RALS-LM Birim Kök Testi ile Bölgesel Finansal Yakınsamanın Ölçülmesi: Borsa İstanbul Şehir Endeksleri Örneği

Öz

Borsa İstanbul bünyesinde oluşturulan şehir endeksleri, Türkiye'nin farklı coğrafi bölgelerinde faaliyet gösteren şir ketlerin sermaye piyasası performansını ölçen ve bölgesel düzeyde finansal yapılara ilişkin analizlere olanak tanıyan temsili göstergelerdir. Bu çalışma, şehir endeksleri aracılığıyla Türkiye'deki mekansal finansal entegrasyon düzeyini ampirik olarak incelemekte ve finansal yakınsama hipotezinin geçerliliğini test etmektedir. Bu amaçla, serilerin uzun vadeli durağanlık özellikleri 2012:12-2024:12 dönemine ait aylık veriler kullanılarak değerlendirilmektedir. Çalışmada, serilerdeki olası yapısal kırılmaları tespit edebilen Lee-Strazicich (2003, 2004) LM birim kök testi uygulanmaktadır. Ancak, geleneksel birim kök testlerinin, kalıntılarının dağılımı ile ilgili normallik varsayımına duyarlı olması ve parametrik yapılar altında test gücünü zayıflatması gibi sınırlamaları nedeniyle, daha yüksek istatistiksel geçerlilik sağlayan kalıntılarla genişletilmiş en küçük kareler (RALS) yaklaşımına dayanan RALS-LM yöntemi tercih edilmiştir. Bu yöntem, özellikle kalıntıların normal dağılım göstermediği durumlarda daha güvenilir sonuçlar sağlama konusunda, veri yapısı ile uyumlu bir analitik araç olarak öne çıkmaktadır. Ampirik bulgular, bazı şehir endekslerinin uzun vadede ortak bir denge eğilimi sergilediğini ve finansal yakınsama gösterdiğini, bazı endekslerin ise bu eğilimin dışında kaldığını ortaya koymaktadır. Bu çalışma, Türkiye'de finansal gelişmenin bölgesel düzeyde homojen olmadığı ve f inansal entegrasyon politikalarının farklı mekansal dinamikler dikkate alınarak tasarlanması gerektiği konusuna ışık tutmaktadır.

Anahtar Kelimeler

• Finansal Yakınsama
• Bölgesel Finansal Entegrasyon
• Borsa İstanbul Şehir Endeksi
• RALS-LM Birim Kök Testi

Measuring Regional Financial Convergence with RALS-LM Unit Root Test: The Case of Borsa Istanbul City Indices

Öz

The city indices created within Borsa İstanbul are representative indicators that measure the capital market performance of companies operating in different geographical regions of Turkey and allow the analysis of the f inancial structure at the regional level. This study empirically examines the level of spatial financial integration in Turkey through city indices and tests the validity of the financial convergence hypothesis. To this end, the long-run stationarity properties of the series are evaluated using monthly data for the period 2012:12-2024:12. In this study, the Lee-Strazicich (2003, 2004) LM unit root test, which can endogenously identify possible structural breaks in the series, is applied. However, due to the limitations of traditional unit root tests, such as being sensitive to the normality assumption regarding the distribution of residuals and weakening the test power under parametric structures, the RALS-LM test based on the Residual Augmented Least Squares (RALS) approach, which provides higher statistical validity, was preferred. This method stands out as an analytical tool compatible with the data structure used in the study in terms of providing more reliable results, especially when the residuals are not normally distributed. The empirical findings reveal that some city indices exhibit a common equilibrium trend in the long run and show f inancial convergence, while some indices fall outside this trend. This study provides insight into the fact that f inancial development in Turkey is not homogeneous at the regional level and that financial integration policies should be designed taking into account different spatial dynamics.

Anahtar Kelimeler

• Financial Convergence
• Regional Financial Integration
• Borsa Istanbul City Index
• RALS-LM Unit Root Test

Kaynakça

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