The Relationship between Exchange Rate and BIST 100 in Turkey: Asymmetric-Time Varying Asymmetric Causality Analysis

Abstract

Exchange rate and stocks are very important for institutional investors as well as individual investors. For this reason, the main purpose of the study is to examine whether there is a causal relationship between the exchange rate and BIST 100. In the case of causality, it is also discussed whether the causality changes over time. Weekly data for the period between 11.02.1990 and 07.02.2021 were used in the study. First of all, traditional ADF and Fourier ADF, which is a current technique, were performed in order to determine the stationarity degrees of the series. As a result of the stability tests, the causality between BIST 100 and the Exchange Rate was investigated. For this, the current Hatemi-j causality test was used, and a bidirectional causality was obtained between the positive shocks of the BIST 100 and the Exchange Rate. Afterwards, it was done with the Time Varying Asymmetric Causality test. According to the findings, it was concluded that there is an asymmetric causality between BIST 100 and the Exchange Rate and this causality changes over time.

Türkiye’de Döviz Kuru ve BIST 100 İlişkisi: Zamanla Değişen Asimetrik Nedensellik Analizi

Abstract

Döviz kuru ve hisse senedi bireysel yatırımcıların yanı sıra kurumsal yatırımcılar açısından da oldukça önemlidir. Bu nedenle çalışmanın temel amacı Döviz kuru ile BIST 100 arasındaki ilişki nedensellik olup olmadığı incelenmiştir. Nedenselliğin olması durumunda nedenselliğin zamanla değişip değişmediği de ele alınmıştır. Çalışmada 11.02.1990 ile 07.02.2021 dönemine ait haftalık veriler kullanılmıştır. Öncelikle serilerin durağanlık derecelerinin belirlenmesi amacıyla geleneksel ADF ve güncel bir teknik olan Fourier ADF durağanlık testleri yapılmıştır. Yapılan durağanlık testleri sonucunda BIST 100 ile Döviz Kuru arasındaki nedensellik araştırılmıştır. Bunun için güncel Hatemi-j nedensellik testi kullanılmış ve BIST 100 ile Döviz Kurunun pozitif şokları arasında çift yönlü bir nedensellik olduğu elde edilmiştir. Daha sonrasında ise Zamanla Değişen Asimetrik Nedensellik testi ile yapılmıştır. Elde edilen bulgulara göre BIST 100 ile Döviz Kuru arasında asimetrik bir nedensellik bulunduğu ve bu nedenselliğin zamana bağlı olarak değiştiği sonucu elde edilmiştir.

Keywords

• Asimetrik Nedensellik,
• Döviz Kuru,
• BIST 100

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