İMKB PERFORMANSI-EKONOMİK BÜYÜME ORANI ARASINDAKİ İLİŞKİ: 1998:Ç1-2010:Ç3 DÖNEMİ

Abstract

Bu çalışmada; İstanbul Menkul Kıymetler Borsası Ulusal-100 endeksinin değişimiyle ekonomik büyüme oranı arasındaki ilişkiler araştırılmıştır. Değişkenler arasında eşbütünleşme ilişkisinin tespiti için Pesaran vd.‟nin (2001) geliştirmiş olduğu sınır testi yaklaşımı kullanılmıştır. Sonuç olarak; değişkenler arasında bir eş-bütünleşme ilişkisinin var olduğu, uzun dönemde büyümede meydana gelen bir değişmenin endeksi beklentinin tersi olarak negatif yönde etkilediği ve değişkenler arasında kısa dönemde meydana gelen sapmaların ortadan kalktığı ve serilerinin birbirine yakınsadığı tespit edilmiştir. Aynı zamanda yapılan Granger nedensellik analizi sonucunda ekonomik büyümede meydana gelen bir değişmenin hisse senedi endeksinde bir değişmeye neden olacağı belirlenmiştir

Keywords

• Hisse senedi, Ekonomik büyüme, İMKB

THE RELATIONSHIP BETWEEN ISTANBUL STOCK EXCHANGE PERFORMANCE AND ECONOMIC GROWTH RATE: 1998: Q1-2010: Q3 PERIOD

Abstract

In this study, the correlation between the evolution of National-100 index of Istanbul Stock Exchange and the economic growth has been examined. The limit test approach developed by Pesaran et al (2001) has been used for determining the cointegration relation between the variables. As a result, it has been determined that there is a cointegration relation between the variables, a change of growth in the long term affects the index negatively as opposed to what is expected and the deviations among the variables in the short term are eliminated and the series converge to one another. Simultaneously, it has been determined that a change in the economic growth will also trigger a change in the share index as a result of Granger causality analysis performed

Keywords

• Stock, Economic growth, ISE

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