Analysis of the Relationship between Economic Freedom Index and Stock Market Indices; Evidence from Turkey

Year 2019, Issue: 111, 117 - 134, 30.04.2019

Esra N. Kılcı

https://doi.org/10.33203/mfy.491636

Cited By: 5

Abstract

According to the Heritage
Foundation Economic Freedom Index, Turkey, with a overall score of 65.4, seems
below the regional average. On the other hand, BIST 100 has a good performance
with a nearly %20 rise from 2016 to 2017 except the last nine-month period
performance. The objective of this study is to analyze the causality relationship
between Economic Freedom Index and BIST 100 in the period of 1995-2018 by
employing Fourier KPSS Test and Fourier Granger Causality Test. The results supported
no causality relationship between economic freedom index and stock market
indices in Turkey in the period of 1995-2018. 

Ekonomik Özgürlük Endeksi ve Hisse Senedi Piyasası Endeksi Arasındaki İlişkinin Analizi; Türkiye Örneği

Abstract

Heritage Ekonomik Özgürlük
Endeksi’ne göre, Türkiye, 65,4 seviyesindeki puanıyla, bölgesel ortalamanın
altında seyretmektedir. Diğer yandan, Türkiye hisse senedi piyasası (BIST100)
endeks değeri, son dokuz aylık performansı hariç tutulduğunda, 2016-2017
döneminde kaydettiği %20’lik artışla olumlu bir performansa sahiptir. Bu
çalışmanın amacı, 1995-2018 döneminde, sözkonusu değişkenlere ait yıllık
verileri kullanarak, Ekonomik Özgürlük Endeksi ile BIST100 arasındaki
nedensellik ilişkisini, Fourier KPSS Testi ve Fourier Granger Nedensellik
Testi’ni kullanarak analiz etmektir. Analiz sonuçları, sözkonusu dönemde,
Türkiye’de, Ekonomik Özgürlük Endeksi ile BIST100 arasında bir nedensellik
ilişkisini desteklememektedir. 

Keywords

Economic Freedom Index, Stock Market

References

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