Time Varying Causality Relationships Between Bonds and Stock Markets: Findings of the Hatemi-J Dynamic Causality Test

Abstract

Economic developments and the uncertainty in risk factors can change the relationships between asset classes over time. Assuming that the relations between financial markets are of static in nature will result in erroneous investment and policy decisions, even if they are dynamic in reality. Focusing on the causality relationships between bond and stock markets, which has a central point of finance theory, this study aims to reveal whether there is symmetric and asymmetric causality relationship from bond market to the stock market, and if there is, whether this relationship changes over time. Dynamic symmetric and asymmetric causality tests developed by Hatemi-J (2021) are adopted as the analysis method. Dynamic symmetric and asymmetric causality test findings show that the causality relationship from bond market to the stock market changes over time. In conclusion, this study suggest that static models can lead to biased decisions such as hedging, diversification and asset allocation by demonstrating the structural changes and time dependency in the causal relationships between the bond and the stock market.

Keywords

• Asset Markets Linkages
• Time Varying Causality
• Hatemi-J Dynamic Causality Test

Project Number

Yoktur

Tahvil ve Hisse Senedi Piyasaları Arasında Zamanla Değişen Nedensellik İlişkileri: Hatemi-J Dinamik Nedensellik Testi Bulguları

Abstract

İktisadi gelişmeler ve risk faktörlerindeki belirsizlik durumu varlık sınıfları arasındaki ilişkileri zamana bağlı olarak
değiştirebilmektedir. Finans teorisinde merkezi bir konumda olan tahvil ve hisse senedi piyasaları arasındaki nedensellik
ilişkilerine odaklanan bu çalışma, tahvil piyasasından hisse senedi piyasasına doğru simetrik ve asimetrik nedensellik
ilişkisinin olup olmadığını ve eğer varsa bu ilişkinin zamana bağlı olarak değişip değişmediğini ortaya koymayı
amaçlamaktadır. Analiz yöntemi olarak Hatemi-J (2021) tarafından geliştirilen dinamik simetrik ve asimetrik nedensellik
testleri benimsenmiştir. Analiz Ocak 1980 ile Nisan 2022 tarihleri arasında gerçekleştirilmiş ve ABD (Amerika Birleşik
Devletleri) tahvil ve hisse senedi piyasası incelenmiştir. Dinamik simetrik ve asimetrik nedensellik testi bulguları tahvil
piyasasından hisse senedi piyasasına doğru olan nedensellik ilişkisinin zamana bağlı olarak değiştiğini göstermektedir. Yani
tahvil piyasası ile hisse senedi piyasası arasındaki nedensellik ilişkilerinde yapısal değişimler ve zaman bağımlılığı
mevcuttur. Bu durumda statik modellerin riskten korunma, çeşitlendirme ve varlık dağılımı gibi kararlarda taraflı
yönlendirme yapabileceği ortaya konulmuş olmaktadır.

Keywords

• Varlık Piyasaları Arası İlişkiler
• Zamanla Değişen Nedensellik
• Hatemi-J Dinamik Nedensellik Testi

Supporting Institution

Yoktur

Project Number

Yoktur

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