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IS PURCHASING MANAGERS’ INDEX (PMI) A LEADING INDICATOR FOR STOCK, BOND AND FOREIGN EXCHANGE MARKETS IN TURKEY?

Yıl 2020, , 219 - 233, 15.06.2020
https://doi.org/10.24889/ifede.605338

Öz

The aim of this paper is to examine whether the PMI (Production
Managers’ Index) is a leading indicator for the returns of stock, bond and
foreign exchange markets in Turkey.  This
paper examines the causality relationship between PMI and stock, bond and
foreign exchange markets. We employ
Toda Yamamoto (1995) and Fourier Toda Yamamoto (2016) causality tests
and
data for the period spanning from December 2012 to
August 2018
.  We find out the existence of unidirectional
causality from the PMI to all these Turkish financial markets -except Food and
Chemistry sub-sectors after the consideration of structural breaks.
PMI is a leading indicator of foreign exchange, bond and stock markets,
save the stocks traded in
Food and Chemistry sub-sectors.

Kaynakça

  • Ang, A. ve Bekaert, G. (2006). Stock Return predictability: Is It There?. The Review of Financial Studies, 20(3), 651-707.
  • Baum, C. F., Kurov, A., ve Wolfe, M. H. (2015). What Do Chinese Macro Announcements Tell Us About The World Economy?. Journal Of International Money And Finance, 59, 100-122.
  • Baumohl, B. (2013). The Secrets Of Economic Indicators. Hidden Clues To Future Economic Trends And Investment Opportunities, 3rd Ed. Pearson Education, Inc.
  • Bolaman, Ö. ve Mandacı, P. E. (2014). Effect of Investor Sentiment on Stock Markets. Finansal Araştırmalar ve Çalışmalar Dergisi, 6(11).
  • Boyd, J. H., Hu, J., ve Jagannathan, R. (2005). The Stock Market's Reaction To Unemployment News: Why Bad News İs Usually Good For Stocks. The Journal Of Finance, 60(2), 649-672.
  • Broyer, S. ve Savry, G. (2002). German Leading Indicators: Which One Should Be Monitored. CDC IXIS Capital Markets Flash, 38, 1-10.
  • Çağlı, E. C., Halaç, U., ve Taşkın, D. (2010). Testing Long-Run Relationships Between Stock Market and Macroeconomics Variables in The Presence of Structural Breaks: The Turkish Case. International Research Journal Of Finance And Economics, 48, 49-60.
  • Chen, N. F., Roll, R., ve Ross, S. A. (1986). Economic Forces And The Stock Market. Journal Of Business, 383-403.
  • Christiansen, C., Eriksen, J. N., ve Moller, S. V. (2014). Forecasting US Recessions: The Role Of Sentiment. Journal Of Banking & Finance, 49, 459-468.
  • Çiftçi, D. D. (2018). The Twin Deficits Hypothesis: New Evidence From Giips Accounting For Structural Shifts In Causal Linkages. Journal Of Management And Economics Research, 16(3).
  • Cutler, D. M. (1989). What Moves Stock Prices?, Journal of Portfolio Management, 15(3).
  • Dasgupta, S. ve Lahiri, K. (1993). On The Use Of Dispersion Measures From NAPM Surveys İn Business Cycle Forecasting. Journal Of Forecasting, 12(3‐4), 239-253.
  • Enders, W. ve Jones, P. (2016). Grain Prices, Oil Prices, And Multiple Smooth Breaks İn A VAR. Studies İn Nonlinear Dynamics & Econometrics, 20(4), 399-419.
  • Evans, K. ve SPEİGHT, A. (2010). International Macroeconomic Announcements And Intraday Euro Exchange Rate Volatility. Journal of The Japanese and International Economies, 24(4), 552-568.
  • Fama, E. F. (1981). Stock Returns, Real Activity, Inflation, and Money. The American Economic Review, 71(4), 545-565.
  • Fama, E. F. ve Schwert, G. W. (1977). Asset Returns And Inflation. Journal Of Financial Economics, 5(2), 115-146.
  • Fama, E. F. (1990). Stock Returns, Expected Returns, And Real Activity. The Journal Of Finance, 45(4), 1089-1108.
  • Granger, C. W. (1969). Investigating Causal Relations by Econometric Models and Cross-Spectral Methods. Econometrica: Journal Of The Econometric Society, 424-438.
  • Gültekin, N. B. (1983). Stock Market Returns And Inflation: Evidence From Other Countries. The Journal Of Finance, 38(1), 49-65.
  • El Ouadghiri, I., Mignon, V., ve Boitout, N. (2016). On The Impact of Macroeconomic News Surprises On Treasury-Bond Returns. Annals Of Finance, 12(1), 29-53.Johnson, M. A. ve Watson, K. J. (2011). Can Changes in The Purchasing Managers’ Indexforetell Stock Returns? An Additional Forward-Looking Sentiment Indicator. The Journal Of Investing, 20(4), 89-98.
  • Kauffman, R. G. (1999). Indicator Qualities of The NAPM Report on Business. Journal Of Supply Chain Management, 35(1), 29-37.
  • Klein, P. A., Moore, G. H., Lahiri, K., ve Moore, G. (1991). Purchasing Management Survey Data: Their Value As Leading İndicators, Leading Economic Indicators: New Approach And Forecasting Records. Cambridge University Press, 403-428.
  • Koenig, E. (2002). Using The Purchasing Managers’ Index To Assess The Economy’s Strength And The Likely Direction Of Monetary Policy. Economic and Financial Policy Review, Federal Reserve Bank of Dallas, 1(6), 1–14.
  • Lahiri, K. ve Monokroussos, G. (2013). Nowcasting US GDP: The Role of IMS Business Surveys. International Journal of Forecasting, 29, 644–658.
  • Lupu, I. (2018). Analysis of How The European Stock Markets Perceive The Dynamics of Macroeconomic Indicators Through The Sentiment Index and The Purchasing Managers' Index. Financial Studies, 1, 32-52.
  • Nazlıoğlu, Ş., Görmüş, N. A., ve Soytaş, U. (2016). Oil Prices and Real Estate Investment Trusts (Reits): Gradual-Shift Causality and Volatility Transmission Analysis. Energy Economics, 60, 168-175.
  • Papapetrou, E. (2001). Oil Price Shocks, Stock Market, Economic Activity and Employment in Greece. Energy Economics, 23(5), 511-532.
  • Schwert, G.W. (1990). Stock Returns And Real Activity: A Century Of Evidence, The Journal of Finance, 45(4), 1237–1257.
  • Shanken, J. ve Weinstein, M.I. (2006). Economic Forces and The Stock Market Revisited. Journal of Empirical Finance, 13(2), 129–144.Singh, T., Mehta ve S., ve Varsha, M.S. (2011). Macroeconomic Factors And Stock Returns: Evidence From Taiwan. Journal of Economics and International Finance, 3(4), 217-227.
  • Toda, H. Y. ve Yamamoto, T. (1995). Statistical Inference in Vector Autoregressions With Possibly Integrated Processes. Journal of Econometrics, 66(1-2), 225-250.
  • Ventosa-Santaulàrıa, D. ve Vera-Valdés, J. E. (2008). Granger-Causality In The Presence Of Structural Breaks. Economics Bulletin, 3(61), 1-14.
  • Zivot, E. ve Andrews, D. W. K. (1992). Further Evidence On The Great Crash, The Oil-Price Shock, And The Unit-Root Hypothesis. Journal of Business and Economic Statistics, 10, 251-270.

PMI (ÜRETİM YÖNETİCİLERİ ENDEKSİ) TÜRKİYE'DE HİSSE SENEDİ, TAHVİL VE DÖVİZ PİYASALARININ GETİRİSİ İÇİN ÖNCÜ BİR GÖSTERGE MİDİR?

Yıl 2020, , 219 - 233, 15.06.2020
https://doi.org/10.24889/ifede.605338

Öz

Bu çalışmanın amacı, PMI'nın (Üretim Yöneticileri Endeksi) Türkiye'deki hisse senedi, tahvil ve döviz piyasalarının getirisi için öncü bir gösterge olup olmadığını incelemektir. Bu çalışma, PMI ile hisse senedi, bono ve döviz piyasaları arasındaki nedensellik ilişkisini araştırmaktadır. Bu çalışmada, Toda Yamamoto (1995) ve Fourier Toda Yamamoto (2016) nedensellik testleri kullanılmıştır. Çalışmada veri dönemi Aralık 2012 ile Ağustos 2018 arasını kapsamaktadır. Yapısal kırılmaların değerlendirilmesinden sonra Gıda ve Kimya alt sektörleri hariç, PMI'den tüm bu Türk finansal piyasalarına tek yönlü nedenselliğin varlığı tespit edilmiştir. PMI'nin döviz, tahvil ve Kimya-Gıda alt sektörlerinde işlem gören hisse senetlerinin öncü gösterge olduğu sonucuna varılmıştır. 

Kaynakça

  • Ang, A. ve Bekaert, G. (2006). Stock Return predictability: Is It There?. The Review of Financial Studies, 20(3), 651-707.
  • Baum, C. F., Kurov, A., ve Wolfe, M. H. (2015). What Do Chinese Macro Announcements Tell Us About The World Economy?. Journal Of International Money And Finance, 59, 100-122.
  • Baumohl, B. (2013). The Secrets Of Economic Indicators. Hidden Clues To Future Economic Trends And Investment Opportunities, 3rd Ed. Pearson Education, Inc.
  • Bolaman, Ö. ve Mandacı, P. E. (2014). Effect of Investor Sentiment on Stock Markets. Finansal Araştırmalar ve Çalışmalar Dergisi, 6(11).
  • Boyd, J. H., Hu, J., ve Jagannathan, R. (2005). The Stock Market's Reaction To Unemployment News: Why Bad News İs Usually Good For Stocks. The Journal Of Finance, 60(2), 649-672.
  • Broyer, S. ve Savry, G. (2002). German Leading Indicators: Which One Should Be Monitored. CDC IXIS Capital Markets Flash, 38, 1-10.
  • Çağlı, E. C., Halaç, U., ve Taşkın, D. (2010). Testing Long-Run Relationships Between Stock Market and Macroeconomics Variables in The Presence of Structural Breaks: The Turkish Case. International Research Journal Of Finance And Economics, 48, 49-60.
  • Chen, N. F., Roll, R., ve Ross, S. A. (1986). Economic Forces And The Stock Market. Journal Of Business, 383-403.
  • Christiansen, C., Eriksen, J. N., ve Moller, S. V. (2014). Forecasting US Recessions: The Role Of Sentiment. Journal Of Banking & Finance, 49, 459-468.
  • Çiftçi, D. D. (2018). The Twin Deficits Hypothesis: New Evidence From Giips Accounting For Structural Shifts In Causal Linkages. Journal Of Management And Economics Research, 16(3).
  • Cutler, D. M. (1989). What Moves Stock Prices?, Journal of Portfolio Management, 15(3).
  • Dasgupta, S. ve Lahiri, K. (1993). On The Use Of Dispersion Measures From NAPM Surveys İn Business Cycle Forecasting. Journal Of Forecasting, 12(3‐4), 239-253.
  • Enders, W. ve Jones, P. (2016). Grain Prices, Oil Prices, And Multiple Smooth Breaks İn A VAR. Studies İn Nonlinear Dynamics & Econometrics, 20(4), 399-419.
  • Evans, K. ve SPEİGHT, A. (2010). International Macroeconomic Announcements And Intraday Euro Exchange Rate Volatility. Journal of The Japanese and International Economies, 24(4), 552-568.
  • Fama, E. F. (1981). Stock Returns, Real Activity, Inflation, and Money. The American Economic Review, 71(4), 545-565.
  • Fama, E. F. ve Schwert, G. W. (1977). Asset Returns And Inflation. Journal Of Financial Economics, 5(2), 115-146.
  • Fama, E. F. (1990). Stock Returns, Expected Returns, And Real Activity. The Journal Of Finance, 45(4), 1089-1108.
  • Granger, C. W. (1969). Investigating Causal Relations by Econometric Models and Cross-Spectral Methods. Econometrica: Journal Of The Econometric Society, 424-438.
  • Gültekin, N. B. (1983). Stock Market Returns And Inflation: Evidence From Other Countries. The Journal Of Finance, 38(1), 49-65.
  • El Ouadghiri, I., Mignon, V., ve Boitout, N. (2016). On The Impact of Macroeconomic News Surprises On Treasury-Bond Returns. Annals Of Finance, 12(1), 29-53.Johnson, M. A. ve Watson, K. J. (2011). Can Changes in The Purchasing Managers’ Indexforetell Stock Returns? An Additional Forward-Looking Sentiment Indicator. The Journal Of Investing, 20(4), 89-98.
  • Kauffman, R. G. (1999). Indicator Qualities of The NAPM Report on Business. Journal Of Supply Chain Management, 35(1), 29-37.
  • Klein, P. A., Moore, G. H., Lahiri, K., ve Moore, G. (1991). Purchasing Management Survey Data: Their Value As Leading İndicators, Leading Economic Indicators: New Approach And Forecasting Records. Cambridge University Press, 403-428.
  • Koenig, E. (2002). Using The Purchasing Managers’ Index To Assess The Economy’s Strength And The Likely Direction Of Monetary Policy. Economic and Financial Policy Review, Federal Reserve Bank of Dallas, 1(6), 1–14.
  • Lahiri, K. ve Monokroussos, G. (2013). Nowcasting US GDP: The Role of IMS Business Surveys. International Journal of Forecasting, 29, 644–658.
  • Lupu, I. (2018). Analysis of How The European Stock Markets Perceive The Dynamics of Macroeconomic Indicators Through The Sentiment Index and The Purchasing Managers' Index. Financial Studies, 1, 32-52.
  • Nazlıoğlu, Ş., Görmüş, N. A., ve Soytaş, U. (2016). Oil Prices and Real Estate Investment Trusts (Reits): Gradual-Shift Causality and Volatility Transmission Analysis. Energy Economics, 60, 168-175.
  • Papapetrou, E. (2001). Oil Price Shocks, Stock Market, Economic Activity and Employment in Greece. Energy Economics, 23(5), 511-532.
  • Schwert, G.W. (1990). Stock Returns And Real Activity: A Century Of Evidence, The Journal of Finance, 45(4), 1237–1257.
  • Shanken, J. ve Weinstein, M.I. (2006). Economic Forces and The Stock Market Revisited. Journal of Empirical Finance, 13(2), 129–144.Singh, T., Mehta ve S., ve Varsha, M.S. (2011). Macroeconomic Factors And Stock Returns: Evidence From Taiwan. Journal of Economics and International Finance, 3(4), 217-227.
  • Toda, H. Y. ve Yamamoto, T. (1995). Statistical Inference in Vector Autoregressions With Possibly Integrated Processes. Journal of Econometrics, 66(1-2), 225-250.
  • Ventosa-Santaulàrıa, D. ve Vera-Valdés, J. E. (2008). Granger-Causality In The Presence Of Structural Breaks. Economics Bulletin, 3(61), 1-14.
  • Zivot, E. ve Andrews, D. W. K. (1992). Further Evidence On The Great Crash, The Oil-Price Shock, And The Unit-Root Hypothesis. Journal of Business and Economic Statistics, 10, 251-270.
Toplam 32 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Finans
Bölüm Makaleler
Yazarlar

Erkan Alsu 0000-0001-6102-1786

Pınar Evrim Mandacı 0000-0002-9805-9937

Yayımlanma Tarihi 15 Haziran 2020
Yayımlandığı Sayı Yıl 2020

Kaynak Göster

APA Alsu, E., & Mandacı, P. E. (2020). IS PURCHASING MANAGERS’ INDEX (PMI) A LEADING INDICATOR FOR STOCK, BOND AND FOREIGN EXCHANGE MARKETS IN TURKEY?. Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi, 21(1), 219-233. https://doi.org/10.24889/ifede.605338
AMA Alsu E, Mandacı PE. IS PURCHASING MANAGERS’ INDEX (PMI) A LEADING INDICATOR FOR STOCK, BOND AND FOREIGN EXCHANGE MARKETS IN TURKEY?. Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi. Haziran 2020;21(1):219-233. doi:10.24889/ifede.605338
Chicago Alsu, Erkan, ve Pınar Evrim Mandacı. “IS PURCHASING MANAGERS’ INDEX (PMI) A LEADING INDICATOR FOR STOCK, BOND AND FOREIGN EXCHANGE MARKETS IN TURKEY?”. Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi 21, sy. 1 (Haziran 2020): 219-33. https://doi.org/10.24889/ifede.605338.
EndNote Alsu E, Mandacı PE (01 Haziran 2020) IS PURCHASING MANAGERS’ INDEX (PMI) A LEADING INDICATOR FOR STOCK, BOND AND FOREIGN EXCHANGE MARKETS IN TURKEY?. Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi 21 1 219–233.
IEEE E. Alsu ve P. E. Mandacı, “IS PURCHASING MANAGERS’ INDEX (PMI) A LEADING INDICATOR FOR STOCK, BOND AND FOREIGN EXCHANGE MARKETS IN TURKEY?”, Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi, c. 21, sy. 1, ss. 219–233, 2020, doi: 10.24889/ifede.605338.
ISNAD Alsu, Erkan - Mandacı, Pınar Evrim. “IS PURCHASING MANAGERS’ INDEX (PMI) A LEADING INDICATOR FOR STOCK, BOND AND FOREIGN EXCHANGE MARKETS IN TURKEY?”. Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi 21/1 (Haziran 2020), 219-233. https://doi.org/10.24889/ifede.605338.
JAMA Alsu E, Mandacı PE. IS PURCHASING MANAGERS’ INDEX (PMI) A LEADING INDICATOR FOR STOCK, BOND AND FOREIGN EXCHANGE MARKETS IN TURKEY?. Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi. 2020;21:219–233.
MLA Alsu, Erkan ve Pınar Evrim Mandacı. “IS PURCHASING MANAGERS’ INDEX (PMI) A LEADING INDICATOR FOR STOCK, BOND AND FOREIGN EXCHANGE MARKETS IN TURKEY?”. Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi, c. 21, sy. 1, 2020, ss. 219-33, doi:10.24889/ifede.605338.
Vancouver Alsu E, Mandacı PE. IS PURCHASING MANAGERS’ INDEX (PMI) A LEADING INDICATOR FOR STOCK, BOND AND FOREIGN EXCHANGE MARKETS IN TURKEY?. Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi. 2020;21(1):219-33.
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