Short and Long - Run Effects of Exchange Rate on Stock Price Index: An Application to the Fragile Five Countries by Smooth Transition Regression Error Correction Model

Yıl 2016, Cilt: 16 Sayı: 2, 319 - 350, 01.05.2016

Afşin Şahin

Öz

In this study, short and long-run effects of exchange rate on stock prices are analyzed for the Fragile Five countries where foreign investors have a substantial share. Long term effects are estimated by Engle Granger and Johansen cointegration methods; and short term effects are estimated by Ordinary Least Squares (OLS) and Smooth Transition Regression (STR) models. Parameters are also estimated by Nonlinear Smooth Transition Regression Error Correction Model (LSTRECM) that accounts for short and long-run effects within a same equation. It is observed that long-run interaction of two nonstationary variables may diverge among regimes in the short-run. The results for Turkey can be summarized as follows: A simultaneous increase in the exchange rate increases the stock prices according to Engle Granger and Johansen methods and indicates a cointegration relationship among the two variables. In the short-run, according to the first regime of LSTRECM, OLS and STR specification results, the simultaneous effect of exchange rate on the stock prices is negative but turns to a positive in the second regime of LSTRECM

Anahtar Kelimeler

Nonlinearity, Financial markets, Fragile Five

Döviz Kurunun Hisse Senedi Fiyatları Üzerine Kısa ve Uzun Dönem Etkileri: Kırılgan Beşli Ülkeleri Üzerine Yumuşak Geçişli Eşik Hata Düzeltme Modeli Uygulaması

Öz

Bu çalışmada, hisse senedi piyasasının önemli bir kısmının yabancılar tarafından tutulduğu ve Kırılgan Beşli olarak adlandırılan ülkelerde, döviz kurunun hisse senedi piyasası üzerindeki kısa ve uzun vadeli etkileri tahmin edilmiştir. Uzun dönemli etkiler Engle Granger ve Johansen eşbütünleşme yöntemleri ile tahmin edilirken, kısa dönem etkiler En Küçük Kareler (EKK) ve Yumuşak Geçişli Regresyon (STR) modelleri ile tahmin edilmiştir. Uzun ve kısa dönem etkileri aynı eşitlik içinde hesaba katmaya imkân tanıyan Doğrusal Olmayan Yumuşak Geçişli Hata Düzeltme (LSTRECM) modeli ile de parametreler tahmin edilmiştir. Durağan olmayan iki serinin uzun dönemli etkileşiminin kısa dönemde, rejimler arasında farklılaşabildiği görülmüştür. Çalışmada Türkiye’ye ilişkin bulgular şu şekilde özetlenebilir: Uzun dönemde döviz kurundaki eşanlı bir artış, Engle Granger ve Johansen testlerine göre hisse senedi fiyatlarını yükseltmekte ve iki değişken arasında eşbütünleşme ilişkisine işaret etmektedir. Kısa dönemde ise LSTRECM birinci rejim, EKK ve STR belirtimlerine göre döviz kurunun hisse senedi fiyatlarına eşanlı etkisi negatif iken; LSTRECM ikinci rejimde ise etki pozitife dönmektedir

Anahtar Kelimeler

Doğrusal olmama, Finansal piyasalar, Kırılgan Beşli

Kaynakça

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