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

Yıl 2025, Sayı: 42, 223 - 242, 25.06.2025

Hatice Başkaya

https://doi.org/10.26650/ekoist.2025.42.1684557

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

• Abramovitz, M. (1986). Catching up, forging ahead, and falling behind. The Journal of Economic History, 46(2), 385-406. google scholar
• Affinito, M. (2011). Convergence clubs, the euro-area rank and the relationship between banking and real convergence. Temi di Discus-sione Working Papers, 809, 1-49. google scholar
• Andreano, M. S., Laureti, L., & Postiglione, P. (2013). Financial development and growth: Some panel data evidence. Applied Economics Letters, 20(7), 670–676. google scholar
• Angelia, M. P., & Purwono, R. (2021). The convergence of financial sector in Asia. International Journal of Research in Business and Social Science, 10(6), 166-173. Doi: 0.20525/İjrbs.V10i6.1319 google scholar
• Anoruo, E., & Murthy, V. N. (2014). Testing nonlinear inflation convergence for the Central African economic and monetary community. International Journal of Economics and Financial Issues, 4(1), 1-7. google scholar
• Antzoulatos, A. A., Panopoulou, E., & Tsoumas, C. (2011). Do financial systems converge? Review Of International Economics, 19(1), 122- 136. google scholar
• Apergis, N., Christou, C., & Miller, S. (2012). Convergence patterns in financial development: Evidence from club convergence. Empir Econ, 43, 1011–1040. google scholar
• Bağcı, H. (2018). Finansal gelişmişlik göstergeleri ile büyüme arasındaki ilişki: Panel veri analizi. Sosyal Bilimler Dergisi, 20(3), 237–250. google scholar
• Bahadir, B.ve Valev, N. (2017). Catching up or drifting apart: Convergence of Household and Business Credit in Europe, International Review of Economics and Finance, 47, 101- 114. google scholar
• Barro, R. J., & Sala-i-Martin, X. (1992). Convergence. Journal of Political Economy, 100(2), 223–251. Borsa İstanbul, https://www. google scholar
• borsaistanbul.com/tr/sayfa/164/sehir-endeksleri (Erişim tarihi: 10.02.2025) google scholar
• Bruno, G., De Bonis, R., & Silvestrini, A. (2012). Do financial systems converge? New evidence from financial assets in OECD countries. Journal of Comparative Economics, 40, 141- 155. google scholar
• Busetti, F., Forni, L., Harvey, A., & Venditti, F. (2007). Inflation convergence and divergence within the european monetary union. International Journal of Central Banking, 95-121. google scholar
• Buzdağlı, Ö. (2023). Finansal gelişme endeksinde yakınsama analizi: Türkiye ile seçilmiş ülkeler örneği. Ş. Karabulut (Ed.), İktisadi ve finansal uygulamaların ampirik yöntemlerle tahlili (ss. 33–46). Bursa: Ekin Yayınevi. google scholar
• Cuestas, J. C., & Ramlogan‐Dobson, C. (2013). Convergence of inflationary shocks: Evidence from the Caribbean. The World Economy, 36(9), 1229-1243. google scholar
• Dekle, R., & Pundit, M. (2016). The recent convergence of financial development in Asia. Emerging Markets Finance and Trade, 52(5), 1106-1120. google scholar
• Di Giacinto, V., & Esposito, L. (2005). Convergence of financial structures in Europe: An application of factorial matrix analysis in financial accounts: History, Methods, The Case of Italy and International Comparisons Conference, 1–2 December, Perugia, Italy. google scholar
• Di Giacinto, V., & Esposito, L. (2008). Convergence of financial structures in Europe: An application of factorial matrix analysis. Banca D’italia financial accounts: History, Methods, The Case of Italy and International Comparisons, 365-391. google scholar
• Fung, M.K. (2009). Financial development and economic growth: Convergence or divergence? Journal of International Money and Finance, 28, 56-67. google scholar
• Giannellis, N. (2013). Asymmetric behavior of inflation differentials in the Euro Area: Evidence from a threshold unit root test. Research in Economics, 67(2), 133-144. google scholar
• Gregoriou, A., Kontonikas A., & Montagnoli, A. (2011). Euro area inflation differentials: Unit roots and nonlinear adjustment.Journal of Common Market Studies, 49(3), Pp. 525-540. google scholar
• Gündem, F. (2010). Avrupa Birliği ve Türkiye finans piyasalarının bütünleşmesi. Journal of Yaşar University, 18(5), 3091- 3096. google scholar
• Hepsağ, A. (2017). Inflation convergence among the next eleven economies: Evidence from asymmetric nonlinear unit root test. Theoretical & Applied Economics, 24(4). google scholar
• Hepsağ, A., & Akçalı, B. Y. (2016). Analysis of volatility spillovers between the bank stocks traded in İstanbul stock exchange and New York stock exchange. Eurasian Academy of Sciences Eurasian Econometrics, Statistics & Emprical Economics Journal, 1, 54-72. google scholar
• Hepsağ, A. (2022). Ekonometrik zaman serileri analizlerinde güncel yöntemler (WinRATS uygulamalı). İstanbul: Der Yayınları. google scholar
• Holmes, M. J. (2002). Panel data evidence on inflation convergence in the European Union. Applied Economics Letters, 9(3), 155-158. google scholar
• Ibrahim, J., & Habibullah, M.S. (2013). Financial convergence in the Asia Pacific economies. Prosiding PERKEM, 8(2), 1051 – 1058. google scholar
• Iwanicz-Drozdowska, M., Smaga, P., & Witkowski, B. (2016). Financial Development. Have post-communist countries converged? Transformations in Business & Economics, 15(2A), 389-414. google scholar
• Kılınç, D., Seven, Ü., & Yetkiner, H. (2017). Financial development convergence: New evidence for the EU. Central Bank Review, 17, 47-54. google scholar
• Kisswani, K.M., & Nusair, S.A. (2014). Non-linear convergence in Asian interest rates and inflation rates. Economic Change and Restructuring, 47(3), Pp. 155-186. google scholar
• Kočenda, E.ve Papell, D. H. (1997). Inflation convergence within the European Union: A panel data analysis. International Journal of Finance & Economics, 2(3), 189-198. google scholar
• Künç, S., Çelik, S. ve Tutgun, S. (2023). Yapısal kırılmalar altında finansal yakınsama hipotezinin geçerliliğine yönelik ampirik kanıtlar. İktisadi İdari ve Siyasal Araştırmalar Dergisi, 8(21), 584-599. google scholar
• Lee, J., ve Strazicich, M. C. (2003). Minimum LaGrange multiplier unit root test with two structural breaks. Review Of Economics and Statistics, 85(4), 1082-1089. google scholar
• Lee, J., & Strazicich, M. C. (2004). Minimum LM unit root test with one structural break. Appalachian State University Working Papers. No: 04-17. google scholar
• Lopez, C., & Papell, D.H. (2012). Avro bölgesi enflasyon oranlarının yakınsaması. Uluslararası Para ve Finans Dergisi, 31 (6), 1440-1458. google scholar
• Meng, M., Im, K. S., Lee, J., & Tieslau, M. A. (2014). More powerful LM unit root tests with non-normal errors. Festschrift in honor of Peter Schmidt: Econometric Methods and Applications, 343-357. google scholar
• Meng, M., Lee, J., & Payne, J. E. (2017). RALS-LM unit root test with trend breaks and non-normal errors: Application to the PrebischSinger hypothesis. Studies in Nonlinear Dynamics & Econometrics, 21(1), 31-45. google scholar
• Murinde, V., Agung, J., & Mullineux, A. (2004). Patterns of corporate financing and financial system convergence in Europe. Review of International Economics, 12(4), 693- 705. google scholar
• Özek, Y., & Ergür, H. O. (2020). Kırılgan beşli ülkelerinde finansal yakınsamanın birim kök testleri ile analizi. Kesit Akademi Dergisi, 6(23), 237-245. Https://Doi.Org/10.29228/Kesit.42779 google scholar
• Özmen, M., & Baktemur, F. İ. (2015). Enflasyon yakınsamasının mekânsal ekonometrik analizi. Sosyal Bilimler Araştırma Dergisi, 4(2), 187-194. google scholar
• Pesaran, M. H. (2007). A pairwise approach to testing for output and growth convergence. Journal of Econometrics, 138(1), 312–355. google scholar
• Prasetyo, A.S., & Susandika, M.D. (2021). Convergence of financial development in asean based on private credit and liquid liabilities indicators. bisma: Jurnal Bisnis dan Manajemen, 15(1), 13-24. google scholar
• Sala-I-Martin, X. (1996). The classical approach to convergence analysis. The Economic Journal, 106(437), 1019–1036. https://doi.org/10. 2307/223537 google scholar
• Sare, Y. A., Opoku, E. E. O., Ibrahim, M., & Koomsom, I. (2019). Financial sector development convergence in Africa: Evidence from bank-and market-based measures. Economics and Business Letters, 8(4), 166- 176. google scholar
• Schmidt, P., & Phillips, P. C. (1992). LM tests for a unit root in the presence of deterministic trends. Oxford Bulletin of Economics and Statistics, 54(3), 257-287. google scholar
• Schmidt, R. H., Hackethal, A., & Tyrell, M. (1999). Disintermediation and the role of banks in Europe: An international comparison. Journal of Financial Intermediation, 8, 36- 67. google scholar
• Sever, C. (2022). Financial Structure Convergence. International Finance, 25, 65–83. google scholar
• Solow, Robert M. (1956). A contribution to the theory of economic growth. Quarterly Journal of Economics, 70, 65–94 Stolbov, M., & Veysov, A. (2011). Do financial systems converge? A comprehensive panel data approach and new evidence from a dataset for 102 countries. MPRA, No: 36103. Retrieved from: https://Ssrn.Com/Abstract=2037395 google scholar
• Şeyranlıoğlu, O. (2024). Fourier birim kök testleri ile finansal yakınsama hipotezi geçerliliğinin sınanması: Kırılgan beşli örneği. Bingöl Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 8(1), 11-30. google scholar
• Uğur, A., & Bingöl, N. (2021). Finansal yakınsama olgusu: Türkiye ile G7 ülkeleri arasında finansal yakınsamanın analizi. Adıyaman Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, (37), 125-157. google scholar
• Yeşilyurt, F. (2014). Bölgesel Enflasyon Yakınsaması: Türkiye Örneği. Ege Akademik Bakış Dergisi. (2)14, 305-314 google scholar