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

Yıl 2020, Cilt: 6 Sayı: 1, 1 - 13, 01.04.2020

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.

Kaynakça

  • [1]Aggarwal, R. (1981). Exchange rates and stock prices: a study of U.S. capital market under floating exchange rates. Akron Business and Economic Review, 12, 7-12. [2]Akbaş, Y. E. (2013). The Analysis of Relationship between the Rate of Stock Return and Interest Rate with Nonlinear Methods: The Case of Turkey, Business and Economics Research Journal, 4(3), 21-40. [3]Benninga, S. (2000). Financial Modeling. The MIT Press Cambridge, Massachusetts London, England, Second Edition. [4]Central Bank Of The Republic Of Turkey (TCMB) Monetary Policy Report. July 2002, s.1-69 [5]Çakmak, E., Aksu, H. ve Başar, S. (2002). Evaluation of Fisher Hypothesis in Turkey: 1989-2001. Atatürk University Journal of Economics and Administrative Sciences, 16(3-4), 31-40. Access address: http://dergipark.gov.tr/atauniiibd. [6]Delgado, N. A. B., Delgado B. E ve Saucedo, E. (2018). The relationship between oil prices, the stock market and the exchange rate: evidence from Mexico, North American Journal of Economics and Finance, 45, 266-275. [7]Ghazali, M. F., Ismail, W., Yasoa, M.R. & Lajuni N. (2008). Bivariate causality between exchange rates and stock prices in Malaysia. The International Journal of Business and Finance Research, 2(1), 53-59. [8]Granger, C. W. J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37(3), 424-438. doi: 10.2307/1912791. [9]Granger, C. W. J., Huang, B. N., Yang, C. W. (2000). A bivariate causality between stock prices and exchange rates: evidence from recent asian flu. The Quarterly Review of Economics and Finance, 40, 337-354. [10]Gujarati, D.N., Porter, D.C. (2014). Basic Econometrics, (Translation: Ü. Şenesen ve G. G. Şenesen), Literature Publications, Translation From The Fifth Edition. [11]Hendry, D., Juselius, K. (2000). Explaning cointegration analysis: Part II. The Energy Journal, 22(1), 1-34. doi: 10.2307/41322908. [12]Nieh, C., Lee, C., (2001). Dynamic relationship between stock prices and exchange rates for G-7 countries. The Quarterly Review of Economics and Finance, 41(4), 477-490. [13]Sims, C. A., (1980). Macroeconomics and reality. Econometrica, 48(1), 1-48. doi: 10.2307/1912017 [14]Soenen, L.A., Hennigar, E.S. (1988). An analysis of exchange rates and stock prices: the US experience between 1980 and 1986. Akron Business and Economic Review, 19(4), 71-76. [15]Şentürk, M., Dücan, E. (2014). Relationship between exchange rate- interest rate and exchange rate return in Turkey, Business and Economics Research Journal, 5(3), 67-80 [16] Tabak, B. M. (2006). The dynamic relationship between stock prices and exchange rates: evidence for Brazil. International Journal of Theoritical and Applied Finance, 9(8), 1377-1139. [17]Topaloğlu, E. E., Karakozak, Ö. (2018). Macroeconomic Factors and Stock Returns: Panel Data Analysis on BIST Banks Index Firms, Journal of accounting and Finance,78, 199-215.

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

Yıl 2020, Cilt: 6 Sayı: 1, 1 - 13, 01.04.2020

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.

Kaynakça

  • [1]Aggarwal, R. (1981). Exchange rates and stock prices: a study of U.S. capital market under floating exchange rates. Akron Business and Economic Review, 12, 7-12. [2]Akbaş, Y. E. (2013). The Analysis of Relationship between the Rate of Stock Return and Interest Rate with Nonlinear Methods: The Case of Turkey, Business and Economics Research Journal, 4(3), 21-40. [3]Benninga, S. (2000). Financial Modeling. The MIT Press Cambridge, Massachusetts London, England, Second Edition. [4]Central Bank Of The Republic Of Turkey (TCMB) Monetary Policy Report. July 2002, s.1-69 [5]Çakmak, E., Aksu, H. ve Başar, S. (2002). Evaluation of Fisher Hypothesis in Turkey: 1989-2001. Atatürk University Journal of Economics and Administrative Sciences, 16(3-4), 31-40. Access address: http://dergipark.gov.tr/atauniiibd. [6]Delgado, N. A. B., Delgado B. E ve Saucedo, E. (2018). The relationship between oil prices, the stock market and the exchange rate: evidence from Mexico, North American Journal of Economics and Finance, 45, 266-275. [7]Ghazali, M. F., Ismail, W., Yasoa, M.R. & Lajuni N. (2008). Bivariate causality between exchange rates and stock prices in Malaysia. The International Journal of Business and Finance Research, 2(1), 53-59. [8]Granger, C. W. J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37(3), 424-438. doi: 10.2307/1912791. [9]Granger, C. W. J., Huang, B. N., Yang, C. W. (2000). A bivariate causality between stock prices and exchange rates: evidence from recent asian flu. The Quarterly Review of Economics and Finance, 40, 337-354. [10]Gujarati, D.N., Porter, D.C. (2014). Basic Econometrics, (Translation: Ü. Şenesen ve G. G. Şenesen), Literature Publications, Translation From The Fifth Edition. [11]Hendry, D., Juselius, K. (2000). Explaning cointegration analysis: Part II. The Energy Journal, 22(1), 1-34. doi: 10.2307/41322908. [12]Nieh, C., Lee, C., (2001). Dynamic relationship between stock prices and exchange rates for G-7 countries. The Quarterly Review of Economics and Finance, 41(4), 477-490. [13]Sims, C. A., (1980). Macroeconomics and reality. Econometrica, 48(1), 1-48. doi: 10.2307/1912017 [14]Soenen, L.A., Hennigar, E.S. (1988). An analysis of exchange rates and stock prices: the US experience between 1980 and 1986. Akron Business and Economic Review, 19(4), 71-76. [15]Şentürk, M., Dücan, E. (2014). Relationship between exchange rate- interest rate and exchange rate return in Turkey, Business and Economics Research Journal, 5(3), 67-80 [16] Tabak, B. M. (2006). The dynamic relationship between stock prices and exchange rates: evidence for Brazil. International Journal of Theoritical and Applied Finance, 9(8), 1377-1139. [17]Topaloğlu, E. E., Karakozak, Ö. (2018). Macroeconomic Factors and Stock Returns: Panel Data Analysis on BIST Banks Index Firms, Journal of accounting and Finance,78, 199-215.
Toplam 1 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Ekonomi
Bölüm Araştırma Makalesi
Yazarlar

Özge Demirkale Bu kişi benim

Yayımlanma Tarihi 1 Nisan 2020
Yayımlandığı Sayı Yıl 2020 Cilt: 6 Sayı: 1

Kaynak Göster

APA Demirkale, Ö. (2020). Mutual Interaction Analysis Between Stock Market Index and Financial Indicators By Granger Causality Method. Florya Chronicles of Political Economy, 6(1), 1-13.


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