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Bankacılık Sektörü Hisse Senedi Endeksi İle Enflasyon Arasındaki İlişki: Yedi Ülke Örneği

Year 2013, Volume: 20 Issue: 2, 37 - 50, 01.06.2013

Aslı Yüksel Aydın Yüksel

Abstract

The objective of this study is to analyze the relationship between banking sector stock index and consumer price index in seven countries. While there exist numerous studies in the literature on the relationship between stock market index and consumer price index, only few publications examine the relationship between sector indicies and consumer price index. This study aims to fill this gap in the literature. The long-term relationship is analyzed using Johansen Cointegration Analysis and ARDL(Autoregressive Distributed Lag) model. The results show that there is a long-term relationship between banking sector stock index and consumer price index only in Argentina. Moreover, the use of Granger Causality Analysis indicates that there is no causality between banking sector stock index and consumer price index in the U.S., Austria and Hungary.

Keywords

Banking sector stock return inflation cointegration analysis

References

  • ALAGIDEDE, Paul (2009), “ Relationship Between Stock Returns and Inflation”, Applied Economics Letters, 16, 1403–1408.
  • ANARI, Ali ve James KOLARI (2001), “Stock Prices and Inflation”, Journal of Financial Research, 24, 587−602.
  • ANTWERPEN, D. Van (2010), “Hedging Inflation by Selecting Stock Industries”, Thesis Erasmus School of Economics, 1-30.
  • BODIE, Zvi (1976), “Common Stocks as a Hedge Against Inflation”, Journal of Finance, 31, 459– 70.
  • BOUDOUKH, Jacob ve Matthew RICHARDSON (1993), “Stock Returns and Inflation: A LongHorizon Perspective”, American Economic Review, 83, 1346−1355.
  • BOURKE, Philip (1989), “Concentration and Other Determinants of Bank Profitability in Europe, North America and Australia”, Journal of Banking and Finance, 13(1), 65-79.
  • BOYD, John H., LEVINE, Ross ve Bruce SMITH (2001), “ The Impact of Inflation on Financial Market Performance”, Journal of Monetary Economics, 47, 221-248.
  • DANTHINE, Jean Pierre ve John B. DONALDSON (1986), “Inflation and Asset Prices in an Exchange Economy”, Econometrica, 54(3), 585–606.
  • DEMIRGUC-KUNT Aslı ve Ross LEVINE (1996), “Stock Market Development and Financial Intermediaries: Stylized Facts”, Word Bank Economic Review, 10(2), 291-321.
  • DICKEY, David ve Wayne A. FULLER (1981), “ Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, 49(4), 1057-1072.
  • FAMA, Eugene (1981), “Stock Returns, Real Activity, Inflation and Money”, American Economic Review, 71, 545-565.
  • FAMA, Eugene ve William G. SCHWERT (1977), “ Asset Returns and Inflation”, Journal of Business, 55, 201–231.
  • FISHER, Irving (1930), The Theory of Interest , New York: Macmillan Co. 1 st edition.
  • GIRARD, Eric, NOLAN, James ve Tony PONDILLO (2010), “ Determinants of Emerging Markets’ Commercial Bank Stock Returns”, Global Journal of Business Research, 4(2), 11GREGORIOU Andros ve Alexandros KONTONIKAS (2010), “The Long Run Relationship Between Stock Prices and Goods Prices: New Evidence From Panel Cointegration”, Journal of International Financial Markets, Institutions and Money, 20(2), 166-176.
  • GROENEWOLD, Nicolaas, O’ROURKE, Gregory ve Stephen THOMAS (1997), “ Stock Returns and Inflation: A Macro Analysis”, Applied Financial Economics, 7(2), 127-136.
  • GULTEKIN, Bülent N. (1983), “ Stock Market Returns and Inflation: Evidence From Other Countries”, Journal of Finance, 38, 49−65.
  • GÜLHAN, Ünal ve Evcan UZUNLAR (2011), “Bankacılık Sektöründe Kârlılığı Etkileyen Faktörler: Türk Bankacılık Sektörüne Yönelik Bir Uygulama”, Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 15 (1), 341-368.
  • JAFFE, Jeffrey ve Gerson MANDELKER (1976), “The Fisher Effect for Risky Assets: An Empirical Investigation”, Journal of Finance, 31, 447–548.
  • JOHANSEN, Soren ve Katarina JUSELIUS (1990), “ Maximum Likelihood Estimation and Inference on Cointegration – with Applications to the Demand for Money”, Oxford Bulletin of Economics and Statistics, 52, 169–210.
  • KWIATKOWSKI, Denis, PHILLIPS, Peter, SCHMIDT, Peter ve Yongcheol SHIN (1992), “Testing The Null Hypothesis of Stationarity Against the Alternative of a Unit Root”, Journal of Econometrics, 54, 159-178.
  • LEHMAN, Sergio (2004), “Crisis Prevention: Domestic Policy Framework and International Financial Architecture”, The 3rd Annual PECC Finance Conferance, 1-35.
  • LUINTEL, Kul B. ve Krishna PAUDYAL (2006), “ Are Common Stocks a Hedge Against Inflation?”, The Journal of Financial Research, 29(1), 1-19.
  • MACKINNON, James (1991) “Critical Values for Cointegration Tests”, In R. F. Engle & C.W.J. ranger (Eds.), Long Economic Relationships. Oxford: Clarendon Press.
  • MARSHALL, David A. (1992), “Inflation and Asset Returns in a Monetary Economy”, Journal of Finance, 47, 1315–1342.
  • NACEUR, Samy Ben ve Samir GHAZOUANI (2004), “ Does Inflation Impact on Financial Sector Performance in the MENA region?”, Working Paper, 1-11.
  • NELSON, Charles R. (1976), “ Inflation and Rates of Return on Common Stocks”, Journal of Finance, 31, 471−483.
  • PERRY, Philip (1992), “ Do Banks Gain or Lose from Inflation”, Journal of Retail Banking, 16, 25PESARAN, Hasem, SHIN, Yongcheol ve Ron SMITH (2001), “ Bounds Testing Approaches to The Analysis of Long-Run Relationships”, Journal of Applied Econometrics, 16(3), 289-326. PHILLIPS, Peter ve Pierre PERRON (1988), “Testing for A Unit Root in Time Series Regression”, Biometrika, 75(2), 336-346.
  • SPYROU, Spyros I. (2004), “ Are Stocks a Good Hedge Against Inflation? Evidence from Emerging Markets”, Applied Economics, 36(1), 41-48.

Bankacılık Sektörü Hisse Senedi Endeksi İle Enflasyon Arasındaki İlişki: Yedi Ülke Örneği

Year 2013, Volume: 20 Issue: 2, 37 - 50, 01.06.2013

Aslı Yüksel Aydın Yüksel

Abstract

Bu çalışmanın amacı yedi ülkede bankacılık sektörü endeksi ile tüketici fiyatları endeksi arasındaki ilişkiyi analiz etmektir. Literatürde hisse senedi piyasa endeksi ile tüketici fiyatları endeksi arasındaki ilişkiyi inceleyen çok sayıda çalışma olmasına karşın, sektör endeksleri ile tüketici fiyatları endeksi arasındaki ilişkiyi inceleyen çalışma sayısı son derece sınırlıdır, bu çalışma ile literatürdeki bu boşluğun doldurulması hedeflenmektedir. Analizlerde bankacılık sektörü endeksi ile tüketici fiyatları endeksi arasındaki uzun vadeli ilişki Johansen Eşbütünleşim Analizi ve Gecikmesi Dağıtılmış Ardışık Bağımlılık Modeli (ARDL) kullanılarak test edilmiş ve sadece bir ülkede (Arjantin) uzun vadeli bir ilişki bulunmuştur. Makalede ayrıca Granger Nedensellik Analizi yapılmış, Amerika, Avusturya ve Macaristan’da bankacılık sektörü endeksi ile tüketici fiyatları endeksi arasında nedensellik ilişkisinin olmadığı belirlenmiştir.

Keywords

Bankacılık sektörü hisse senedi getiri oranı enflasyon eşbütünleşim analizi

References

  • ALAGIDEDE, Paul (2009), “ Relationship Between Stock Returns and Inflation”, Applied Economics Letters, 16, 1403–1408.
  • ANARI, Ali ve James KOLARI (2001), “Stock Prices and Inflation”, Journal of Financial Research, 24, 587−602.
  • ANTWERPEN, D. Van (2010), “Hedging Inflation by Selecting Stock Industries”, Thesis Erasmus School of Economics, 1-30.
  • BODIE, Zvi (1976), “Common Stocks as a Hedge Against Inflation”, Journal of Finance, 31, 459– 70.
  • BOUDOUKH, Jacob ve Matthew RICHARDSON (1993), “Stock Returns and Inflation: A LongHorizon Perspective”, American Economic Review, 83, 1346−1355.
  • BOURKE, Philip (1989), “Concentration and Other Determinants of Bank Profitability in Europe, North America and Australia”, Journal of Banking and Finance, 13(1), 65-79.
  • BOYD, John H., LEVINE, Ross ve Bruce SMITH (2001), “ The Impact of Inflation on Financial Market Performance”, Journal of Monetary Economics, 47, 221-248.
  • DANTHINE, Jean Pierre ve John B. DONALDSON (1986), “Inflation and Asset Prices in an Exchange Economy”, Econometrica, 54(3), 585–606.
  • DEMIRGUC-KUNT Aslı ve Ross LEVINE (1996), “Stock Market Development and Financial Intermediaries: Stylized Facts”, Word Bank Economic Review, 10(2), 291-321.
  • DICKEY, David ve Wayne A. FULLER (1981), “ Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, 49(4), 1057-1072.
  • FAMA, Eugene (1981), “Stock Returns, Real Activity, Inflation and Money”, American Economic Review, 71, 545-565.
  • FAMA, Eugene ve William G. SCHWERT (1977), “ Asset Returns and Inflation”, Journal of Business, 55, 201–231.
  • FISHER, Irving (1930), The Theory of Interest , New York: Macmillan Co. 1 st edition.
  • GIRARD, Eric, NOLAN, James ve Tony PONDILLO (2010), “ Determinants of Emerging Markets’ Commercial Bank Stock Returns”, Global Journal of Business Research, 4(2), 11GREGORIOU Andros ve Alexandros KONTONIKAS (2010), “The Long Run Relationship Between Stock Prices and Goods Prices: New Evidence From Panel Cointegration”, Journal of International Financial Markets, Institutions and Money, 20(2), 166-176.
  • GROENEWOLD, Nicolaas, O’ROURKE, Gregory ve Stephen THOMAS (1997), “ Stock Returns and Inflation: A Macro Analysis”, Applied Financial Economics, 7(2), 127-136.
  • GULTEKIN, Bülent N. (1983), “ Stock Market Returns and Inflation: Evidence From Other Countries”, Journal of Finance, 38, 49−65.
  • GÜLHAN, Ünal ve Evcan UZUNLAR (2011), “Bankacılık Sektöründe Kârlılığı Etkileyen Faktörler: Türk Bankacılık Sektörüne Yönelik Bir Uygulama”, Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 15 (1), 341-368.
  • JAFFE, Jeffrey ve Gerson MANDELKER (1976), “The Fisher Effect for Risky Assets: An Empirical Investigation”, Journal of Finance, 31, 447–548.
  • JOHANSEN, Soren ve Katarina JUSELIUS (1990), “ Maximum Likelihood Estimation and Inference on Cointegration – with Applications to the Demand for Money”, Oxford Bulletin of Economics and Statistics, 52, 169–210.
  • KWIATKOWSKI, Denis, PHILLIPS, Peter, SCHMIDT, Peter ve Yongcheol SHIN (1992), “Testing The Null Hypothesis of Stationarity Against the Alternative of a Unit Root”, Journal of Econometrics, 54, 159-178.
  • LEHMAN, Sergio (2004), “Crisis Prevention: Domestic Policy Framework and International Financial Architecture”, The 3rd Annual PECC Finance Conferance, 1-35.
  • LUINTEL, Kul B. ve Krishna PAUDYAL (2006), “ Are Common Stocks a Hedge Against Inflation?”, The Journal of Financial Research, 29(1), 1-19.
  • MACKINNON, James (1991) “Critical Values for Cointegration Tests”, In R. F. Engle & C.W.J. ranger (Eds.), Long Economic Relationships. Oxford: Clarendon Press.
  • MARSHALL, David A. (1992), “Inflation and Asset Returns in a Monetary Economy”, Journal of Finance, 47, 1315–1342.
  • NACEUR, Samy Ben ve Samir GHAZOUANI (2004), “ Does Inflation Impact on Financial Sector Performance in the MENA region?”, Working Paper, 1-11.
  • NELSON, Charles R. (1976), “ Inflation and Rates of Return on Common Stocks”, Journal of Finance, 31, 471−483.
  • PERRY, Philip (1992), “ Do Banks Gain or Lose from Inflation”, Journal of Retail Banking, 16, 25PESARAN, Hasem, SHIN, Yongcheol ve Ron SMITH (2001), “ Bounds Testing Approaches to The Analysis of Long-Run Relationships”, Journal of Applied Econometrics, 16(3), 289-326. PHILLIPS, Peter ve Pierre PERRON (1988), “Testing for A Unit Root in Time Series Regression”, Biometrika, 75(2), 336-346.
  • SPYROU, Spyros I. (2004), “ Are Stocks a Good Hedge Against Inflation? Evidence from Emerging Markets”, Applied Economics, 36(1), 41-48.
There are 28 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Aslı Yüksel This is me

Aydın Yüksel This is me

Publication Date June 1, 2013
Published in Issue Year 2013 Volume: 20 Issue: 2

Cite

APA Yüksel, A., & Yüksel, A. (2013). Bankacılık Sektörü Hisse Senedi Endeksi İle Enflasyon Arasındaki İlişki: Yedi Ülke Örneği. Journal of Management and Economics, 20(2), 37-50.