ABD-ÇİN TİCARET SAVAŞLARININ ŞANGAY MENKUL KIYMETLER BORSASI KOMPOZİT ENDEKSİ ÜZERİNE ETKİSİ

Öz

Bu çalışmanın amacı, ABD’nin Çin mallarına uyguladığı ithalat tarifeleri ile Çin’in ABD’den ithal ettiği mallar üzerine uyguladığı ithalat tarifelerinin Şangay Menkul Kıymetler Borsası Kompozit Endeksi’ne etkisinin 1991-2016 dönemi için incelenmesidir. Çin’in ana makroekonomik değişkenleri kontrol değişken olarak seçilmiştir. Bu amaçla, çalışmada ARDL sınır testi yaklaşımından faydalanılmıştır. Ampirik sonuçlar, ABD tarafından uygulanan tarife oranlarındaki artışın uzun vadede Şangay hisse senedi endeksini olumsuz yönde etkilediğini göstermiştir. Ayrıca analizde kullanılan makroekonomik değişkenlerin ikisi olan M2 para arzı ve enflasyon oranının borsa endeksi üzerinde pozitif yönlü bir etkisi olduğu tespit edilmiştir. Sonuç olarak, ABD’nin Çin mallarına uyguladığı ithalat tarifelerine dayanan ABD-Çin ticaret savaşının Çin borsasına zarar verdiği söylenebilir. Elde edilen sonuçlarla ABD’nin bu savaşın kazananı mı yoksa kaybedeni mi olduğu söylenememekle birlikte, Çin’in kesinlikle kaybeden taraf olduğu söylenebilir.

Anahtar Kelimeler

• ARDL,Tarife Oranları,Hisse Senedi Getirileri,ARDL

THE EFFECT OF US-CHINA TRADE WARS ON SHANGHAI STOCK EXCHANGE COMPOSITE INDEX

Öz

The aim of this paper is to investigate the effect of US import tariffs on Chinese goods and China import tariffs on US goods on Shanghai Stock Exchange Composite Index for the period from 1991 to 2016. It is selected Chinese main macroeconomic variables as control variables. For this purpose, it is used ARDL boundary testing approach in this study. Empirical results suggest that an increase in tariffs rate applied by US affect negatively to Shanghai stock index in the long term. In addition, broad money supply and inflation rate, which are two of the macroeconomic variables used in the analysis, has a positive impact on it. Consequently, the US-China trade war, which based on US import tariffs on Chinese goods, damages for China stock market. With these results we cannot say whether the US is a winner or loser, but we can say that China is definitely the loser.

Anahtar Kelimeler

• Tariffs,Stock Returns,ARDL

Kaynakça

1. Alagidede, P. & Panagiotidis, T. (2012). “Stock returns and inflation: Evidence from quantile regressions”. Economic Letters, 117, 283-286.
2. Alam, Z. & Rashid, K. (2014). “Time series analysis of the relationship between macroeconomic factors and the stock market returns in Pakistan”. Journal of Yasar University, 9(36), 6261-6380.
3. Ariff, M., Chung, T. & Shamsher, M. (2012). “Money supply, interest rate, liquidity and share prices: A test of their linkage”. Global Finance Journal, 23(3), 202-220.
4. Assefa, T. A., Esqueda, O. A. & Mollick, A. V. (2017). “Stock returns and interest rates around the world: A panel data approach”. Journal of Economics and Business, 89, 20-35.
5. Bahloul, S., Mrouna, M. & Naifar, N. (2017). “The impact of macroeconomic and conventional stock market variables on Islamic index returns under regime switching”. Borsa Istanbul Review, 17(1), 62-74.
6. Başçı, E. S. & Karaca, S. S. (2013). “The determinants of stock market index: VAR approach to Turkish stock market”. International Journal of Economics and Financial Issues, 3(1), 163-171.
7. Bissoon, R., Seetanah, B., Bhattu-Babajee, R., Gopy-Ramdhany, N. & Seetah, K. (2016). “Monetary policy impact on stock return: Evidence from growing stock markets”. Theoretical Economic Letters, 6, 1186-1195.
8. Branson, W. H. (1983). “A model of exchange-rate determination with policy reaction: Evidence from monthly data”. NBER Working Paper No: 1135.

9. Cauchie, S., Hoesli, M. & Isakov, D. (2004). “The determinants of stock returns in a small open economy”. International Review of Economics and Finance, 13, 167-185.
10. Chakraborty, S., Tang Y. & Wu, L. (2008). “Imports, exports, dollar exposures, and stock returns”. Open Economies Review, 26(5), 1059-1079.
11. Daelemans, B, Daniels, J. P. & Nourzad, F. (2018). “Free Trade Agreements and Volatility of Stock Returns and Exchange Rates: Evidence from NAFTA”. Open Econ. Rev., 29, 141-163.
12. Davidson, L. S. & Froyen, R. T. (1982). “Monetary policy and stock returns: Are stock markets efficient?”. Review, Federal Reserve Bank of St. Louis, 3-12.
13. Dickey, D. A. & W. A. Fuller (1979). Distribution of the estimators for autoregressive time series with a unit root. JSTOR, 74(366).
14. Dickey, D. A., & W. A. Fuller (1981). “Likelihood ratio statistics for autoregressive time series with a unit root”. Econometrica: Journal of the Econometric Society, 1057-1072.
15. Dornbusch, R. & Fischer, S. (1980). “Exchange rates and the current account”. The American Economic Review, 70(5), 960-971.
16. Engle, R. F. & C. W. J. Granger (1987). “Co-Integration and error correction: representation, estimation, and testing”. Econometrica, 55(2), 251-276.
17. Fama, E. F. (1981). “Stock returns, real activity, inflation, and money”. American Economic Review, 71(4), 545-565.
18. Gan, C., Lee, M., Yong, H. H. & Zhang, J. (2006). “Macroeconomic variables and stock market interactions: New Zealand evidence”. Investment Management and Financial Innovations, 3(4), 89-101.
19. Granger, C. W. J. (1988). Some recent development in a concept of causality”. Journal of Econometrics, 39(1-2), 199-211.
20. Hahn, J. & Yoon, H. (2016). “Determinants of the cross-sectional stock returns in Korea: Evaluating recent empirical evidence”. Pacific-Basin Finance Journal, 38, 88-106.
21. Hanson, R. & Song, M. H. (1998). “Shareholder Wealth Effects of Free Trade: US and Mexican Stock Market Response to NAFTA”. International Review of Economics and Finance, 7(2), 209-224.
22. Haque, A. & Sarwar, S. (2012). “Macro-determinants of stock return in Pakistan”. Middle-East Journal of Scientific Research, 12(4), 504-510.
23. Hanson, R. & Song, M. H. (1998). “Shareholder wealth effects of free trade: US and Mexican stock market response to NAFTA”. International Review of Economic and Finance, 7(2), 209-224.
24. Hasanujzaman, M. (2016). “The impact of export growth to stock market in a managed floating exchange rate regime: A VAR analysis”. MPRA Working Paper, No: 77123.
25. Hashemzadeh, N. & Talor, P. (1988). “ Stock prices, money supply, and interest rates: The question of causality”. Applied Economics, 20(1), 1603-1611.
26. Hsing, Y. (2011). “Macroeconomic determinants of the stock market index and policy implications: The case of a central European country”. Eurasian Journal of Business and Economics, 4(7), 1-11.
27. Humpe, A. & Macmillan, P. (2007). “Can macroeconomic variables explain long term stock market movements? A comparison of the US and Japan”. Centre for Dynamic Macreconomic Analysis Working Paper Series, CDMA07/20.
28. Johansen, S. (1988). “Statistical analysis of cointegration vectors”. Journal of Economic Dynamics and Control, 52(3), 389-402.
29. Johansen, S. & K. Juselius (1990). “Maximum likelihood estimation and inference on cointegration with applications to the demand for money”. Oxford Bulletin of Economics and Statistics, 52(2), 169-210.
30. Kasman, S., Vardar, G. & Tunç, G. (2011). “The impact of interest rate and exchange rate volatility on banks’ stock returns and volatility: Evidence from Turkey”. Economic Modelling, 28, 1328-1334.
31. Kirui, E., Wawire, N. H. W. & Onono, P. O. (2014). “Macroeconomic variables, volatility and stock market returns: A case of Nairobi securities exchange, Kenya”. International Journal of Economics and Finance, 6(8), 214-228.
32. Maghayereh, A. (2002). “Causal relations among stock prices and macroeconomic variables in the small, open economy of Jordan”. JKAU: Econ & Adm., 17(2), 3-12.
33. Maysami, R. C., Howe, L. C. & Hamzah, M. A. (2004). “Relationship between macroeconomic variables and stock market indices: Cointegration evidence from stock exchange of Singapore’s All-S sector indices”. Jurnal Pengurusan, 24, 47-77.
34. Modigliani, F. & Cohn, R. (1980). “Inflation, rational valuation, and the market”. Financial Analysts Journal, 35, 24-44.
35. Moya-Martinez, P., Ferrer-Lapena, R. & Escribano-Sotos, F. (2015). “Interest rate changes and stock returns in Spain: A wavelet analysis”. BRQ Business Research Quarterly, 18, 95-110.
36. Mumo, M. P. (2017). “The determinants of stock returns in the emerging market of Kenya: An empirical evidence”. International Journal of Economics and Finance, 9(9), 8-21.
37. Narayan, P. K. & Smyth, R. (2006). “What determines migration flows from low-income to high-income countries? An empirical investigation of Fiji-US migration 1972-2001”. Contemporary Economic Policy, 24(2), 332-342.
38. Norfeldt, O. (2014). “The effects of monetary policy on stock market returns”. Web address: http://www.diva-portal.se/smash/get/diva2:790845/FULLTEXT01.pdf.
39. Pesaran M. H. & Y. Shin (1997). An autoregressive distributed lag modelling approach to cointegration analysis. Web: https://pdfs.semanticscholar.org/743d/c1e8cf7eea4a2ac9bc58907f2ce08a1f5d90.pdf, Access date: 17.03.2018.
40. Pesaran, M. H., Shin, Y. & R. J. Smith (1996). Testing for the existence of a long run relationship, DAE Working paper No: 9622.
41. Pesaran, M. H., Shin, Y. & R. J. Smith (2001). Bounds testing approaches to the analysis of long run relationship. Journal of Applied Econometrics, 16, 289-326.
42. Sirucek, M. (2013). “Impact of money supply on stock bubbles”. Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 7, 2835-2842.
43. Tiryaki, A., Erdoğan, L. & Ceylan, R. (2017). “The causal relationship between selected macroeconomic variables and stock returns in Turkey”. IJEAS, 19, 299-326.