Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 1301-8752 1309-6338 Hacettepe Üniversitesi 10.17065/huniibf.1430258 Panel Data Analysis Panel Veri Analizi The Impacts of Exchange Rate on Stock Prices: The Case of BRICS Countries and Turkey Döviz Kurunun Hisse Senedi Fiyatları Üzerindeki Etkileri: BRICS Ülkeleri ve Türkiye Örneği https://orcid.org/0000-0002-0106-0713 Bölükbaşı Ömer Faruk RECEP TAYYİP ERDOĞAN ÜNİVERSİTESİ https://orcid.org/0000-0002-2171-5027 Ürkmez Emre RECEP TAYYİP ERDOĞAN ÜNİVERSİTESİ 12 25 2024 42 4 569 582 02 01 2024 07 02 2024 Copyright © 1983, Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 1983 Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi

This study investigates the asymmetric impacts of exchange rates on stock prices in the short and long term for BRICS countries and Turkey using monthly data from January 2013 to October 2023. The study estimated error correction models based on the linear and nonlinear ARDL method with the DCCEMG estimator developed by Chudik and Pesaran (2015). According to the estimation results, there is a long-term relationship between stock prices and exchange rates. According to the asymmetric test results, it has been determined that the impacts of the exchange rate on stock prices are asymmetric in both the short and long term. In this study, it was concluded that the appreciation of the currencies of BRICS countries and Turkey against the dollar increased the stock prices of these countries in the long term.

Bu çalışmanın amacı Ocak 2013 ile Ekim 2023 dönemleri arası aylık veriler kullanılarak kısa ve uzun dönemde döviz kurunun hisse senedi fiyatları üzerindeki asimetrik etkilerini BRICS ülkeleri ve Türkiye için incelemektir. Çalışmada doğrusal ve doğrusal olmayan ARDL yöntemine dayalı hata düzeltme modelleri Chudik ve Pesaran (2015) tarafından geliştirilen DCCEMG tahmincisi ile tahmin edilmiştir. Elde edilen tahmin sonuçlarına göre hisse senedi fiyatları ile döviz kurları arasında uzun dönemli bir ilişki vardır. Asimetrik test sonuçlarına göre hem kısa hem de uzun dönemde döviz kurunun hisse senedi fiyatları üzerindeki etkilerinin asimetrik olduğu tespit edilmiştir. Bu çalışmada BRICS ülkeleri ve Türkiye’nin para birimlerinin dolar karşısında değerlenmesinin bu ülkelerin hisse senedi fiyatlarını uzun dönemde arttırdığı sonucuna ulaşılmıştır.

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