TÜRKİYE’DE SEKTÖREL AÇIDAN HİSSE SENEDİ PİYASASI İLE EKONOMİK BÜYÜME ARASINDAKİ İLİŞKİNİN İNCELENMESİ

Öz

Hisse senetleri ile büyüme arasındaki ilişki literatürde pek çok kez araştırılmış olmasına rağmen konuyu sektörel açıdan inceleyen çalışmaların oldukça az olduğu görülmektedir. Bu çalışmada, 2000:Q1-2017:Q4 dönemi için Türkiye’de hisse senedi piyasası ile ekonomik büyüme arasındaki ilişki sektörel (Hizmet ve Sanayi) bir perspektiften incelenmiştir. Sınır Testi sonuçları, sektörel gayri safi yurtiçi hâsıla ile sektörel hisse senedi endeksleri arasında bir bütünleşme ilişkisinin varlığını ortaya koymuştur. Ayrıca uzun vadede sektörel borsa endekslerindeki artışların sektörel GSYH’leri pozitif yönde etkilediği saptanmıştır. Kısa dönemde de seriler arasında ilişki olduğu tespit edilmiştir. Toda-Yamamoto nedensellik testi sonuçları ise sektöre özgü hisse senetlerinden ilgili sektör GSYH'sine doğru tek yönlü nedensellik ilişkisi olduğunu ortaya koymuştur. Elde edilen bulgular, Türkiye’de ekonomik büyümenin ilgili borsa sektör yatırımlarına duyarlı olduğunu göstermektedir.

Anahtar Kelimeler

• Ekonomik büyüme,hisse senedi piyasaları,ARDL Modeli,Toda-Yamamoto Nedensellik Testi

Examination Relationship between Stock Market and Economic Growth in terms of Sectorial Perspective in Turkey

Öz

Despite the fact that the relationship between stock markets and growth has been researched many times in the literature, there are few studies that examined the relationship in terms of the sectors. In this study, relationship between stock market and economic growth, are examined from a sectorial perspective (industry and services) cover the period 2000:Q1 to 2017:Q4 in Turkey. Bound Test results revealed the existence of cointegration relationship between the sectorial gross domestic product and sectorial stock indices. In addition, results indicated that an increase in sectorial stock market indices affects the sectorial GDPs positively in the long term. In the short term, it is determined that there is a relationship between the series. The results of the Toda-Yamamoto Causality test revealed that there is a one-way causality running from sector-specific stocks to relevant sector-specific GDP. The findings showed that economic growth is sensitive to sub-sector stock market investments in Turkey.

Anahtar Kelimeler

• Economic Growth,stock markets,ARDL Model,Toda-Yamamoto Causality Test

Kaynakça

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