Türkiye’de hisse senedi fiyatları ile reel döviz kuru arasındaki ilişki: Simetrik ve asimetrik nedensellik analizi

Year 2021, Volume: 14 Issue: 2, 396 - 412, 12.04.2021

Burak Sertkaya , Mehmet Songur

https://doi.org/10.25287/ohuiibf.703751

Cited By: 4

Abstract

Küresel piyasaların her geçen gün daha global bir yapıya sahip olması, ülkelerin döviz kurları ve hisse senedi piyasaları üzerinde daha etkili olmaktadır. İzlenen her türlü politika döviz piyasalarına ve hisse senedi piyasalarına doğrudan yansımaktadır. Bu bakımdan her iki piyasada meydana gelen tepkiler ortaya konulan politikaların sonuçları bakımından önem teşkil eder. Hisse senedi piyasaları ile döviz kuru piyasalarında ortaya çıkacak herhangi bir politika değişimi, söz konusu iki piyasaya hızlı bir şekilde yansıyacaktır. Sermaye akımlarına oldukça duyarlı olan Türkiye gibi gelişmekte olan ülkelerde ise, döviz kurları ile hisse senedi piyasaları arasında yakın bir ilişki vardır. Bu çalışmada, Türkiye için hisse senedi fiyatları ile reel döviz kurları arasındaki ilişkinin varlığı farklı döviz kuru yaklaşımları çerçevesinde ampirik olarak analiz edilmiştir. Söz konusu ilişkinin varlığı 1996:2-2018:6 dönemi için aylık hisse senedi endeksi ve reel döviz kuru endeksi verileri kullanılarak ele alınmıştır. Çalışmadaki değişkenler arasındaki ilişki, nedensellik sonucuna bağlı olarak karşılaştırma imkânı sunması nedeniyle simetrik ve asimetrik nedensellik testleri ile analiz edilmiştir. Belirtilen ampirik analize göre, değişkenler arasındaki nedensellik ilişkisinin farklılaştığı gözlenmiştir. Simetrik analize göre, hisse senedi fiyatları reel döviz kuru endeksinin nedenidir. Asimetrik analize göre, pozitif bileşenlerde değişkenler arasında karşılıklı bir nedensellik ilişkisi vardır. Negatif bileşenlerde ise, değişkenler arasında karşılıklı nedensellik ilişkisi yoktur.

Keywords

Hisse Senedi Fiyatları, Reel Döviz Kuru, Simetrik ve asimetrik nedensellik analizi

Relationship between stock prices and real exchange rate in Turkey: Symmetric and asymmetric causality analysis

Abstract

The fact that the global markets have a more global structure day by day is more effective on the exchange rates and stock markets of the countries. All kinds of policies followed directly reflect on foreign exchange markets and stock markets. In this respect, the reactions that occur in both markets are important in terms of the results of the policies put forward. Any change in the stock markets and exchange rate markets will be reflected in these two markets quickly. In developing countries such as Turkey which is highly sensitive to capital flows, there is a close relationship between exchange rates and stock markets. In this study, the presence of the relationship between stock prices and real exchange rates in Turkey were analyzed under different exchange rate empirical approaches. The existence of the mentioned relationship is examined by using monthly stock index and real exchange rate index data for the period 1996:2-2018:6. The relationship between the variables in the study was analyzed with symmetric and asymmetric causality tests because of the possibility of comparison based on the causality result. According to the empirical analysis, it was observed that the causality relationship between the variables varied. According to symmetric analysis, stock prices are the cause of the real exchange rate index. According to asymmetric analysis, there is a bilateral causality relationship between variables for positive components. In negative components, there is no bilateral causality relationship between variables.

Keywords

Stock Prices, Real Exchange Rate, Symmetric and Asymmetric Causality Analysis

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