AN ANALYSIS OF THE LONG-TERM ASYMMETRIC RELATIONSHIP BETWEEN GOLD PRICES, EXCHANGE RATES, YIELDS OF GOVERNMENT BOND, AND THE BIST100 INDEX

Yıl 2024, , 297 - 310, 30.04.2024

Salih Çam

https://doi.org/10.35379/cusosbil.1371599

Öz

This study examines the asymmetric effects of the gold price, the USD/TRY exchange rate, the corporate governance index, and the 10-year government bond yield on the BIST100 index, thus delving into the intricate web of financial markets. Using weekly data from September 2007 to September 2023, we employed the nonlinear ARDL model to examine the asymmetric effects of the variables on the BIST100 index. As a result, the nonlinear ARDL bound test proved the long-term cointegration between the BIST100 index and the explanatory variables used in the analysis. All asymmetric variables except the negative variable of gold price had statistically significant long-run effects on the BIST100 index. Government bond yields and gold price had negative effects on the stock index, while USD/TRY exchange rate and corporate governance index had positive effects on it. The Wald test's null hypothesis of no long-term asymmetries was rejected for government bond yields, the USD/TRY exchange rate, and the corporate governance index. On the other hand, the test for short-term asymmetry was rejected only for the corporate governance index. Accordingly, the corporate governance index has both short-term and long-term asymmetric effects on the BIST100 index, while government bond yields and the dollar exchange rate have only long-term asymmetric effects on it.

Anahtar Kelimeler

Gold Price, Exchange Rate, Corporate Governance, Government Bond Yields, BIST100 İNDEX

ALTIN FİYATLARI, DÖVİZ KURU VE TAHVİL VERİMLİLİĞİNİN BIST100 ENDEKSİ ÜZERİNDEKİ ASİMETRİK İLİŞKİSİNİN ANALİZİ

Öz

Bu çalışmada altın fiyatları, USD/TRY döviz kuru, kurumsal yönetim endeksi ve 10 yıllık tahvil getirilerinin BIST100 endeksi üzerindeki asimetrik etkileri incelenmiştir. Analizde Eylül 2007-Eylül 2023 dönemini kapsayan haftalık veriler kullanılarak, değişkenlerin BIST100 endeksi üzerindeki asimetrik etkileri doğrusal olmayan ARDL sınır testi yardımıyla araştırılmıştır. Sonuç olarak, doğrusal olmayan ARDL sınır testi, BIST100 endeksi ile açıklayıcı değişkenler arasında uzun dönemli bir eşbütünleşme ilişkisi olduğunu göstermiştir. Negatif altın fiyatları değişkeni hariç tüm asimetrik değişkenlerin BIST100 endeksi üzerinde istatistiksel olarak anlamlı bir etkiye sahip olduğu görülmüştür. Buna göre, tahvil verimliliği ve altın fiyatları BIST100 endeksini negatif yönde etkilerken, USD/TRY döviz kuru ve kurumsal yönetim endeksi BIST100 üzerinde pozitif etkilere sahiptir. Asimetrik etkilerin olmadığını ifade eden Wald testinin boş hipotezi 10 yıllık tahvil verimliliği, USD/TRY döviz kuru ve kurumsal yönetim endeksi için reddedilmiştir. Öte yandan, kısa dönem asimetri testi sadece kurumsal yönetim endeksi için reddedilmiştir. Sonuç olarak, kurumsal yönetim BIST100 endeksi üzerinde hem kısa dönemli hem de uzun dönemli asimetrik etkilere sahipken, on yıllık tahvil verimliliği serisi ve dolar kurunun BIST100 endeksi üzerinde sadece uzun dönemli asimetrik etkileri bulunmaktadır.

Anahtar Kelimeler

Altın Fiyatları, Döviz Kuru, Kurumsal Yönetim, Tahvil Verimlilikleri, BIST100 ENDEKSİ

ALTIN FİYATLARI, DÖVİZ KURLARI, TAHVİL VERİMLİLİĞİNİN BORSA İSTANBUL 100 ENDEKSİ ÜZERİNDEKİ ASİMETRİK İLİŞKİSİNİN ANALİZİ

Öz

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