TÜRKİYE’DE HİSSE SENEDİ VE KUR FİYATLARI ARASINDA DİNAMİK ETKİLEŞİMLER VE VOLATİLİTE: ARDL, NARDL VE GARCH MODELLERİ

Yıl 2025, Cilt: 12 Sayı: 28, 146 - 168, 31.08.2025

Nazir Ahmad Mujaddadi , Sıtkı Sönmezer

https://doi.org/10.58884/akademik-hassasiyetler.1624034

Öz

Bu makale, Türkiye'de hisse senedi fiyatları ve döviz kurları arasındaki dinamik ilişkiyi ve oynaklığı incelemek için (2 Şubat 2020 - 5 Mayıs 2024 dönemini kapsayan verilerle) ARDL, NARDL ve ARCH ekonometrik modellerini kullanmaktadır. Bulgular, anlamlı bir şekilde çift yönlü kısa vadeli bağlantılar ortaya koymaktadır; döviz kuru dalgalanmalarının hisse senedi fiyatlarını etkilediğini, aynı zamanda hisse senedi fiyat hareketlerinin de döviz kurlarını etkileyecek şekilde geri besleme yarattığını göstermektedir. Uzun vadede bu ilişki zayıflamakta ve Johansen eşbütünleşme testleri istikrarlı bir dengenin olmadığını, süregelen makroekonomik şokların ve piyasa güçlerinin yakınsamayı engellediğine işaret etmektedir. NARDL modeli asimetrik etkileri doğrulamaktadır: kur artışlarının (ülke parasının değerlenmesinin), hisse senedi fiyatları üzerinde kur düşüşlerine (değer kaybına) kıyasla daha güçlü ve kalıcı bir negatif etkisi bulunmaktadır; bu durum, yatırımcıların olumsuz gelişmelere karşı hassasiyetini yansıtmaktadır. Oynaklık analizi, kümeleşen (volatility clustering) dalgalanma örüntülerini ortaya koymakta ve ekonomik ve jeopolitik belirsizlik dönemlerinde döviz kuru şoklarının hisse senedi piyasası oynaklığını şiddetlendirdiğini göstermektedir. Bu sonuçlar, Türkiye'nin döviz kuru istikrarsızlığına karşı finansal kırılganlığını vurgulamakta ve politika yapıcılar ile yatırımcılar için oynak gelişen piyasa ortamlarında riskleri yönetmeye yönelik önemli çıkarımlar sunmaktadır.

Anahtar Kelimeler

Hisse Senedi Fiyatı , Döviz Kuru , Granger Nedensellik , ARDL & ARCH.

DYNAMIC INTERACTIONS AND VOLATILITY ANALYSIS BETWEEN STOCK PRICES AND EXCHANGE RATES IN TÜRKİYE: EVIDENCE FROM ARDL NARDL AND ARCH MODELS (2020-2024)

Öz

This article uses ARDL, NARDL, and ARCH econometric models to examine the dynamic relationship and volatility between stock prices and exchange rates in Türkiye (February 2, 2020 to May 5, 2024). The findings reveal significant bidirectional short-run linkages, indicating that exchange-rate fluctuations influence stock prices, while stock-price movements feedback to affect exchange rates. In the long run, the relationship weakens, and Johansen cointegration tests show no stable equilibrium, suggesting that persistent macroeconomic shocks and market forces prevent convergence. The NARDL model confirms asymmetric effects: currency appreciation has a stronger and more persistent negative effect on stock prices than depreciation, reflecting investors’ sensitivity to adverse developments. Volatility analysis demonstrates clustering patterns, with exchange-rate shocks amplifying stock-market volatility during periods of economic and geopolitical uncertainty. These results underscore Türkiye’s financial vulnerability to exchange-rate instability and offer important insights for policymakers and investors in managing risks in volatile emerging-market environments.

Anahtar Kelimeler

stock price , exchange rate , granger causality , ARDL & GARCH

Kaynakça

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