The Relationship Between İnternational Trade and Financial Markets in the Scope of Socionomics Approach: The Analysis of Cointegration and Causality

Yıl 2019, Cilt: 7 Sayı: 6, 229 - 239, 13.12.2019

Ayberk Şeker

https://doi.org/10.18506/anemon.521134

Öz

This
study examines the relationship between Turkish export to USA, Germany, United
Kingdom, France and financial markets which is an indicator of socionomics of
these countries examined within the scope of socionomic approach. Turkish
export to USA, Germany, United Kingdom, France and returns of financial markets
(Dow Jones, Dax, FTSE100, CAC40) of these countries are used as variables
within the period of 1995-2018. In this study, ARDL Bound Test show that there
are co-integration relationships between series. The result of Granger
causality analysis demonstrates that there is an unidirectional causality
between series. These unidirectional causality occurs from financial markets of
USA (Dow Jones) and Germany (Dax) to Turkis export. Another unidirectional
causality takes place between Turkish export and financial market of United
Kingdom.

Anahtar Kelimeler

International Trade, Financial Markets, Socionomics, ARDL Bound Test, Granger Causality Test

Sosyonomik Yaklaşım Kapsamında Uluslararası Ticaret ve Finansal Piyasalar Arasındaki İlişki: Eşbütünleşme ve Nedensellik Analizi

Öz

Bu
çalışma ile sosyonomik yaklaşım kapsamında Türkiye’nin ABD, Almanya, İngiltere
ve Fransa’ya gerçekleştirdiği ihracat ile aynı ülkelerin ekonomik olarak sosyal
ruh hallerinin göstergesi olan finansal piyasaları arasındaki ilişki analiz
edilmektedir. Çalışmada, 1996 ve 2018 yılları arasındaki dönemi kapsayan aylık
ihracat verileri ile aylık finansal piyasa getirileri kullanılmıştır. ARDL
sınır testi sonucunda, Türkiye’nin ABD, Almanya, İngiltere ve Fransa’ya
gerçekleştirdiği ihracat ile bu ülkelerin finansal piyasaları arasında eşbütünleşme
ilişkisi olduğu görülmüştür. Granger Nedensellik analizi sonucunda, ABD ve
Almanya finansal piyasalarından (Dow Jones-Dax) Türkiye’nin ABD’ye ve
Almanya’ya gerçekleştirdiği ihracata doğru ve Türkiye’nin İngiltere’ye
gerçekleştirdiği ihracattan İngiltere finansal piyasalarına (FTSE100) doğru tek
yönlü bir nedensellik ilişkisi tespit edilmiştir.

Anahtar Kelimeler

Uluslararası Ticaret, Finansal Piyasalar, Sosyonomi, ARDL Sınır Testi, Granger Nedensellik Testi

Kaynakça

• Atwater, P. (2013). Moods and Markets. New Jersey: FT Press.
• Can Kamber, S. (2018). Davranışsal İktisat Ve Rasyonellik Varsayımı: Literatür İncelemesi. Ekonomi ve Yönetim Araştırmaları Dergisi, 7(1), 168-198.
• Casti, J. L. (2010). Mood Matters. New York: Copernicus Books.
• Balkanlı, A. O. (2002). Küresel Ekonominin Belirleyici Faktörleri Üzerine. Uludağ Üniversitesi İİBF Dergisi, 21(1), 13 – 26.
• Dickey, D. A. & Fuller, W. A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root. Econometrica, 49, 1057 – 1063.
• Engle, R. F. & Granger, C. W. J. (1987). Co-Integration and Error Correction: Representation, Estimation and Testing. Econometrica, 55(1), 251-276.
• Fama, E. F. (1965). Random Walks in Stock Market Prices. Financial Analysts Journal, 21(5), 55 – 59.
• Fama, E. F. (1969). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383 – 417.
• Galeotti, F. & Karakostas, A. (2010). The Promise of Behavioural Economics. Norwich Economic Papers, University of East Anglia, UK.
• Green, M. K. (2002). R.N. Elliott’s Fundamental Challenge to Mechanistic Social Models. Editör: Robert R. Prechter, In Market Analysis for the New Millennium, 9 – 19.
• Gujarati, D. N. (2004). Economics Basic Econometrics, Mcgraw Hill.
• He, F., Hu, Z., Zhang, W., Chai, L., Cai, G. & Aoyagi, K. (2017). Construction and Evaluation of Two Computational Models for Predicting the Incidence of Infuenza in Nagasaki Prefecture, Japan. Scientific Reports, 7(1), 1 – 9.
• Just, D. R. (2013). Introduction to Behavioral Economics, USA: Wiley.
• Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. & Shin, Y. (1992). Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root. Journal of Econometrics, 54, 159 – 178.
• Mitroi, A. & Oproiu, A. (2014). Behavioral Finance: New Research Trends, Socionomics and Investor Emotions. Theoretical and Applied Economics, 21(4), 153 – 166.
• Nofsinger, J. R. (2005). Social Mood and Financial Economics. Journal of Behavioral Finance, 6(3), 144 – 160.
• Olson, K. R. (2006). A Literature Review of Social Mood. Journal of Behavioral Finance, 7(4), 193 – 203.
• Parker, W. D. & Prechter, R. R. (2005). Herding: An Interdisciplinary Integrative Review from a Socionomic Perspective. International Conference on Cognitive Economics, August 5-8, Sofia, Bulgaria.
• Parker, W. D. & Prechter, R. R. (2006). The Socionomic Theory of Finance and the Institution of Social Mood: Pareto and the Sociology of Instinct and Rationalization. Conference of the Association for Heterodox Economics, London, United Kingdom. July 14-16.
• Parker, W. D. (2006). Methodological Individualism vs. Methodological Holism: Neoclassicism, Institutionalism and Socionomic Theory. Congress of the International Association for Research in Economic Psychology and the Society for the Advancement of Behavioral Economics, Paris, France. July 5-8.
• Pesaran, M. H., Shin, Y. & Smith, R.J. (1999). Bounds Testing Approaches to the Analysis of Long-run Relationships. Cambridge Working Papers in Economics 9907, Faculty of Economics, University of Cambridge.
• Pesaran, M. H., Shin, Y. & Smith. R. J. (2001). Bound Testing Approaches to the Analysis of Long Run Relationships. Journal of Applied Econometrics, 16, 289 – 326.
• Prechter, R. R. (2001). Unconscious Herding Behavior as the Psychological Basis of Financial Market Trends and Patterns. The Journal of Psychology and Financial Markets, 2(3), 120 – 125.
• Prechter, R. R. (2002). Conquer the Crash. New Jersey: John Wiley & Sons.
• Prechter, R. R. (2009). The Wave of Principle of Human Social Behaviour and New Sciences of Socionomics. Gainesville: New Classics Library.
• Prechter, R. R. & Parker, W. D. (2007). The Financial/Economic Dichotomy in Social Behavioral Dynamics: The Socionomic Perspective. The Journal of Behavioral Finance, 8(2), 84 – 108.
• Shiller, R. J. (1984). Stock Prices and Social Dynamics. Brookings Papers on Economic Activity, 2, 457 – 510.
• Shiv, B., Loewenstein, G., Bechara, A., Damasio, H. & Damasio, A. R. (2005). Investment Behavior and the Negative Side of Emotion. Psychological Science, 16(6), 435 – 439.
• Turan, Z. & Öztürk, Y. K. (2016). Keynes Sistemi Ve Bekleyişlerin Sisteme Katkısı. Niğde Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(2), 259 – 269.