TÜRKİYE’DE PAY GETİRİLERİ VE TAHVİL FAİZİ DEĞİŞİMLERİ ARASINDAKİ İLİŞKİ

Yıl 2014, Cilt: 15 Sayı: 2, 223 - 234, 01.07.2014

Cumhur Ekinci Evrim Hilal Erdamar

Öz

Pay getirileri ile tahvil faizi değişimleri arasında, fiyatlama modellerindeki benzerlik nedeniyle negatif, pay ve tahvilin alternatif yatırım araçları olması nedeniyle pozitif ilişki mümkün olabilir. Bu çalışmada, ilişkinin ters yönlü olduğu, zaman içinde değişkenlik gösterdiği, 2007 Küresel Finans Krizi sonrasında zayıfladığı ve sektör bazında farklılık gösterebildiği bulgulanmıştır. Ayrıca, uç getiriler söz konusu olduğunda, ilişkinin yönü ve düzeyi değişmektedir.

Anahtar Kelimeler

Varlık Değerleme, Portföy Değişikliği, Pay Getirileri, Tahvil Faizi, Dinamik Koşullu Korelasyon (DCC)

THE RELATION BETWEEN STOCK RETURNS AND CHANGES IN BOND YIELD IN TURKEY

Öz

The relation between stock returns and changes in bond yield can be either negative due to the similarity in valuation methods or positive due to the fact that stocks and bonds are substitute investments . In this study, we provide evidence that this relation is mainly negative, time varying, lower in the period after the Global Financial Crisis of 2007 and shows differences across sectoral indices. Moreover, the direction and level of the relation change for extreme returns

Anahtar Kelimeler

Asset Valuation, Portfolio Reallocation, Stock Returns, Bond Yields, Dynamic Conditional Correlation (DCC)

Kaynakça

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