Dynamics of Stock Prices and Exchange Rate with Structural Breaks and Asymmetry: Evidence From Türkiye

Yıl 2024, Cilt: 9 Sayı: 3, 438 - 461, 30.09.2024

Almıla Burgaç Çil , Burhan Biçer

https://doi.org/10.30784/epfad.1516880

Öz

This study investigates the impacts of the nominal exchange rate on Turkish stock prices using a structural break cointegration test with endogenously determined multiple structural breaks and an asymmetric cointegration test for the period of 2002-2021. The study differs from previous research on this relation in two respects. First, it takes into account structural breaks in relation to both regimes and trends (C/S/T). Second, it extends the asymmetric cointegration with multiple structural breaks. The findings of structural break cointegration capture the break dates in line with the Turkish economics dynamics and reveal the negative effects of the exchange rates on stocks, with their significance and magnitude differing in regimes. Similarly, NARDL results indicate that negative and positive exchange rate shocks exhibit asymmetric effects on stocks for both the whole period and regimes. The overall findings demonstrate that exchange rate variations have distinctive impacts on stock prices when considering structural break and asymmetrical dynamics. In this background, policymakers and foreign investors need to take into account these dynamics when dealing with Turkish financial markets.

Anahtar Kelimeler

Stock Prices, Exchange Rate, Cointegration with Multiple Structural Breaks, NARDL

Hisse Senedi ve Döviz Kuru Dinamiklerinin Yapısal Kırılmalı ve Asimetrik İncelemesi: Türkiye’den Kanıtlar

Öz

Bu çalışma, nominal döviz kurunun Türkiye hisse senedi fiyatları üzerindeki etkisini içsel belirlenen çoklu yapısal kırılmalı eşbütünleşme ve asimetrik eşbütünleşme testlerini kullanarak 2002-2021 dönemi için incelemektedir. Çalışma, Türkiye ekonomisinde iki değişken arasındaki ilişkiyi ele alan literatürden iki açıdan farklılaşmaktadır. İlk olarak, rejim ve trenddeki (C/S/T) çoklu yapısal kırılmaları dikkate almaktadır. İkincisi, asimetrik eşbütünleşme testini rejim ve trenddeki çoklu yapısal kırılmalarla genişletmektedir. Çoklu yapısal kırılmalı eşbütünleşme testi bulguları, Türkiye ekonomisi dinamikleriyle uyumlu kırılma tarihlerini yakalamakta ve döviz kurunun hisse senetleri üzerinde negatif etkilere sahip olduğunu göstermektedir. Etkinin büyüklüğü ve anlamlılık derecesi rejimlere göre farklılık sergilemektedir. Asimetrik eşbütünleşme test sonuçları hem tüm dönem hem de yapısal kırılmaların dikkate alındığı alt rejimler için negatif ve pozitif kur şoklarının hisse senedi üzerinde asimetrik ve genellikle negatif etkilere sahip olduğunu göstermektedir. Genel bulgular, döviz kurunun hisse senedi fiyatları üzerindeki etkisinin, yapısal kırılma ve asimetrik dinamikler dikkate alındığında hem yön hem de anlamlılık açısından farklı olabileceğine işaret etmektedir. Bu bağlamda, politika yapıcılar ve yabancı yatırımcıların Türk finansal piyasalarıyla ilgilenirken bu dinamikleri dikkate almalarının önem arz ettiği düşünülmektedir.

Anahtar Kelimeler

Hisse Senedi Fiyatları, Döviz Kuru, Çoklu Yapısal Kırılmalı Eşbütünleşme, NARDL

Kaynakça

• Adekoya, O.B. (2020). Portfolio balance approach to asymmetries, structural breaks and financial crisis: Testing a model for Nigeria. CBN Journal of Applied Statistics, 11(1), 87–110. https://doi.org/10.33429/Cjas.11120.4/5
• Ajayi, R.A., Friedman, J. and Mehdian, S.M. (1998). On the relationship between stock returns and exchange rates: tests of Granger causality. Global Finance Journal, 9(2), 241–251. https://doi.org/10.1016/s1044-0283(98)90006-0
• Alkan, B. and Çiçek, S. (2020). Spillover effect in financial markets in Turkey. Central Bank Review, 20(2), 53–64. https://doi.org/10.1016/j.cbrev.2020.02.003
• Apergis, N. and Rezitis, A. (2002). Asymmetric cross-market volatility spillovers: Evidence from daily data on equity and foreign exchange markets. The Manchester School, 69, 81–96. https://doi.org/10.1111/1467-9957.69.s1.5
• Bahmani-Oskooee, M. and Domac, I. (1997). Turkish stock prices and the value of Turkish Lira. Canadian Journal of Development Studies, 18(1), 139–150. https://doi.org/10.1080/02255189.1997.9669698
• Bahmani-Oskooee, M. and Saha, S. (2015). On the relation between stock prices and exchange rates: A review article. Journal of Economic Studies, 42(4), 707–732. https://doi.org/10.1108/JES-03-2015-0043
• Bahmani-Oskooee, M. and Saha, S. (2016a). Asymmetry cointegration between the value of the dollar and sectoral stock indices in the US. International Review of Economics & Finance, 46, 78–86. https://doi.org/10.1016/j.iref.2016.08.005
• Bahmani-Oskooee, M. and Saha, S. (2016b). Do exchange rate changes have symmetric or asymmetric effects on stock prices? Global Finance Journal, 31, 57–72. https://doi.org/10.1016/j.gfj.2016.06.005
• Bahmani-Oskooee, M. and Saha, S. (2018). On the relation between exchange rates and stock prices: A non-linear ARDL approach and asymmetry analysis. Journal of Economics and Finance, 42, 112–137. https://doi.org/10.1007/s12197-017-9388-8
• Bahmani-Oskooee, M. and Sohrabian, A. (1992). Stock prices and the effective exchange rate of the dollar. Applied Economics, 24(4), 459–464. https://doi.org/10.1080/00036849200000020
• Bai, J. and Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 78. https://doi.org/10.2307/2998540
• Bai, J. and Perron, P. (2003). Computation and analysis of multiple structural change models. Journal of Applied Econometrics, 18(1), 1–22. https://doi.org/10.1002/JAE.659
• Baldwin, R. (1988). Hysteresis in import prices: The Beachhead effect. American Economic Review, 78(4), 773–785. doi:10.3386/w2545
• Başçı, E. and Kara, H. (2011). Financial stability and monetary policy. İktisat İşletme ve Finans, 26(302), 9–25. https://doi.org/10.3848/iif.2011.302.0925
• Benli, M., Durmuşkaya, S. and Bayramoğlu, G. (2019). Asymmetric exchange rate pass-through and sectoral stock price indices: Evidence from Turkey. International Journal of Business and Management, 7(1), 25–47. https://doi.org/10.20472/BM.2019.7.1.003
• Bhutto, N.A. and Chang, B.H. (2019). The effect of the global financial crisis on the asymmetric relationship between exchange rate and stock prices. High Frequency, 2(3–4), 175–183. https://doi.org/doi.org/10.1002/hf2.10033
• Caporale, G.M., Hunter, J. and Ali, F.M. (2014). On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007–2010. International Review of Financial Analysis, 33, 87–103. https://doi.org/doi.org/10.1016/j.irfa.2013.12.005
• Chkili, W. and Nguyen, D.K. (2014). Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries. Research in International Business and Finance, 31, 46–56. https://doi.org/10.1016/J.RIBAF.2013.11.007
• Diamandis, P.F. and Drakos, A.A. (2011). Financial liberalization, exchange rates and stock prices: Exogenous shocks in four Latin America countries. Journal of Policy Modelling, 33(3), 381–394. https://doi.org/10.1016/j.jpolmod.2010.11.004
• Durgun, F. and Temurlenk, M.S. (2021). The relationship between the exchange rates and stock returns in Turkey: MS-VAR approach. Journal of Economics and Administrative Sciences, 35(2), 551–576. https://doi.org/10.16951/atauniiibd.789496
• Fasanya, I.O. and Akinwale, O.A. (2022). Exchange rate shocks and sectoral stock returns in Nigeria: Do asymmetry and structural breaks matter? Cogent Economics & Finance, 10(1), 2045719. https://doi.org/10.1080/23322039.2022.2045719
• Fowowe, B. (2015). The relationship between stock prices and exchange rates in South Africa and Nigeria: Structural breaks analysis. International Review of Applied Economics, 29(1), 1–14. https://doi.org/10.1080/02692171.2014.933786
• Genç, A. and Öztürk, C. (2021). The relationship between stock prices and exchange rate in Turkey: Asymmetric causality and Markov regime switching approach. Journal of Yasar University, 16(62), 601–617. https://doi.org/10.19168/jyasar.816375
• Gokmenoglu, K., Eren, B.M. and Hesami, S. (2021). Exchange rates and stock markets in emerging economies: New evidence using the quantile on-quantile approach. Quantitative Finance and Economics, 5(1), 94–110. https://doi.org/10.3934/QFE.2021005
• Goldberg, P.K. (1995). Product differentiation and oligopoly in international markets: The case of the US automobile industry. Econometrica, 63(4), 891–951. https://doi.org/10.2307/2171803
• Granger, C.W., Huang, B.-N. and Yang, C.-W. (2000). A bivariate causality between stock prices and exchange rates: Evidence from recent Asianflu. The Quarterly Review of Economics and Finance, 40(3), 337–354. https://doi.org/10.1016/S1062-9769(00)00042-9
• Gregory, A.W. and Hansen, B.E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99–126. https://doi.org/10.1016/0304-4076(69)41685-7
• Griffin, J.M. and Stulz, R.M. (2001). International competition and exchange rate shocks: A cross-country industry analysis of stock returns. The Review of Financial Studies, 14(1), 215–241. https://doi.org/10.1093/rfs/14.1.215
• Haughton, A.Y. and Iglesias, E.M. (2017). Exchange rate movements, stock prices and volatility in the Caribbean and Latin America. International Journal of Economics and Financial, 7(2), 437–447. Retrieved from https://dergipark.org.tr/en/pub/ijefi/
• Hsu, C.-C., Yau, R. and Wu, J.-Y. (2009). Asymmetric exchange rate exposure and industry characteristics: Evidence from Japanese data. Hitotsubashi Journal of Economics, 50(1), 57–69. Retrieved from https://www.jstor.org/
• Karadağ, S. and Sekmen, T. (2021). Asymmetrical relationships between exchange rate and stock market in Turkey. Bilge International Journal of Social Research, 5(2), 100–110. https://doi.org/10.47257/busad.1018719
• Kassouri, Y. and Altıntaş, H. (2020). Threshold cointegration, nonlinearity, and frequency domain causality relationship between stock price and Turkish Lira. Research in International Business and Finance, 52, 10109. https://doi.org/10.1016/j.ribaf.2019.101097
• Kaya, H. and Soybilgen, B. (2019). Evaluating the asymmetric effects of production, interest rate and exchange rate on the Turkish stock prices. Ege Academic Review, 19(2), 293–300. https://doi.org/10.21121/eab.556344
• Kejriwal, M. (2008). Cointegration with structural breaks: An application to the Feldstein-Horioka puzzle. Studies in Nonlinear Dynamics & Econometrics, 12(1). https://doi.org/10.2202/1558-3708.1467
• Kejriwal, M. and Perron, P. (2010). Testing for multiple structural changes in cointegrated regression models. Journal of Business & Economic Statistics, 28(4), 503–522. https://doi.org/10.1198/jbes.2009.07220
• Kılıç, E. and Naimoğlu, M. (2022). The relationship between exchange rate and BIST 100 in Turkey: Asymmetric-time varying asymmetric causality analysis. Karamanoglu Mehmetbey University Journal of Social and Economic Research, 24(42), 1-11. Retrieved from https://dergipark.org.tr/en/pub/kmusekad
• Knetter, M.M. (1994). Is export price adjustment asymmetric?: Evaluating the market share and marketing bottlenecks hypotheses. Journal of International Money and Finance, 13(1), 55–70. https://doi.org/10.1016/0261-5606(94)90024-8
• Koseoglu, S.D. and Cevik, E.I. (2013). Testing for causality in mean and variance between the stock market and the foreign exchange market: An application to the major Central and Eastern European countries. Finance a Úvěr-Czech Journal of Economics and Finance, 63(1), 65–87. Retrieved from https://avesis.istanbul.edu.tr/
• Koutmos, G. and Martin, A.D. (2003). Asymmetric exchange rate exposure: Theory and evidence. Journal of International Money and Finance, 22(3), 365–383. https://doi.org/10.1016/S0261-5606(03)00012-3
• Lean, H.H., Narayan, P. and Smyth, R. (2011). Exchange rate and stock price interaction in major Asian Markets: Evidence for ındividual countries and panels allowing for structural breaks. The Singapore Economic Review (SER), World Scientific Publishing Co, 56(2), 255–277. https://doi.org/10.1142/S0217590811004250
• Lin, C.-H. (2012). The comovement between exchange rates and stock prices in the Asian emerging markets. International Review of Economics & Finance, 22(1), 161–172. https://doi.org/10.1016/j.iref.2011.09.006
• Liu, J., Wu, S. and Zidek, J.V. (1997). On segmented multivariate regression. Statistica Sinica, 7(2), 497–525. Retrieved from https://www.jstor.org/
• Ljungqvist, L. (1994). Hysteresis in international trade: A general equilibrium analysis. Journal of International Money and Finance, 13(4), 387–399. https://doi.org/10.1016/0261-5606(94)90045-0
• Lopcu, K., Dülger, F. and Burgaç, A. (2013). Relative productivity increases and the appreciation of the Turkish lira. Economic Modelling, 35, 614–621. https://doi.org/10.1016/j.econmod.2013.08.005
• Marston, R.C. (1990). Pricing to market in Japanese manufacturing. Journal of International Economics, 29(3–4), 217-236. https://doi.org/10.1016/0022-1996(90)90031-G
• Miller, K.D. and Reuer, J.J. (1998). Asymmetric corporate exposures to foreign exchange rate changes. Strategic Management Journal, 19(12), 1183–1191. Retrieved from https://onlinelibrary.wiley.com/
• Mishra, A.K. (2004). Stock market and foreign exchange market in India: Are they related? South Asia Economic Journal, 5(2), 209–232. https://doi.org/10.1177/139156140400500202
• Moore, T. and Wang, P. (2014). Dynamic linkage between real exchange rates and stock prices: Evidence from developed and emerging Asian markets. International Review of Economics & Finance, 29, 1–11. https://doi.org/10.1016/j.iref.2013.02.004
• Ng, S. and Perron, P. (2001). Lag length selection and the construction of unit root tests with good size and power. Econometrica, 69(6), 1519–1554. https://doi.org/10.1111/1468-0262.00256
• Nguyen, V.-H. (2019). Dynamics between exchange rates and stock prices: Evidence from developed and emerging markets. The International Journal of Business and Finance Research, 13(1), 73–84. Retrieved from https://papers.ssrn.com/
• Nusair, S.A. and Al-khasawneh, J. (2022). On the relationship between Asian exchange rates and stock prices: A nonlinear analysis. Economic Change and Restructuring, 55(1), 361–400. https://doi.org/10.1007/s10644-021-09318-8
• Nusair, S.A. and Olson, D. (2022). Dynamic relationship between exchange rates and stock prices for the G7 countries: A nonlinear ARDL approach. Journal of International Financial Markets, Institutions and Money, 78, 101541. https://doi.org/10.1016/j.intfin.2022.101541
• Özatay, F. (2011). The new monetary policy of the Central Bank: Two targets-three. Iktisat Isletme ve Finans, 26(302), 27–43. Retrieved from http://iif.com.tr/
• Özatay, F. (2012). An exploration into new monetary policy. Iktisat Isletme ve Finans, 27(315), 51–75. Retrieved from http://iif.com.tr/
• Pan, M.-S., Fok, R.C.-W. and Liu, Y.A. (2007). Dynamic linkages between exchange rates and stock prices: Evidence from East Asian markets. International Review of Economics & Finance, 16(4), 503–520. https://doi.org/10.1016/j.iref.2005.09.003
• Pesaran, M.H., Shin, Y. and Smith, R.J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. https://doi.org/10.1002/jae.616
• Phylaktis, K. and Ravazzolo, F. (2005). Stock prices and exchange rate dynamics. Journal of International Money and Finance, 24(7), 1031–1053. https://doi.org/10.1016/j.jimonfin.2005.08.001
• Rahman, M.L. and Uddin, J. (2009). Dynamic relationship between stock prices and exchange rates: Evidence from three South Asian countries. International Business Research, 2(2), 167–174. Retrieved from www.ccsenet.org/journal.html
• Sertkaya, B. and Songur, M. (2021). Türkiye’de hisse senedi fiyatları ile reel döviz kuru arasındaki ilişki: Simetrik ve asimetrik nedensellik analizi. Academic Review of Economics and Administrative Sciences, 14(2), 396–412. https://doi.org/10.25287/ohuiibf.703751
• Sheikh, U.A., Tabash, M.I. and Asad, M. (2020). Global financial crisis in effecting asymmetrical co-integration between exchange rate and stock indexes of South Asian Region: Application of panel data NARDL and ARDL modelling approach with asymmetrical Granger causility. Cogent Business & Management, 7(1), 1843309. https://doi.org/10.1080/23311975.2020.1843309
• Shin, Y., Yu, B. and Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In R.C. Sickles and W.C. Horrace (Eds.), Festschrift in honor of Peter Schmidt (pp. 281–314). https://doi.org/10.1007/978-1-4899-8008-3_9
• Siew-pong, C., Thian-hee, Y., Cheong-fatt, N. and Chuan-chew, F. (2021). Revisiting the relation between stock price and exchange rate - An asymmetric panel ARDL analysis. Economics Bulletin, 41(4), 2517–2528. Retrieved from https://www.accessecon.com/
• Stavárek, D. (2005). Stock prices and exchange rates in the EU and the USA: Evidence of their mutual interactions. Czech Journal of Economics and Finance (Finance a Uver), 55(3–4), 141–161. https://doi.org/10.2139/ssrn.671681
• Sui, L. and Sun, L. (2016). Spillover effects between exchange rates and stock prices: Evidence from BRICS around the recent global financial crisis. Research in International Business and Finance, 36, 459–471. https://doi.org/10.1016/j.ribaf.2015.10.011
• Tarakçı, D., Ölmez, F. and Durusu-Çiftçi, D. (2022). Exchange rate volatility and export in Turkey: Does the nexus vary across the type of commodity? Central Bank Review, 22(2), 77–89. https://doi.org/10.1016/J.CBREV.2022.05.001
• Tiryaki, A., Ceylan, R. and Erdoğan, L. (2019). Asymmetric effects of industrial production, money supply and exchange rate changes on stock returns in Turkey. Applied Economics, 51(20), 2143–2154. https://doi.org/10.1080/00036846.2018.1540850
• Tsai, I.-C. (2012). The relationship between stock price index and exchange rate in Asian markets: A quantile regression approach. Journal of International Financial Markets, Institutions and Money, 22(3), 609–621. https://doi.org/10.1016/j.intfin.2012.04.005
• Ürkmez, E. and Karataş, T. (2017). Determining of the dynamic relationship between Borsa Istanbul 100 Index and exchange rates. International Journal of Social Sciences Academic Researches, 5(45), 393–409. Retrieved from https://asosjournal.com/
• Yao, Y.-C. (1988). Estimating the number of change-points via Schwarz’ criterion. Statistics & Probability Letters, 6(3), 181–189. https://doi.org/10.1016/0167-7152(88)90118-6
• Yıldırım, G. and Adalı, Z. (2018). Linear and non-linear causality tests of stock price and real exchange rate ınteractions in Turkey. Fiscaoeconomia, 2(1), 99–118. https://doi.org/10.25295/fsecon.370719
• Zeren, F. and Koç, M. (2016). Time varying causality between stock market and exchange rate: Evidence from Turkey, Japan and England. Economic Research-Ekonomska Istraživanja, 29(1), 696–705. https://doi.org/10.1080/1331677X.2016.1193950