VOLATILITY STRUCTURE OF STOCK PRICE INDEX AND EXCHANGE RATES: CASUALITY ANALYSIS FOR TURKEY

Öz

Volatility in finance is used as a concept of uncertainty, change and fluctuation as well as a measure of risk. Recently, rapid rises and falls of exchange rates and BIST Stock Index unfold the concept of volatility. The purpose of the study is to reveal the volatility structure of Turkish stock exchange market and exchange rates and also to determine the relationship between the stock exchange index and exchange rates. In the studies conducted in the field of finance, there is usually a one-way or two-way relationship between stock markets and exchange rates. However, there is no consensus on the structure of this relationship. The aim of this study is to determine the relationship between stock price index and exchange rates. Two hypothesis will be tested in the study: Is there a cointegration relationship (long‐term equilibrium) and causality between the exchange rate and stock prices in Turkey? ARCH family models which are widely used in literature are tested using BIST 100 index, EURO/TL selling rate and USD/TL selling rate. Results of the study show that there is volatility in all of the series. Furthermore, causality test show that the value of the variables are linked each other.

Anahtar Kelimeler

• Financial Market,Exchange Rates,Stock Market Prices,BIST 100 Index

Döviz Kuru ve Borsa Endeksi Volatilite Yapısı: Türkiye İçin Nedensellik Analizi

Öz

Finans alanında volatilite genellikle risk ölçü birimi olarak kullanılmakla birlikte aynı zamanda belirsizlik, değişim, oynaklık anlamlarına da gelmektedir. Özellikle son zamanlarda Türkiye’de döviz kurları ve borsa İstanbul’da yaşanan hızlı artış ve düşüşler volatilite kavramının önemini bir kez daha gözler önüne sermiştir. Bu çalışmanın amacı, Türkiye’de hisse senedi piyasaları ve döviz kurlarının volatilite yapısını ortaya koymaktır. Finans alanında yapılan çalışmalarda genellikle, hisse senedi piyasaları ile döviz kurları arasında tek yönlü ya da çift yönlü olabilecek bir ilişki tepit edilmiştir. Ancak, bu ilişkinin yapısı hakkında tam bir fikir birliği bulunmamaktadır. Bu çalışmada hisse senedi endeksi ve döviz kurları arasındaki ilişkinin belirlenmesi amaçlanmaktadır. Çalışmada iki hipotez test edilmektedir: Türkiye’de döviz kurları ve hisse senedi fiyatları arasında bir eşbütünleşme (uzun dönemli denge) ve nedensellik ilişkisi var mıdır? Çalışmada volatilitenin tespit edilebilmesi için literatürde yaygın bir şekilde kullanılan ARCH ailesi modelleri kullanılarak, BIST 100 endeksi ve EURO/TL Satış Kuru ile USD/TL satış kurlarına ait veriler kullanılmıştır. Çalışmanın sonucunda tüm serilerde volatilite tespit edilmiştir. Nedensellik analizi sonuçlarında tüm serilerin birbirlerinin Granger anlamda nedeni olduğu görülmüştür.

Anahtar Kelimeler

• Finansal Piyasalar,Hisse Senedi Fiyatları,, Döviz Kurları

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