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BRICS Ülkelerinde Döviz Kuru, Enflasyon ve Hisse Senedi Piyasası İlişkisi: Asimetrik Panel Nedensellik Testi

Yıl 2020, Cilt: 21 Sayı: 1, 21 - 34, 01.01.2020

Öz

Bu çalışmada döviz kuru, enflasyon ve hisse senedi fiyat endeks değeri arasındaki nedensellik ilişkisi BRICS ülkeleri Brezilya, Rusya, Hindistan, Çin ve Güney Afrika için Ocak 2001 ve Temmuz 2017 tarihleri arasındaki süreç dikkate alınarak araştırılmıştır. Çalışmada öncelikle ülkelerin nedensellik ilişkisini tespit edebilmek amacıyla Panel Bootstrap Nedensellik testine yer verilmiş sonrasında ise veriler pozitif ve negatif bileşenlerine ayrılarak asimetrik nedensellik testi gerçekleştirilmiştir. Simetrik nedensellik testi sonuçlarına göre Rusya ve Güney Afrika için döviz kuru ve enflasyon arasında çift yönlü bir nedensellik tespit edilmiştir. Ayrıca diğer ülkeler için bazı değişkenlerde tek yönlü nedensellik bulguları elde edilmiştir. Asimetrik nedensellik testi sonuçlarına göre bileşenler arasında tespit edilen farklı anlamlılık düzeylerindeki saklı ilişkiler, BRICS ülkeleri için asimetrik bulguların varlığına işaret etmektedir.

Kaynakça

  • Bostan, A. ve Bölükbaşı, M. (2011). Küresel finansal kriz ve bankacılık sektörüne etkileri; Türkiye örneği. Finans Politik ve Ekonomik Yorumlar Dergisi, 562, 101- 127.
  • Boyacıoğlu, M. A. ve Çürük, D. (2016). Döviz kuru değişimlerinin hisse senedi getirisine etkisi: Borsa İstanbul 100 Endeksi üzerine bir uygulama. Muhasebe ve Finansman Dergisi, Nisan, 143-156.
  • Breusch, T. ve Pagan, A. (1980). The lagrange multiplier test and its application to model specification in econometrics. Review of Economic Studies, 47, 239-254.
  • Chkili, W. ve Nguyen, D. K. (2014). Exchange rate movements and stock market returns in a regime-switching environment: evidence for BRICS countries. Ipag Business School, Working Paper Series, 2014-388.
  • Diacogiannis, G. P., Tsiritakis, E. D. ve Manolas, G. A. (2001). Macroeconomic factors and stock returns in a changing economic framework: the case of the Athens Stock Exchange. Managerial Finance, 27(6), 23-41.
  • Er, S. (2011). Finansal krizleri önleme aracı olarak finansal sektörün regülasyonu, mortgage krizi ve Türkiye, Maliye Dergisi, 160, 307- 327.
  • Gay, R. D. (2008). Effect of macroeconomic variables on stock market returns for four emerging economies: Brazil, Russia, India and China. International Business & Economics Research Journal, 7(3), 1-8.
  • Han, Y. ve Zhou, X. (2017). The relationship between stock and exchange rates for BRICS countries pre-and post- crisis: a mixed C-Vine Copula Model. Romanian Journal of Economic Forecating, 20(1), 38-59.
  • Hsing, Y. (2011). The stock market and macroeconomic variables in a BRICS country and policy implications. International Journal of Economics and Financial Issues, 1 (1), 12-18.
  • Kónya, L. (2006). Exports and growth: Granger Causality Analysis on OECD countries with a panel data approach. Economic Modelling, 23(6), 978–992.
  • Lin, C-H. (2011). Exchange rate and exposure in the asian emerging markets, Journal of Multinational Financial Management, 21 (4), 224-238.
  • Marszk, A. (2015). Stock markets in BRIC: development levels and macroekonomic implication, Financial Investment and Insurance-Global Trends and the Polish Market, 381, 250-263.
  • Mukhopadhyay, D., ve Sarkar, N. (2003). Stock return and macroeconomic fundamentals in model specification framework: Evidence from Indian stock market. Indian Statistical Institute, Economic Research Unit, ERU 2003-05. Discussion Paper, January, 1-28
  • Muradoğlu, G., Taşkın, F. ve Bigan, İ. (2001). Causality between stock returns and macroeconomic variables in emerging markets, Russian & East European Finance and Trade, 36(6), 33-53.
  • Nisha, N. (2015). Impact of macroeconomic variables on stock returns: evidence from Bombay Stock Exchange. Journal of Investment and Management, 4(5), 162-170
  • Özbay, E. (2009). The relationship between stock returns and macroeconomic factors: evidence from Turkey, Master of Science in University of Exeter.
  • Pesaran, M. H. ve Yamagata, T. (2008). Testing slope homogeneity in large panels. Journal of Econometrics, 142(1): 50–93.
  • Pesaran, M.H., Ullah, A. ve Yamagata, T. (2008). A Bias-adjusted LM test of error cross-section independence. Econometrics Journal. 11,105– 127.
  • Sousa, R. M., Vivian, A., ve Wohar, M. E. (2016). Predicting asset returns in the brıcs: the role of macroeconomic and fundamental predictors, International Review of Economics and Finance, 41, 122-143.
  • Tripathi, V. ve Kumar, A. (2014). Relationship between Inflation and Stock Returns- Evidence from BRICS Markets using Panel Co-integration Test. International Journal of Accounting and Financial Reporting, 4(2), 647-658.
  • Tripathi, V., Kumar, A. (2015). Relationship between Macroeconomic Factors and Aggregate Stock Returns in BRICS Stock Markets- A Panel Data Analysis. Vaid, J., Jain, A. Ve Singh, R. P. (Ed.), New Age Business Strategies in Emerging Global Markets içinde (104-123 ss.). Excel Publishers, India
  • Tripathy, N. (2011). Causal relationship between macro-economic ındicators and stock market in India. Asian Journal of Finance and Accounting, 3 (1), 208-223.
  • Vanita, T. ve Khushboo, A. (2015). Long run co-integrating relationship between exchange rate and stock prices: empirical evidence from BRICS countries, Advances in Management, 8(1), 15-25.
  • Yurttançıkmaz, Z. Ç. (2012). Döviz Kuru ve Enflasyonun Hisse Senedi Getirileri Üzerindeki Etkisi. EKEV Akademi Dergisi, 21, 393-410.
  • Zhao, H. (2010). Dynamic relationship between exchange rate and stock price: Evidence from China. Research in International Business and Finance, 24 (2), 103-112.

Exchange Rate, Inflation and Stock Market Relations in BRICS Countries: Asymmetric Panel Causality Test

Yıl 2020, Cilt: 21 Sayı: 1, 21 - 34, 01.01.2020

Öz

In this study, causal relation among exchange rate, inflation and stock market have been investigated for BRICS countries Brazil, Russia, India, China and South Africa taking into consideration the time period between January 2001 and July 2017. In the study, Panel Bootstrap Causality test has been used in order to determine the causality relation of the countries, and then the asymmetric causality test has been performed by dividing the data into the positive and negative components. According to the results of symmetric causality test, there is a bidirectional causality between exchange rate and inflation for Russia and South Africa. In addition, for other countries, unidirectional causality findings have been obtained for some variables. According to the results of the asymmetric causality test, hidden relationships detected between positive and negative components at different levels of significance indicate the presence of asymmetric findings for BRICS countries

Kaynakça

  • Bostan, A. ve Bölükbaşı, M. (2011). Küresel finansal kriz ve bankacılık sektörüne etkileri; Türkiye örneği. Finans Politik ve Ekonomik Yorumlar Dergisi, 562, 101- 127.
  • Boyacıoğlu, M. A. ve Çürük, D. (2016). Döviz kuru değişimlerinin hisse senedi getirisine etkisi: Borsa İstanbul 100 Endeksi üzerine bir uygulama. Muhasebe ve Finansman Dergisi, Nisan, 143-156.
  • Breusch, T. ve Pagan, A. (1980). The lagrange multiplier test and its application to model specification in econometrics. Review of Economic Studies, 47, 239-254.
  • Chkili, W. ve Nguyen, D. K. (2014). Exchange rate movements and stock market returns in a regime-switching environment: evidence for BRICS countries. Ipag Business School, Working Paper Series, 2014-388.
  • Diacogiannis, G. P., Tsiritakis, E. D. ve Manolas, G. A. (2001). Macroeconomic factors and stock returns in a changing economic framework: the case of the Athens Stock Exchange. Managerial Finance, 27(6), 23-41.
  • Er, S. (2011). Finansal krizleri önleme aracı olarak finansal sektörün regülasyonu, mortgage krizi ve Türkiye, Maliye Dergisi, 160, 307- 327.
  • Gay, R. D. (2008). Effect of macroeconomic variables on stock market returns for four emerging economies: Brazil, Russia, India and China. International Business & Economics Research Journal, 7(3), 1-8.
  • Han, Y. ve Zhou, X. (2017). The relationship between stock and exchange rates for BRICS countries pre-and post- crisis: a mixed C-Vine Copula Model. Romanian Journal of Economic Forecating, 20(1), 38-59.
  • Hsing, Y. (2011). The stock market and macroeconomic variables in a BRICS country and policy implications. International Journal of Economics and Financial Issues, 1 (1), 12-18.
  • Kónya, L. (2006). Exports and growth: Granger Causality Analysis on OECD countries with a panel data approach. Economic Modelling, 23(6), 978–992.
  • Lin, C-H. (2011). Exchange rate and exposure in the asian emerging markets, Journal of Multinational Financial Management, 21 (4), 224-238.
  • Marszk, A. (2015). Stock markets in BRIC: development levels and macroekonomic implication, Financial Investment and Insurance-Global Trends and the Polish Market, 381, 250-263.
  • Mukhopadhyay, D., ve Sarkar, N. (2003). Stock return and macroeconomic fundamentals in model specification framework: Evidence from Indian stock market. Indian Statistical Institute, Economic Research Unit, ERU 2003-05. Discussion Paper, January, 1-28
  • Muradoğlu, G., Taşkın, F. ve Bigan, İ. (2001). Causality between stock returns and macroeconomic variables in emerging markets, Russian & East European Finance and Trade, 36(6), 33-53.
  • Nisha, N. (2015). Impact of macroeconomic variables on stock returns: evidence from Bombay Stock Exchange. Journal of Investment and Management, 4(5), 162-170
  • Özbay, E. (2009). The relationship between stock returns and macroeconomic factors: evidence from Turkey, Master of Science in University of Exeter.
  • Pesaran, M. H. ve Yamagata, T. (2008). Testing slope homogeneity in large panels. Journal of Econometrics, 142(1): 50–93.
  • Pesaran, M.H., Ullah, A. ve Yamagata, T. (2008). A Bias-adjusted LM test of error cross-section independence. Econometrics Journal. 11,105– 127.
  • Sousa, R. M., Vivian, A., ve Wohar, M. E. (2016). Predicting asset returns in the brıcs: the role of macroeconomic and fundamental predictors, International Review of Economics and Finance, 41, 122-143.
  • Tripathi, V. ve Kumar, A. (2014). Relationship between Inflation and Stock Returns- Evidence from BRICS Markets using Panel Co-integration Test. International Journal of Accounting and Financial Reporting, 4(2), 647-658.
  • Tripathi, V., Kumar, A. (2015). Relationship between Macroeconomic Factors and Aggregate Stock Returns in BRICS Stock Markets- A Panel Data Analysis. Vaid, J., Jain, A. Ve Singh, R. P. (Ed.), New Age Business Strategies in Emerging Global Markets içinde (104-123 ss.). Excel Publishers, India
  • Tripathy, N. (2011). Causal relationship between macro-economic ındicators and stock market in India. Asian Journal of Finance and Accounting, 3 (1), 208-223.
  • Vanita, T. ve Khushboo, A. (2015). Long run co-integrating relationship between exchange rate and stock prices: empirical evidence from BRICS countries, Advances in Management, 8(1), 15-25.
  • Yurttançıkmaz, Z. Ç. (2012). Döviz Kuru ve Enflasyonun Hisse Senedi Getirileri Üzerindeki Etkisi. EKEV Akademi Dergisi, 21, 393-410.
  • Zhao, H. (2010). Dynamic relationship between exchange rate and stock price: Evidence from China. Research in International Business and Finance, 24 (2), 103-112.
Toplam 25 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Araştırma Makalesi
Yazarlar

Sümeyra Gazel Bu kişi benim

Yayımlanma Tarihi 1 Ocak 2020
Yayımlandığı Sayı Yıl 2020 Cilt: 21 Sayı: 1

Kaynak Göster

APA Gazel, S. (2020). BRICS Ülkelerinde Döviz Kuru, Enflasyon ve Hisse Senedi Piyasası İlişkisi: Asimetrik Panel Nedensellik Testi. Doğuş Üniversitesi Dergisi, 21(1), 21-34.