Mutual Interaction Analysis Between Stock Market Index and Financial Indicators By Granger Causality Method

Öz

This study aims to measure the mutual relationship between exchange rates and interest rate and the BIST100 index. For this purpose, the relationship between the variables used in the study was analyzed using the VAR model method. The relationship between the stock market index, dollar/ TL, Euro/TL, and the interest rate was evaluated at the level of 5% and 10% significance with the VAR method. The reaction of the stock market index against a one-unit shock to be applied to exchange rates and interest rate were examined by the effect-reaction analysis. January 2005-March 2019 period based on monthly data, Dollar/TL, Euro/TL, interest rate, and BIST100 index variables were used in the study. According to the results obtained from the analysis, it was determined that the Dollar/TL variable is the cause of the stock market index variable. The study also found that the Dollar/TL variable is the cause of the Euro/TL and interest rate variables.

Anahtar Kelimeler

• Stock Market Index,Exchange Rates,Interest Rate,VAR Method

Borsan Endeksi İle Finansal Göstergeler Arasındaki Karşılıklı İlişkinin Granger Nedensellik Yöntemi İle Analizi

Öz

Bu çalışma, döviz kurları ve faiz oranı ile BIST100 endeksi arasındaki karşılıklı ilişkiyi ölçmeyi amaçlamaktadır. Bu amaçla çalışmada kullanılan değişkenler arasındaki ilişki VAR modeli yöntemi ile analiz edilmiştir. VAR yöntemi ile borsa endeksi, Dolar/TL, Euro/TL ve faiz oranı arasındaki ilişki %5 ve %10 anlamlılık düzeyinde değerlendirilmiştir. Etki-tepki analizi ile döviz kurları ve faiz oranına uygulanacak bir birimlik şok karşısında borsa endeksinin tepkisi incelenmiştir. Ocak 2005-Mart 2019 dönemi aylık verilerinin esas alındığı çalışmada Dolar/TL, Euro/ TL, faiz oranı ve BIST100 endeksi değişkenleri kullanılmıştır. Analizden elde edilen sonuçlara göre Dolar/TL’nin borsa endeksi değişkenin nedeni olduğu tespit edilmiştir. Çalışmada ayrıca; Dolar/TL değişkeninin Euro/ TL ve faiz değişkenlerinin nedeni olduğu saptanmıştır.

Anahtar Kelimeler

• Borsa Endeksi,Döviz Kurları,Faiz Oranı,VAR Yöntemi

Kaynakça

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