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TÜRKİYE’DE BİST 100 ENDEKS (FİYAT) DEĞERLERİ İLE FAİZ ORANI VE DÖVİZ KURLARI ARASINDAKİ NEDENSELLİK İLİŞKİNİN JOHANSEN EŞBÜTÜNLEŞME TESTİ İLE ANALİZİ

Year 2016, Volume 5, Issue 2, 182 - 213, 31.12.2016

Abstract

Bu çalışma Türkiye’de (Fiyat) BIST 100 Endeks Kapanış Fiyatlarına Göre (Ocak 1986=1)(BIST), Ağırlıklı Ortalama Faiz Oranı (AOFO), A.B.D. Dola- rı (Efektif Alış)(USD) ve EURO (Efektif Alış)(EUR) arasında uzun dönemli eşbütünleşme ilişkisinin varlığı incelenmektedir. Johansen Eşbütünleşme Testi’nin sonuçları, ardından her bir değişken için oluşturulan regresyon denklemleri ve Hata Düzeltme Modeli (VECM) Katsayısı Eklenmiş Regresyon Denkleminin Sonuçları ile bulgular sağlamlaştırılmaya çalışılmıştır. Teyit edilen bulgular temelinde, değişkenler arasındaki nedensellik Granger nedensellik testi (Wald) ve Etki-tepki grafikleri ile incelenmiştir. Elde edilen sonuçlar ışığında, Turkiye’de Hisseye Yönelik Model (Stock-oriented models) veya Akıma Yönelik Model yaklaşımlarından hangisinin geçerli olduğuna ilişkin tespitin yapılması hedeflenmektedir. Değişkenler arasında eşbütünleşme ilişkisinin geçerli olup olmadığının, varsa nedenselliğin türünün, yönünün ve şiddetinin anlaşılmasının, portföy yönetim stratejilerinde kullanılacak yöntemlerin doğru tespit edilmesi konusunda faydalı olacağı ve kul- lanılan yöntemlerin başarı şansını arttıracağı değerlendirilmektedir.

References

  • Alagidede, Paul, Theodore Panagiotidis ve Xu Zhang, “Causal Relationship between Stock Prices and Exchange Rates”, Stirling Economics Discus- sion Paper 2010-05, February 2010, pp.2-21, s.2-6-7, http://www.economics.stir.ac.uk, (Erişim Tarihi: 9 Ekim 2016).
  • Arfaoui, Mongi ve Aymen Ben Rejeb, “Return Dynamics and Volatility Spillovers Between FOREX and Stock Markets in MENA Countries: What to Remember for Portfolio Choice?”, International Journal of Management and Economics
No. 46, April–June 2015, pp. 72–100, s.87.
  • Bahmani-Oskooee, Mohsen ve Ahmad Sohrabian, “Stock prices and the effective exchange rate of the dollar”, Applied Economics, 1992, 24, pp.459-464, s.463.
  • Branson, William H., “Macroeconomic Determinants of Real Exchange Rates”, Research Papers in Economics Publications, Working Paper No: 801, National Bureu of Economic Research, November 1981, pp.1- 55.
  • Dickey, David A. ve Wayne A. Fuller, “Likelihood Ratio Statistics for Auto- regressive Time Series with a Unit Root,” Econometrica, The Econo- metric Society, 49/4, July, 1981, pp.1057-1072.
  • Dornbusch, Rudi ve Fischer, Stanley, “Exchange Rates and the Current Ac- count”, American Economic Review. Dec. 1980, Vol. 70, pp.960-971.
  • Granger, C.J.W., “Investigating causal relations by econometric models and cross-spectral methods”, Econometrica, Journal of the Econometric Society, Vol.37, No.3, July 1969, pp.424–438, s.427.
  • Ingalhalli, Varsha, Poormina B. G. ve Y.V. Reddy, “A Study on Dynamic Relationship Between Oil, Gold, Forex and Stock Markets in Indian Context”, Paradigm, Jun. 2016, Vol. 20, Issue 1, pp.83-91, s.89.
  • Johansen, Soren ve Katarina Juselius, “Maximum likelihood estimation and inferences on cointegration with application to the demand for Money”, Oxford Bulletin of Economics and Statistics, 52, 2, 1990, pp.169–210.
  • Kuo, Chen Yin, “Is the liberalization policy effective on improving bivariate cointegration of current accounts, foreign exchange, stock prices? Further evidence from Asian markets”, Springer, Quality & Quantity, June 2013, Volume 47, Issue 4, pp.1923–1941, s.1924.
  • Mackinnon, James G., Alfred A. Haug, Leo Michelis, “Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration”, Journal of Applied Econometrics, John Wiley & Sons, 9/1/1999, Vol. 14, Issue 5, pp.563-577.
  • Mishra, Shekhar, “An Econometric Investigation of Long and Short Run Relationship among Global Crude Oil Price, Exchange Rate and Stock Price in India: An ARDL-UECM Approach”, Vilakshan: The XIMB Journal of Management. Dec. 2015, Vol. 12 Issue 2, pp.1-20, s.17.
  • Nazlıoğlu, Şaban ve Uğur Soytaş, “Oil price, agricultural commodity prices, and the dollar: A panel cointegration and causality analysis”, Volume 34, Issue 4, July 2012, pp.1098-1104.
  • Nieh, Chien-Chung ve Cheng-Few Lee, “Dynamic relationship between stock prices and exchange rates for G-7 countries”, Elsevier, The Quarterly Review of Economics and Finance 41, 2001, pp.477–490, s.487.
  • Pan, Ming-Shiun Pan, Robert Chi-Wing Fok ve Y. Angela Liu, “Dynamic linkages between exchange rates and stock prices: Evidence from East Asian markets”, International Review of Economics and Finance 16, 2007, pp.503–520, s.519.
  • Phylaktis, Kate ve Fabiola Ravazzolo, “Stock prices and exchange rate dynamics", Elsevier, Journal of International Money and Finance 24, 2005, pp.1031-1053.
  • Rezitis, Anthony N., “The relationship between agricultural commodity prices, crude oil prices and US dollar exchange rates: a panel VAR appro- ach and causality analysis”, International Review of Applied Econo- mics, 2015, 29:3, pp.403-434, s.432.
  • Sjö, Bo, “Testing for Unit Roots and Cointegration”, Aug 2008, s.4, https://www.iei.liu.se/nek/ekonometrisk-teori-7-5-hp- 730a07/labbar/1.233753/dfdistab7b .pdf, (Erişim Tarihi: 12 Eylül 2016).
  • Türkiye Cumhuriyet Merkez Bankası, Elektronik Veri Dağıtım Servisi, http://evds.tcmb.gov.tr, (Erişim Tarihi: 6 Eylül 2016).
  • Yang, Zheng, Anthony H. Tu ve Yong Zeng, “Dynamic linkages between Asian stock prices and exchange rates: new evidence from causality in quantiles”, Applied Economics, 2014, Vol. 46, No. 11, pp.1184–1201, s.1200.
  • Zhao, Hua, “Dynamic relationship between exchange rate and stock price: Evidence from China”, Elsevier, Research in International Business and Finance 24, 2010, pp.103–112, s.110.

Year 2016, Volume 5, Issue 2, 182 - 213, 31.12.2016

Abstract

References

  • Alagidede, Paul, Theodore Panagiotidis ve Xu Zhang, “Causal Relationship between Stock Prices and Exchange Rates”, Stirling Economics Discus- sion Paper 2010-05, February 2010, pp.2-21, s.2-6-7, http://www.economics.stir.ac.uk, (Erişim Tarihi: 9 Ekim 2016).
  • Arfaoui, Mongi ve Aymen Ben Rejeb, “Return Dynamics and Volatility Spillovers Between FOREX and Stock Markets in MENA Countries: What to Remember for Portfolio Choice?”, International Journal of Management and Economics
No. 46, April–June 2015, pp. 72–100, s.87.
  • Bahmani-Oskooee, Mohsen ve Ahmad Sohrabian, “Stock prices and the effective exchange rate of the dollar”, Applied Economics, 1992, 24, pp.459-464, s.463.
  • Branson, William H., “Macroeconomic Determinants of Real Exchange Rates”, Research Papers in Economics Publications, Working Paper No: 801, National Bureu of Economic Research, November 1981, pp.1- 55.
  • Dickey, David A. ve Wayne A. Fuller, “Likelihood Ratio Statistics for Auto- regressive Time Series with a Unit Root,” Econometrica, The Econo- metric Society, 49/4, July, 1981, pp.1057-1072.
  • Dornbusch, Rudi ve Fischer, Stanley, “Exchange Rates and the Current Ac- count”, American Economic Review. Dec. 1980, Vol. 70, pp.960-971.
  • Granger, C.J.W., “Investigating causal relations by econometric models and cross-spectral methods”, Econometrica, Journal of the Econometric Society, Vol.37, No.3, July 1969, pp.424–438, s.427.
  • Ingalhalli, Varsha, Poormina B. G. ve Y.V. Reddy, “A Study on Dynamic Relationship Between Oil, Gold, Forex and Stock Markets in Indian Context”, Paradigm, Jun. 2016, Vol. 20, Issue 1, pp.83-91, s.89.
  • Johansen, Soren ve Katarina Juselius, “Maximum likelihood estimation and inferences on cointegration with application to the demand for Money”, Oxford Bulletin of Economics and Statistics, 52, 2, 1990, pp.169–210.
  • Kuo, Chen Yin, “Is the liberalization policy effective on improving bivariate cointegration of current accounts, foreign exchange, stock prices? Further evidence from Asian markets”, Springer, Quality & Quantity, June 2013, Volume 47, Issue 4, pp.1923–1941, s.1924.
  • Mackinnon, James G., Alfred A. Haug, Leo Michelis, “Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration”, Journal of Applied Econometrics, John Wiley & Sons, 9/1/1999, Vol. 14, Issue 5, pp.563-577.
  • Mishra, Shekhar, “An Econometric Investigation of Long and Short Run Relationship among Global Crude Oil Price, Exchange Rate and Stock Price in India: An ARDL-UECM Approach”, Vilakshan: The XIMB Journal of Management. Dec. 2015, Vol. 12 Issue 2, pp.1-20, s.17.
  • Nazlıoğlu, Şaban ve Uğur Soytaş, “Oil price, agricultural commodity prices, and the dollar: A panel cointegration and causality analysis”, Volume 34, Issue 4, July 2012, pp.1098-1104.
  • Nieh, Chien-Chung ve Cheng-Few Lee, “Dynamic relationship between stock prices and exchange rates for G-7 countries”, Elsevier, The Quarterly Review of Economics and Finance 41, 2001, pp.477–490, s.487.
  • Pan, Ming-Shiun Pan, Robert Chi-Wing Fok ve Y. Angela Liu, “Dynamic linkages between exchange rates and stock prices: Evidence from East Asian markets”, International Review of Economics and Finance 16, 2007, pp.503–520, s.519.
  • Phylaktis, Kate ve Fabiola Ravazzolo, “Stock prices and exchange rate dynamics", Elsevier, Journal of International Money and Finance 24, 2005, pp.1031-1053.
  • Rezitis, Anthony N., “The relationship between agricultural commodity prices, crude oil prices and US dollar exchange rates: a panel VAR appro- ach and causality analysis”, International Review of Applied Econo- mics, 2015, 29:3, pp.403-434, s.432.
  • Sjö, Bo, “Testing for Unit Roots and Cointegration”, Aug 2008, s.4, https://www.iei.liu.se/nek/ekonometrisk-teori-7-5-hp- 730a07/labbar/1.233753/dfdistab7b .pdf, (Erişim Tarihi: 12 Eylül 2016).
  • Türkiye Cumhuriyet Merkez Bankası, Elektronik Veri Dağıtım Servisi, http://evds.tcmb.gov.tr, (Erişim Tarihi: 6 Eylül 2016).
  • Yang, Zheng, Anthony H. Tu ve Yong Zeng, “Dynamic linkages between Asian stock prices and exchange rates: new evidence from causality in quantiles”, Applied Economics, 2014, Vol. 46, No. 11, pp.1184–1201, s.1200.
  • Zhao, Hua, “Dynamic relationship between exchange rate and stock price: Evidence from China”, Elsevier, Research in International Business and Finance 24, 2010, pp.103–112, s.110.

Details

Primary Language Turkish
Subjects Social
Journal Section Research Articles
Authors

Sonat BAYRAM This is me
NİŞANTAŞI ÜNİVERSİTESİ
Türkiye

Publication Date December 31, 2016
Application Date July 1, 2016
Acceptance Date
Published in Issue Year 2016, Volume 5, Issue 2

Cite

APA Bayram, S. (2016). TÜRKİYE’DE BİST 100 ENDEKS (FİYAT) DEĞERLERİ İLE FAİZ ORANI VE DÖVİZ KURLARI ARASINDAKİ NEDENSELLİK İLİŞKİNİN JOHANSEN EŞBÜTÜNLEŞME TESTİ İLE ANALİZİ . Trakya Üniversitesi İktisadi ve İdari Bilimler Fakültesi E-Dergi , 5 (2) , 182-213 . Retrieved from https://dergipark.org.tr/en/pub/trakyaiibf/issue/57832/829916