Taşıma Ücretlerindeki Değişimden Korkulmalı mı? Uluslararası Deniz Taşımacılığı Maliyetleri ve Borsa Getirileri Arasında Bir Nedensellik Analizi

Abstract

Bu çalışmada, borsa endeksleri ile uluslararası taşıma alınmaktadır. Bu nedenle çalışmada, Dow Jones Birleşik Ortalama endeksi DJA ve Borsa İstanbul Sınai endeksinin BIST-Ind. Baltık Kuru Yük endeksi BDI ile 2007 küresel finansal kriz döneminde Yamamoto olmadığını ortaya koymaya çalışılmaktadır. Çalışmanın verileri endekslerin haftalık getirileri üzerinden hesaplanmıştır. Çalışmanın sonucunda BIST’ten BDI’ya ve BIST Sınai endeksinden BDI’ya doğru tek yönlü bir nedensellik bulunurken DJA ve BDI arasında karşılıklı bir nedensellik ilişkisi bulunmaktadır. Çalışmanın bulguları dahilinde küresel finansal kriz döneminde uluslararası deniz taşımacılığı maliyetleri dikkate alındığında BISTSınai endeksinin DJA’dan ayrıştığı görülmüştür. Böylelikle, uluslararası taşımacılık maliyetlerinin bu nedenle daha küresel sınai endeksler üzerinde etkili olduğu sonucuna varılmıştır

Keywords

• Küresel Finansal Kriz, Baltık Kuru Yük Endeksi, Borsa İstanbul, Dow Jones Birleşik Ortalama Endeksi, Toda-Yamamoto Nedensellik Testi.

Should Be Frightened of Change in Freight Rates? A Casuality Analysis Between International Maritime Transportation Costs and Industrial Stock Market Returns

Abstract

This paper examines on the linkage among stock indexes and transportation costs in global financial crisis. Therefore, we aim to find out whether Dow Jones Composite Average DJA and Istanbul Stock Exchange Industrial BIST-Ind. have causality relation with Baltic Dry Index BDI in 2007-2009 global financial crisis by performing Toda-Yamamoto 1995 causality test with weekly returns of indexes. Tests confirm unidirectional causality from BIST-Ind. to BDI and bidirectional causality between DJA and BDI. Test results show that BIST-Ind. decoupled from DJA in the 2008 global financial crisis when international maritime transportation cost are taken into account. Thus, the impact of international freight rates is influential over more globalized industrial stock markets

Keywords

• Global Financial Crisis, Baltic Dry Index, Istanbul Stock Exchange, Dow Jones Composite Average, Toda-Yamamoto Causality Test.

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