GELİŞMEKTE OLAN ÜLKELERDE DÖVİZ KURLARI VE HİSSE SENEDİ ENDEKSLERİ ARASINDAKİ ETKİLEŞİM

Yıl 2018, Cilt: 3 Sayı: 1, 307 - 317, 31.03.2018

Müge Çetiner Ahmet Mete Çilingirtürk Emre Zehir

https://doi.org/10.29106/fesa.388969

Öz

Döviz kurlarının hisse
senedi piyasalarındaki oynaklığa etkisini araştıran bu çalışma, Ocak 2000  - Aralık 2016 yılları arasında 22 ülkenin para
birimlerinin ABD Dolarına karşı değerleri ve hisse senedi endekslerinin aylık
verileri kullanılarak sabit ve rasgele etki modellerinin test edilmesiyle
gerçekleştirilmiştir. Sabit etki modeli endeksler ile döviz kurları arasında
bir korelasyon olduğunu gösterirken rasgele etki modeline göre herhangi bir
korelasyon bulunamamıştır. Breusch ve Pagan LR testi kullanılarak ülkelere özgü
hisse senedi getirilerinin varyansları hesaplanmış ve ülkelere özgü oynaklık
riski bulunamamış olup, hisse senedi endeksleri ve döviz kuru arasındaki
varyans sıfırdır. Buna ek olarak rasgele etki modeli hisse senedi endeks
getirileri ve döviz kurları arasındaki ilişkiyi açıklamak için uygundur. Bu
uygunluk, modelde herhangi bir ülkeye özgü etki olmadığından dolayı orta ve
uzun vadede uluslararası işlemlerde herhangi bir arbitraj fırsatı olmadığı
anlamında yorumlanabilir. Son olarak döviz kurundaki değişimin endeksler
üzerinde negatif bir etkisi olduğu gözlenmiştir. Yapılan AR ve MA terimlerine göre
geçmiş ay endeks getirilerinin endeks getirileri üzerinde herhangi bir etkiye
sahip olmadıkları anlaşılmıştır. Bütün bunlara ek olarak günlük modellerde kısa
süreli arbitraj imkânı bulunsa da uluslararası döviz piyasaları ve hisse senedi
piyasaları aylık bazda herhangi bir arbitraj fırsatına olanak sağlamayacak
şekilde birlikte hareket etmektedir. 

Anahtar Kelimeler

Döviz Kurları, Hisse Senedi Endeksleri, Gelişmekte Olan Ülkeler

EMPIRICAL ANALYSIS OF FOREIGN EXCHANGE RATE AND STOCK PRICE INDICES: EVIDENCE FROM EMERGING COUNTRIES

Öz

The main aim behind this research is to find out the
exchange rate risk on stock price indices return volatility of 22 emerging
countries. The study is based on the monthly stock index and foreign exchange
rate in relation the USD of the related 22 countries’ data between January 2000
and December 2016. Both fixed effect and random effect models were tested. The
fixed effect model assumes that stocks are correlated with country specific
exchange rates while the random effect model assumes residuals are uncorrelated
with the country specific exchange rates. Furthermore, country specific
variance on stock index return was tested using the Breusch and Pagan LR test,
and it was found that there is no country specific volatility, which means that
their variance is zero. This means that there are not any country specific
effects in the model, which can be interpreted to mean that there is no medium
or long-term arbitrage possibilities with international transactions.  Finally, it was observed that exchange rate changes
had a negative impact on stock index returns. The previous month’s stock market
movement or random term did not have any impact on the current market returns
according to AR and MA terms. Moreover, international foreign exchange market
and stock market cooperate consistently, uncausing any arbitrage possibility on
monthly basis. Daily models might detect short-term arbitrage failures in
international transactions. Furthermore, there are asymmetric GARCH models to
test the gain and loss volatility on transactions.

Anahtar Kelimeler

Exchange Rates, Stock Price Indexes, Emerging Markets

Kaynakça

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