PAY PİYASASI İLE DÖVİZ KURLARI ARASINDA RİSK DURUMLARINDA NEDENSELLİK İLİŞKİSİ

Öz

Finansal teori pay senedi piyasası ile döviz kurları arasında iki yönlü ilişki olabileceğini öne sürmekte ve bu nedenle pay piyasası ile döviz kurları arasındaki dinamik ilişkinin araştırılması literatürde oldukça ilgi görmektedir. Bu çalışmada 2003-2016 yılları arasında BİST100 endeks getirisi ile Dolar ve Euro getirileri arasındaki nedensellik ilişkisinin varlığı araştırılmıştır. Bu çalışmada literatürde yer alan çalışmalardan farklı olarak, Hong vd. (2009) tarafından geliştirilen aşağı yönlü nedensellik testi kullanılmıştır. Analiz sonuçları, döviz kurlarından pay piyasasına yönelik nedensellik ilişkisinin olduğunu belirtmektedir.   

Anahtar Kelimeler

• Pay piyasası,Döviz kurları,Nedensellik,BIST-100

Kaynakça

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