Dynamic Wavelet-Based Causal Relationship between Equity Returns and Aggregate Economic Activity in G7 and E7 Countries

Yıl 2019, Cilt: 19 Sayı: 1, 109 - 136, 21.03.2019

Remzi Gök

https://doi.org/10.18037/ausbd.550252

Öz

 Bu çalışmada G7 ve E7 ülkelerine ait 1998M01- 2017M08 aylık veriler kullanarak borsa getirisi ve sanayi üretimi arasındaki ilişkinin varlığı, derecesi ve yönü, zaman ve frekans bazlı teknikler yardımıyla araştırılmıştır. Kullanılan metodun gücü, kimi zaman değişkenler arasındaki ilişkiyi ortaya çıkarmada yetersiz kalabilir. Bu doğrultuda, farklı zaman periyotlarında saklı ilişkinin gerçek dinamikleri ortaya çıkarmak için dalgacıklar analizi kullanılmıştır. Yapısal kırılmalı birim kök test sonucuna göre iki ülke değişkenleri hariç, değişkenler I(1) ya da I(0) bulunmuştur. Birim köklü değişkenler arasında kısa dönemde geçerli çift yönlü ve uzun dönemlik tek yönlü nedensellik sonucuna ulaşılmıştır. Elde edilen zaman bazlı test bulgularına göre endeks getirisinden büyümeye doğru anlamlı nedensellik ilişkisi bulunmuştur. Büyüme değişkeninden endeks getirisine doğru bazı ülkeler için anlamlı sonuçlar ortaya çıkmıştır. Anlamlı ilişkilerin hangi zaman frekanslarında geçerli olduğunu ve standart metotların ortaya çıkaramadığı anlamlı ilişkiyi bulmak için dalgacıklar metoduna başvurma ihtiyacı duyulmuştur. Yapılan analiz sonuçlarına göre tüm ülkeler için geçerli çift yönlü nedensellik ilişkisine ulaşılmıştır. Diğer taraftan, dalgacık bazlı borsa varyansının sanayi üretimi varyansından daha yüksek olduğu, ayrıca, volatilitenin büyük bir çoğunluğunun kısa dönem değişmelerle açıklanabildiği görülmüştür. Son olarak, ölçek sayısı arttıkça dalgacık varyansının azaldığı, korelasyon katsayısının ise artığı gözlemlenmiştir. Elde edilen bulgular, klasik yöntemlerin yetersiz kaldığı alanda dalgacıkların belirli zaman periyotlarında, piyasa katılımcıları ve piyasa yapıcıları için, daha önemli sonuçları ortaya koyabildiğini göstermektedir. 

Anahtar Kelimeler

Dalgacıklar, Frekans, Simetrik, Granger

Kaynakça

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