfeld, S. M., & Quandt, R. E. (1973). A Markov model for switching regression. Journal of econometrics, 1, 3-15.
  • Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: journal of the Econometric Society, 424-438.
  • Granger, C. W., & Yoon, G. (2002). Hidden cointegration. University of California San Diego. Economics working paper series, 2(2002), 1-48.
  • Hamilton, J. D. (1988). Rational-expectations econometric analysis of changes in regime: An investigation of the term structure of interest rates. Journal of Economic Dynamics and Control, 12(2-3), 385-423.
  • Hamilton, J. D. (1989). A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica: Journal of the Econometric Society, 357-384.
  • Hamilton, J. D. (1990). Analysis of time series subject to changes in regime. Journal of econometrics, 45(1-2), 39-70.
  • Hamilton, J. D. (1994), Time Series Analysis. Princeton: Princeton University Press.
  • Hamilton, James D. (1996). “Specification Testing in Markov-switching Time-series Models,” Journal of Econometrics, 70, 127–157.
  • Hansen, B. E. (1992). “The Likelihood Ratio Test Under Nonstandard Conditions: Testing the Markov Switching Model of GNP,” Journal of Applied Econometrics, 7, S6–S82.
  • Hatemi-j, A. (2012). Asymmetric causality tests with an application. Empirical Economics, 43(1), 447- 456.
  • Kasman, S. (2003). “The Relationship Between Exchange Rates and Stock Prices: A Causality Analysis”, Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü, 5(2): 70-79.
  • Kim, Chang-Jin (1994). “Dynamic Linear Models with Markov-Switching,” Journal of Econometrics, 60, 1–22.
  • Kim, Chang-Jin and Charles R. Nelson (1999). State-Space Models With Regime Switching, Cambridge: The MIT Press.
  • Krolzig, Hans-Martin (1997). Markov-Switching Vector Autoregressions: Modelling, Statistical Inference, and Application to Business Cycle Analysis, Berlin: Springer-Verlag.
  • Liang, C. C., Lin, J. B., ve Hsu, H. C. (2013). “Reexamining the Relationships Between Stock Prices and Exchange Rates in ASEAN-5 Using Panel Granger Causality Approach”, Economic Modelling, 32: 560-563.
  • Luqman, R., ve Kouser, R. (2019). “Cointegration and Causality Between Stock Prices and Exchange Rates: Empirical Evidence from Developed & Developing Economies”, International Transaction Journal of Engineering, Management, & Applied Sciences & Technologies, 10(7): 887-896.
  • Lütkepohl, H. (2005). New introduction to multiple time series analysis. Springer Science & Business Media.
  • Maddala, G. S. (1986). “Disequilibrium, Self-Selection, and Switching Models,” Handbook of Econometrics, Chapter 28 in Z. Griliches & M. D. Intriligator (eds.), Handbook of Econometrics, Volume 3, Amsterdam: North- Holland.
  • Maheu, John M., and Thomas H. McCurdy (2000). “Identifying Bull and Bear Markets in Stock Returns,” Journal of Business & Economic Statistics, 18, 100–112.
  • Nath, G. C., ve Samanta, G. P. (2003, February). “Dynamic Relation Between Exchange Rate and Stock Prices: A Case for India”, In 39th Annual Conference Paper of Indian Econometric Society Also Published in NSE News February.
  • Obben, J., Pech, A., ve Shakur, S. (2006). “Analysis of the Relationship Between the Share Market Performance and Exchange Rates in New Zealand: A Cointegrating VAR Approach”, New Zealand Economic Papers, 40(2): 147-180.
  • Özmen, M. (2007). “Farklı Döviz Kuru Rejimleri Altında Hisse Senetleri Fiyatları ile Döviz Kurları Arasındaki İlişkinin Ekonometrik Analizi”, Journal of the Cukurova University Institute of Social Sciences, 16(1): 519-538.
  • Park, J., & Hong, T. (2013). Analysis of South Korea’s economic growth, carbon dioxide emission, and energy consumption using the Markov switching model. Renewable and Sustainable Energy Reviews, 18, 543-551.
  • Quandt, R. E. (1972). A new approach to estimating switching regressions. Journal of the American Statistical Association 67: 306–310.
  • Seyidoğlu, H. (2013). “Uluslararası Finans”, 5. Baskı, İstanbul: Güzem Can Yayınları.
  • Smith, Daniel R. (2008). “Evaluating Specification Tests for Markov-switching Time-series Models,” Journal of Time Series Analysis, 29, 629–652.
  • Smyth, R., ve Nandha, M. (2003). “Bivariate Causality Between Exchange Rates and Stock Prices in South Asia”, Applied Economics Letters, 10(11): 699-704.
  • Tabak, B. M. (2006). “The Dynamic Relationship Between Stock Prices and Exchange Rates: Evidence for Brazil”, International Journal of Theoretical and Applied Finance, 9(08): 1377-1396.
  • Tian, G. G., ve Ma, S. (2010). “The Relationship Between Stock Returns and the Foreign Exchange Rate: The ARDL Approach”, Journal of the Asia Pacific Economy, 15(4): 490-508.
There are 41 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Ayşe Genç 0000-0003-3978-5805

Cemal Öztürk 0000-0003-3850-7416

Publication Date April 30, 2021
Published in Issue Year 2021 Volume: 16 Issue: 62

Cite

APA Genç, A., & Öztürk, C. (2021). Türkiye’de Hisse Senedi Fiyatları ile Döviz Kuru Arasındaki İlişki: Asimetrik Nedensellik ve Markov Rejim Değişim Modeli Yaklaşımı. Yaşar Üniversitesi E-Dergisi, 16(62), 601-617. https://doi.org/10.19168/jyasar.816375
AMA Genç A, Öztürk C. Türkiye’de Hisse Senedi Fiyatları ile Döviz Kuru Arasındaki İlişki: Asimetrik Nedensellik ve Markov Rejim Değişim Modeli Yaklaşımı. Yaşar Üniversitesi E-Dergisi. April 2021;16(62):601-617. doi:10.19168/jyasar.816375
Chicago Genç, Ayşe, and Cemal Öztürk. “Türkiye’de Hisse Senedi Fiyatları Ile Döviz Kuru Arasındaki İlişki: Asimetrik Nedensellik Ve Markov Rejim Değişim Modeli Yaklaşımı”. Yaşar Üniversitesi E-Dergisi 16, no. 62 (April 2021): 601-17. https://doi.org/10.19168/jyasar.816375.
EndNote Genç A, Öztürk C (April 1, 2021) Türkiye’de Hisse Senedi Fiyatları ile Döviz Kuru Arasındaki İlişki: Asimetrik Nedensellik ve Markov Rejim Değişim Modeli Yaklaşımı. Yaşar Üniversitesi E-Dergisi 16 62 601–617.
IEEE A. Genç and C. Öztürk, “Türkiye’de Hisse Senedi Fiyatları ile Döviz Kuru Arasındaki İlişki: Asimetrik Nedensellik ve Markov Rejim Değişim Modeli Yaklaşımı”, Yaşar Üniversitesi E-Dergisi, vol. 16, no. 62, pp. 601–617, 2021, doi: 10.19168/jyasar.816375.
ISNAD Genç, Ayşe - Öztürk, Cemal. “Türkiye’de Hisse Senedi Fiyatları Ile Döviz Kuru Arasındaki İlişki: Asimetrik Nedensellik Ve Markov Rejim Değişim Modeli Yaklaşımı”. Yaşar Üniversitesi E-Dergisi 16/62 (April 2021), 601-617. https://doi.org/10.19168/jyasar.816375.
JAMA Genç A, Öztürk C. Türkiye’de Hisse Senedi Fiyatları ile Döviz Kuru Arasındaki İlişki: Asimetrik Nedensellik ve Markov Rejim Değişim Modeli Yaklaşımı. Yaşar Üniversitesi E-Dergisi. 2021;16:601–617.
MLA Genç, Ayşe and Cemal Öztürk. “Türkiye’de Hisse Senedi Fiyatları Ile Döviz Kuru Arasındaki İlişki: Asimetrik Nedensellik Ve Markov Rejim Değişim Modeli Yaklaşımı”. Yaşar Üniversitesi E-Dergisi, vol. 16, no. 62, 2021, pp. 601-17, doi:10.19168/jyasar.816375.
Vancouver Genç A, Öztürk C. Türkiye’de Hisse Senedi Fiyatları ile Döviz Kuru Arasındaki İlişki: Asimetrik Nedensellik ve Markov Rejim Değişim Modeli Yaklaşımı. Yaşar Üniversitesi E-Dergisi. 2021;16(62):601-17.