Seçili Hisse Senedi Piyasalarındaki Teknoloji Endeksleri Arasındaki İlişkilerinin Johansen Eşbütünleşme Yöntemiyle İncelenmesi

Yıl 2025, Cilt: 10 Sayı: 3, 995 - 1017

Ozan Kaymak

https://doi.org/10.25229/beta.1609928

Öz

Yeni teknolojik ürün ve yöntemler, verimliliği artırıcı etki yaratabilmelerinin yanında iş süreçlerini değişime zorlamaktadırlar. Küreselleşme süreci, güncel teknolojilerin geliştirilmesi ve kullanımının yayılım hızını artmış ve etki alanı derinleşmiştir. Finans sektöründeki iş süreçleri ve finansal varlıklar bu gelişmelerden önemli derecede etkilenmektedirler. Ayrıca teknoloji şirketlerine ait hisse senetlerinin son yıllarda anlamlı derecede değer kazanmaları yatırımcı ve araştırmacıların ilgisini çekmektedir. Bu çalışmanın amacı, farklı piyasalardaki teknoloji şirketlerine ait hisse senetlerinin değerleri üzerinden hesaplanan endeksler arasında eşbütünleşme ilişkisinin var olup olmadığının araştırılmasıdır. Amerika Birleşik Devletleri NASDAQ 100 Technology TR (NTTR), Avrupa Birliği piyasalarından iShares STOXX Europe 600 Technology UCITS (SX8PEX), Birleşik Krallık FTSE TechMARK All Share (FTTASX) endeksleri incelenmek üzere seçilmiştir. Seçili endekslerin 2018 Aralık ile 2024 Şubat arasındaki dönemdeki aylık kapanış değerleri üzerinden zaman serileri oluşturulmuştur. Birim kök testi sonuçları serilerin tamamının durağanlık derecelerinin 1 (I=1) olduğunu göstermiştir. Seriler arasındaki muhtemel eşbütünleşme ilişkileri Johansen Eşbütünleşme yöntemi ile araştırılmış ve sınama testleri gerçekleştirilmiştir. Çalışmanın sonucunda seçili teknoloji endeksleri serileri arasında anlamlı bir eşbütünleşme ilişkisinin var olmadığı tespit edilmiştir.

Anahtar Kelimeler

Küresel Hisse Senedi Piyasaları , Teknoloji Endeksleri , Johansen Eşbütünleşme Testi

Investigation of the Relationship between Technology Indices on Selected Stock Markets Using Johansen Cointegration Test

Öz

New technological products and methods not only have the potential to increase efficiency but also force business processes to change. Globalization has increased the speed of development and dissemination of current technologies, and their impact has deepened. Business processes and financial assets in the finance sector are significantly affected by these developments. Additionally, the significant increase in the value of technology company stocks in recent years has attracted the attention of investors and researchers. The aim of this study is to investigate whether there is a cointegration relationship among the indices formed by the values of technology company stocks in different markets. The indices selected for examination are the NASDAQ 100 Technology TR (NTTR) from the United States, the iShares STOXX Europe 600 Technology UCITS (SX8PEX) from the European Union markets, and the FTSE TechMARK All Share (FTTASX) from the United Kingdom. Time series have been created based on the monthly closing values of selected indices between December 2018 and February 2024. The unit root test results showed that all series have a degree of stationarity of 1 (I=1). The potential cointegration relationships between the series were investigated using the Johansen Cointegration method, and specification tests were conducted. As a result of the study, it was determined that there is no significant cointegration relationship among the selected technology index series.

Anahtar Kelimeler

Global Stock Markets , Technology Indices , Johansen Cointegration Analysis

Kaynakça

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