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SERMAYE PİYASALARI VE MAKROEKONOMİK GÖRÜNÜM: İHRACATÇI ŞİRKETLER ÜZERİNE BİR ANALİZ

Year 2021, Volume: 13 Issue: 25, 457 - 473, 31.07.2021

Emrullah Gün Ebru Yüksel Haliloğlu

https://doi.org/10.14784/marufacd.976568

Abstract

Bu çalışmada ihracatçı şirketlerin hisse senedi fiyat performanslarını yansıtan TİM İhracat Endeksi’nin (TIMEX) makroekonomik değişkenler ile olan ilişkisi araştırılmıştır. 2013:2-2019:1 arasındaki dönemi kapsayan ve aylık bazda veriler kullanılarak yapılan çalışmada, TIMEX ile faiz oranı, enflasyon, döviz kuru, sanayi üretimi ve ihracat miktarı arasındaki uzun dönemli ilişki incelenmiştir. ARDL (Autoregressive Distributed Lag) sınır testi yöntemiyle yapılan eşbütünleşme testine göre TIMEX ile ihracat miktarı, faiz oranı, ABD Doları/TL döviz kuru ve sanayi üretim endeksi arasında uzun dönemli ilişki tespit edilmiştir. Uzun vadeli dengede meydana gelen sapmaların %48’inin bir dönemlik süre içerisinde düzeldiği, modelin hızlı bir uyarlama sürecine sahip olduğu sonucuna ulaşılmıştır. Ayrıca, TIMEX’ten sanayi üretim endeksine doğru tek yönlü Granger nedensellik tespit edilmiştir. Buna göre TIMEX’in sanayi üretiminin öncü göstergesi olarak izlenebileceği değerlendirilmektedir.

Keywords

ARDL BİST Eşbütünleşme Granger Nedensellik TIMEX

References

  • AKEL, Veli ve GAZEL, Sümeyra. (2014). Döviz Kurları ile BIST Sanayi̇ Endeksi̇ Arasındaki̇ Eşbütünleşme İlişkisi: Bir ARDL Sınır Testi̇ Yaklaşımı. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 44, 23-41.
  • ALTAY, Erdinc. (2003). The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework. Martin –Luther University Halle-Wittenberg Faculty of Economics. Working Paper Series, 48, 1 – 36.
  • ANSOTEGUI, Carmen ve ESTEBAN, Maria Victoria (2002). Cointegration for Market Forecast in the Spanish Stock Market. Applied Economics, 34(7), 843–857.
  • BREUSCH, Trevor ve PAGAN, Adrian Rodney (1979). A Simple Test for Heteroscedasticity and Random Coefficient Variation. Econometrica, 47, 1287- 1294.
  • BODIE, Zvi (1976). Common Stocks as a Hedge Against Inflation. The Journal of Finance, 31(2), 459-470.
  • BROWN, Robert, DURBIN, James ve EVANS James. M. (1975). Techniques for Testing the Constancy of Regression Relationships over Time. Journal of the Royal Statistical Society, 37(2), 149-192.
  • CAPORALE, Guglielma Maria, HUNTER, John ve ALI, Faek Menla (2014). On the Linkages Between Stock Prices and Exchange Rates: Evidence From the Banking Crisis of 2007-2010. International Review of Financial Analysis, 33, 87-103.
  • CHEN, Nai-Fu, ROLL, Richard ve ROSS, Stephan. (1986). Economic Forces and the Stock Market. The Journal of Business, 59(3), 383-403.
  • COŞKUN, Metin, KİRACI, Kasım ve MUHAMMED, Usman. (2016). Seçilmiş Makroekonomik Değişkenlerle Hisse Senedi Fiyatları Arasındaki İlişki: Türkiye Üzerine Ampirik Bir İnceleme. Finans Politik ve Ekonomik Yorumlar, 53(616), 61.
  • DRITSAKI–BARGIOTA, Melina ve DRITSAKI, Chaido. (2004). Macroeconomic Determinants of Stock Price Movements: An Empirical Investigation of the Stock Market. 11th Annual Conference of the Multinational Finance Society, Istanbul, Turkey, July 3 – 8.
  • DULAN, Harold Andrew. (1948). Common-Stock Investment as an Inflation Hedge, 1939-46. The Journal of Business of the University of Chicago, 21(4), 230-238.
  • DURBIN, James ve WATSON, Geoffrey. (1950). Testing for Serial Correlation in Least Squares Regression. Biometrica, 37, 409-428.
  • DURUKAN, Mübeccel Banu (1999). On the Relationship Between Stock Prices and Macroeconomic Variables in Istanbul Stock Exchange. Istanbul Stock Exchange Review, 3(11), 21–50.
  • ENGLE, Robert Fry ve GRANGER, Clive William John. (1987). Co-Integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55(2), 251.
  • EYÜBOĞLU, Sinem ve EYÜBOĞLU, Kemal. (2018). Borsa İstanbul Sektör Endeksleri ile Döviz Kurları Arasındaki İlişkilerin İncelenmesi: ARDL Modeli. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 11(1), 8-28
  • FAMA, Eugene Francis. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383-417.
  • FAMA, Eugene Francis. (1981). Stock Returns, Real Activity, Inflation and Money. The American Economic Review, 71(4), 545-565.
  • GAN, Christopher, LEE, Minsoo, AU YONG, Hua Hwa ve ZHANG, Jun. (2006). Macroeconomic Variables and Stock Market Interactions: New Zealand Evidence. Investment Management and Financial Innovations, 3(4), 89-101.
  • GRANGER, Clive William John. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424-438.
  • JARQUE, Carlos Manuel Jarque ve BERA, Anil Kumar. (1980). Efficient Tests for Normality, Homoscedasticity And Serial Independence of Regression Residuals. Economics Letters, 6(3), 255–259.
  • JOHANSEN, Soren. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254.
  • KIRBAŞ-KASMAN, Saadet. (2006). Hisse Senetlerinin Fiyatlar ve Makroekonomik Değişkenler Arasında Bir İlişki Var Mı? (Is There a Relationship between Stock Prices and Macroeconomic Variables?). İktisat İşletme ve Finans, 21 (238), 88-99.
  • KOTHA, Kiran Kumar ve SAHU, Bhawna. (2016). Macroeconomic Factors and the Indian Stock Market: Exploring Long and Short Run Relationships. International Journal of Economics and Financial Issues, 6(3), 1081–1091.
  • LIN, C.hien-Hsiu. (2012). The Comovement between Exchange Rates and Stock Prices in the Asian Emerging Markets. International Review of Economics and Finance, 22(1), 161–172.
  • MAYSAMI, Ramin Cooper, HOWE, Lee Chuin ve RAHMAT, Mohamad Atkin. (2004). Relationship Between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence From Stock Exchange of Singapore's All – S Sector Indices. Journal Pengurusan, 24, 47-77.
  • MISHKIN, Frederic Stanley. (2004). The Economics of Money, Banking, and Financial Markets, 7th ed. Reading, MA: Addison-Wesley.
  • MUKHERJEE, Tarun ve NAKA, Atsuyuki. (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), 223-237.
  • MURADOGLU, Gulnur, TASKIN, Fatma ve BIGAN, Ilke. (2000). Causality between Stock Returns and Macroeconomic Variables in Emerging Markets. Russian & East European Finance and Trade, 36(6), 33-53.
  • NIEH, Chien-Chung ve LEE, Cheng-Few. (2001). Dynamic Relationship Between Stock Prices And Exchange Rates for G–7 Countries. The Quarterly Review of Economics and Finance, 41(4), 477-490.
  • ÖZER, Ali, KAYA, Abdulkadir ve ÖZER, Nevin. (2011). Hisse Senedi Fiyatları ile Makroekonomik Değişkenlerin Etkileşimi. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 26(1), 163-182.
  • PESARAN, Mohammad Hashem, SHIN, Yongcheol. ve SMITH, Richard (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16(3), 289–326.
  • RAMSEY, James Bernard (1969). Tests for Specification Errors in Classical Least-Squares Regression Analysis. Journal of the Royal Statistical Society, Series B, 31(2), 350-371.
  • SERLETIS, Apostolos. (1993). Money and Stock Prices in the United States. Applied Financial Economics, 3(1): 51-54.
  • SHRESTHA, Min Bahadur ve BHATTA, Guna Raj. (2018). Selecting Appropriate Methodological Framework for Time Series Data Analysis. The Journal of Finance and Data Science, 4(2), 71–89.
  • SHRESTHA, Min Bahadur ve CHOWDHURY, Khorshed. (2005). ARDL Modelling Approach to Testing the Financial Liberalisation Hypothesis. Economics Working Paper 05-15, Department of Economics, University of Wollongong, NSW, Australia.
  • TA, Huu Phuong ve TEO, Chun Liang. (1985). Portfolio Diversification Across İndustry Sectors. Securities Industry Review, 11(2), 33-39.
  • THORNTON, John. (1993). Money, Output and Stock Prices in the UK: Evidence on Some (Non)Relationships. Applied Financial Economics, 3(4), 335-338.
  • TURAN, Zübeyir. (2011). IMKB Ulusal-100 Endeksi ile ABD Doları Kuru ve TÜFE Arasındaki İlişkinin İncelenmesi (1986:01-2008:12). Muhasebe ve Vergi Uygulamaları Dergisi / Journal of Accounting & Taxation Studies, 4(2), 91-106.
  • WENG, Bin, MARTINEZ, Waldyn, TSAI, Yao-Te, LI, Chen, LU, Lin, BARTH, James ve MEGAHED, Fadel. (2018). Macroeconomic Indicators Alone can Predict the Monthly Closing Price of Major U.S. Indices: Insights from Artificial Intelligence, Time-Series Analysis and Hybrid Models. Applied Soft Computing Journal, 71, 685-697.
  • WILLIAMS, John Burr. (1938). The Theory of Investment Value. Cambridge, MA: Harvard University Press.
  • YUSOF, Rosylin Mohd ve MAJID, M. Shabri Abd (2007). Macroeconomic Variables and Stock Returns in Malaysıa: An Application of the ARDL Bound Testing Approach. Savings and Development, 31(4), 449-469.
  • WORLD BANK. (2020). Exports of Goods and Services (% of GDP). Erişim tarihi: 24 Mart 2020. https://data.worldbank.org/indicator/NE.EXP.GNFS.ZS
  • TİM. (2019). TİM (Türkiye İhracatçılar Meclisi) İhracat Endeksi Temel Kuralları. Erişim tarihi: 25 Mart 2019.
  • https://www.tim.org.tr/files/downloads/Mevzuat/TIMEX_Kurallar.pdf

Year 2021, Volume: 13 Issue: 25, 457 - 473, 31.07.2021

Emrullah Gün Ebru Yüksel Haliloğlu

https://doi.org/10.14784/marufacd.976568

Abstract

References

  • AKEL, Veli ve GAZEL, Sümeyra. (2014). Döviz Kurları ile BIST Sanayi̇ Endeksi̇ Arasındaki̇ Eşbütünleşme İlişkisi: Bir ARDL Sınır Testi̇ Yaklaşımı. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 44, 23-41.
  • ALTAY, Erdinc. (2003). The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework. Martin –Luther University Halle-Wittenberg Faculty of Economics. Working Paper Series, 48, 1 – 36.
  • ANSOTEGUI, Carmen ve ESTEBAN, Maria Victoria (2002). Cointegration for Market Forecast in the Spanish Stock Market. Applied Economics, 34(7), 843–857.
  • BREUSCH, Trevor ve PAGAN, Adrian Rodney (1979). A Simple Test for Heteroscedasticity and Random Coefficient Variation. Econometrica, 47, 1287- 1294.
  • BODIE, Zvi (1976). Common Stocks as a Hedge Against Inflation. The Journal of Finance, 31(2), 459-470.
  • BROWN, Robert, DURBIN, James ve EVANS James. M. (1975). Techniques for Testing the Constancy of Regression Relationships over Time. Journal of the Royal Statistical Society, 37(2), 149-192.
  • CAPORALE, Guglielma Maria, HUNTER, John ve ALI, Faek Menla (2014). On the Linkages Between Stock Prices and Exchange Rates: Evidence From the Banking Crisis of 2007-2010. International Review of Financial Analysis, 33, 87-103.
  • CHEN, Nai-Fu, ROLL, Richard ve ROSS, Stephan. (1986). Economic Forces and the Stock Market. The Journal of Business, 59(3), 383-403.
  • COŞKUN, Metin, KİRACI, Kasım ve MUHAMMED, Usman. (2016). Seçilmiş Makroekonomik Değişkenlerle Hisse Senedi Fiyatları Arasındaki İlişki: Türkiye Üzerine Ampirik Bir İnceleme. Finans Politik ve Ekonomik Yorumlar, 53(616), 61.
  • DRITSAKI–BARGIOTA, Melina ve DRITSAKI, Chaido. (2004). Macroeconomic Determinants of Stock Price Movements: An Empirical Investigation of the Stock Market. 11th Annual Conference of the Multinational Finance Society, Istanbul, Turkey, July 3 – 8.
  • DULAN, Harold Andrew. (1948). Common-Stock Investment as an Inflation Hedge, 1939-46. The Journal of Business of the University of Chicago, 21(4), 230-238.
  • DURBIN, James ve WATSON, Geoffrey. (1950). Testing for Serial Correlation in Least Squares Regression. Biometrica, 37, 409-428.
  • DURUKAN, Mübeccel Banu (1999). On the Relationship Between Stock Prices and Macroeconomic Variables in Istanbul Stock Exchange. Istanbul Stock Exchange Review, 3(11), 21–50.
  • ENGLE, Robert Fry ve GRANGER, Clive William John. (1987). Co-Integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55(2), 251.
  • EYÜBOĞLU, Sinem ve EYÜBOĞLU, Kemal. (2018). Borsa İstanbul Sektör Endeksleri ile Döviz Kurları Arasındaki İlişkilerin İncelenmesi: ARDL Modeli. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 11(1), 8-28
  • FAMA, Eugene Francis. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383-417.
  • FAMA, Eugene Francis. (1981). Stock Returns, Real Activity, Inflation and Money. The American Economic Review, 71(4), 545-565.
  • GAN, Christopher, LEE, Minsoo, AU YONG, Hua Hwa ve ZHANG, Jun. (2006). Macroeconomic Variables and Stock Market Interactions: New Zealand Evidence. Investment Management and Financial Innovations, 3(4), 89-101.
  • GRANGER, Clive William John. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424-438.
  • JARQUE, Carlos Manuel Jarque ve BERA, Anil Kumar. (1980). Efficient Tests for Normality, Homoscedasticity And Serial Independence of Regression Residuals. Economics Letters, 6(3), 255–259.
  • JOHANSEN, Soren. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254.
  • KIRBAŞ-KASMAN, Saadet. (2006). Hisse Senetlerinin Fiyatlar ve Makroekonomik Değişkenler Arasında Bir İlişki Var Mı? (Is There a Relationship between Stock Prices and Macroeconomic Variables?). İktisat İşletme ve Finans, 21 (238), 88-99.
  • KOTHA, Kiran Kumar ve SAHU, Bhawna. (2016). Macroeconomic Factors and the Indian Stock Market: Exploring Long and Short Run Relationships. International Journal of Economics and Financial Issues, 6(3), 1081–1091.
  • LIN, C.hien-Hsiu. (2012). The Comovement between Exchange Rates and Stock Prices in the Asian Emerging Markets. International Review of Economics and Finance, 22(1), 161–172.
  • MAYSAMI, Ramin Cooper, HOWE, Lee Chuin ve RAHMAT, Mohamad Atkin. (2004). Relationship Between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence From Stock Exchange of Singapore's All – S Sector Indices. Journal Pengurusan, 24, 47-77.
  • MISHKIN, Frederic Stanley. (2004). The Economics of Money, Banking, and Financial Markets, 7th ed. Reading, MA: Addison-Wesley.
  • MUKHERJEE, Tarun ve NAKA, Atsuyuki. (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), 223-237.
  • MURADOGLU, Gulnur, TASKIN, Fatma ve BIGAN, Ilke. (2000). Causality between Stock Returns and Macroeconomic Variables in Emerging Markets. Russian & East European Finance and Trade, 36(6), 33-53.
  • NIEH, Chien-Chung ve LEE, Cheng-Few. (2001). Dynamic Relationship Between Stock Prices And Exchange Rates for G–7 Countries. The Quarterly Review of Economics and Finance, 41(4), 477-490.
  • ÖZER, Ali, KAYA, Abdulkadir ve ÖZER, Nevin. (2011). Hisse Senedi Fiyatları ile Makroekonomik Değişkenlerin Etkileşimi. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 26(1), 163-182.
  • PESARAN, Mohammad Hashem, SHIN, Yongcheol. ve SMITH, Richard (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16(3), 289–326.
  • RAMSEY, James Bernard (1969). Tests for Specification Errors in Classical Least-Squares Regression Analysis. Journal of the Royal Statistical Society, Series B, 31(2), 350-371.
  • SERLETIS, Apostolos. (1993). Money and Stock Prices in the United States. Applied Financial Economics, 3(1): 51-54.
  • SHRESTHA, Min Bahadur ve BHATTA, Guna Raj. (2018). Selecting Appropriate Methodological Framework for Time Series Data Analysis. The Journal of Finance and Data Science, 4(2), 71–89.
  • SHRESTHA, Min Bahadur ve CHOWDHURY, Khorshed. (2005). ARDL Modelling Approach to Testing the Financial Liberalisation Hypothesis. Economics Working Paper 05-15, Department of Economics, University of Wollongong, NSW, Australia.
  • TA, Huu Phuong ve TEO, Chun Liang. (1985). Portfolio Diversification Across İndustry Sectors. Securities Industry Review, 11(2), 33-39.
  • THORNTON, John. (1993). Money, Output and Stock Prices in the UK: Evidence on Some (Non)Relationships. Applied Financial Economics, 3(4), 335-338.
  • TURAN, Zübeyir. (2011). IMKB Ulusal-100 Endeksi ile ABD Doları Kuru ve TÜFE Arasındaki İlişkinin İncelenmesi (1986:01-2008:12). Muhasebe ve Vergi Uygulamaları Dergisi / Journal of Accounting & Taxation Studies, 4(2), 91-106.
  • WENG, Bin, MARTINEZ, Waldyn, TSAI, Yao-Te, LI, Chen, LU, Lin, BARTH, James ve MEGAHED, Fadel. (2018). Macroeconomic Indicators Alone can Predict the Monthly Closing Price of Major U.S. Indices: Insights from Artificial Intelligence, Time-Series Analysis and Hybrid Models. Applied Soft Computing Journal, 71, 685-697.
  • WILLIAMS, John Burr. (1938). The Theory of Investment Value. Cambridge, MA: Harvard University Press.
  • YUSOF, Rosylin Mohd ve MAJID, M. Shabri Abd (2007). Macroeconomic Variables and Stock Returns in Malaysıa: An Application of the ARDL Bound Testing Approach. Savings and Development, 31(4), 449-469.
  • WORLD BANK. (2020). Exports of Goods and Services (% of GDP). Erişim tarihi: 24 Mart 2020. https://data.worldbank.org/indicator/NE.EXP.GNFS.ZS
  • TİM. (2019). TİM (Türkiye İhracatçılar Meclisi) İhracat Endeksi Temel Kuralları. Erişim tarihi: 25 Mart 2019.
  • https://www.tim.org.tr/files/downloads/Mevzuat/TIMEX_Kurallar.pdf
There are 44 citations in total.

Details

Primary Language Turkish
Journal Section Makaleler
Authors

Emrullah Gün This is me

Ebru Yüksel Haliloğlu

Publication Date July 31, 2021
Submission Date October 1, 2020
Published in Issue Year 2021 Volume: 13 Issue: 25

Cite

APA Gün, E., & Yüksel Haliloğlu, E. (2021). SERMAYE PİYASALARI VE MAKROEKONOMİK GÖRÜNÜM: İHRACATÇI ŞİRKETLER ÜZERİNE BİR ANALİZ. Finansal Araştırmalar Ve Çalışmalar Dergisi, 13(25), 457-473. https://doi.org/10.14784/marufacd.976568