THE EFFECT OF INTEREST AND INFLATION RATES ON STOCK RETURNS: QUANTILE REGRESSION ANALYSIS FOR TÜRKIYE

Yıl 2024, Cilt: 13 Sayı: 1, 227 - 244, 30.06.2024

Kadir Karagöz

https://doi.org/10.54282/inijoss.1369804

Öz

Fama's "proxy" hypothesis and Liquidity Preference Theory suggest that there is an inverse relationship
between interest and inflation rates and stock prices/returns. On the other hand, according to the Fisher
hypothesis suggests that there is a positive interaction between the stock market returns and inflation rate.
The increase in the interest rate, on the one hand, due to the increase in the discount rate and, on the
other hand, due to the alternative cost of investment, reduces the interest towards the stock market and
increases the tendency towards the bond market, causing share prices to fall. However, it is seen that the
relationships in question are far from certain, and the findings obtained from different samples with
different methods give results that do not match the expectations implied by the hypotheses.
The nexus between the stock market and interest and inflation rates in Türkiye, which has been faced
with high interest rates and inflation for many years except short-term periods, has been examined using
different time series methods in the empirical literature. In this study, the subject is investigated in a
different way through the Quantile Regression (QR) method. In the study, where the effect of the nominal
interest rate on stock prices was examined by dividing it into two components: real interest and inflation
rates, a four-fold sub-sector distinction was made, namely service, financial, industrial and technology
indices. When it comes to the effect of nominal and real interest rates on returns in QR estimates, it is
seen that the service and industrial sectors differ in terms of both tail and sign. The similarities between
Least Squares estimates and QR estimates are striking. However, the potential of the volatility level of
variables to create differentiation in relationships is also a point that should not be overlooked.

Anahtar Kelimeler

Stock market, interest rate, expected inflation rate, quantile regression

Faiz ve Enflasyon Oranlarının Hisse Senedi Getirilerine Etkisi: Türkiye İçin Kantil Regresyon Analizi

Öz

Fama’nın “temsil” hipotezi ve Likidite Tercihi Teorisi faiz ve enflasyon oranları ile hisse senedi
fiyatları/getirileri arasında ters yönlü bir ilişki olduğunu öne sürmektedir. Buna karşılık Fisher hipotezi
enflasyon ile hisse senedi piyasası arasında pozitif ilişki olduğunu öne sürmektedir. Faiz oranındaki
yükselme, bir yandan iskonto oranındaki artış diğer yandan yatırımın alternatif maliyeti nedeniyle hisse
senedi piyasasına ilgiyi azaltıp tahvil piyasasına yönelimi artırarak hisse fiyatlarının düşmesine neden
olmaktadır. Bununla birlikte, sözkonusu ilişkilerin kesinlikten uzak olduğu, farklı yöntemlerle farklı
örneklemlerden elde edilen bulguların hipotezlerin işaret ettiği beklentilerle uyuşmayan sonuçlar verdiği
görülmektedir.
Kısa süreli dönemler hariç uzun yıllar boyunca yüksek faiz ve enflasyon ile karşı kaşıya bulunan Türkiye‘de
hisse senedi piyasası ile faiz ve enflasyon oranlarının ilişkisi ampirik literatürde farklı zaman serisi
yöntemleri kullanılarak incelenmiştir. Bu çalışmada ise konu farklı bir yol izlenerek Kantil Regresyon (QR)
yöntemi aracılığıyla araştırılmaktadır. Nominal faiz oranının reel faiz oranı ve enflasyon oranı şeklinde iki
bileşene ayırılarak hisse senedi fiyatlarına etkisinin incelendiği çalışmada hizmet, mali, sınai ve teknoloji
endeksleri şeklinde dörtlü bir alt sektör ayrımına gidilmiştir. KR tahminlerinde nominal ve reel faiz
oranlarının getiriler üzerindeki etkisine bakıldığında, hizmet ve sanayi sektörlerinin hem kuyruk hem de
işaret açısından farklılık gösterdiği görülmektedir. Enküçük kareler tahminleriyle QR tahminleri arasındaki
benzerlikler dikkat çekmektedir. Bununla birlikte, değişkenlerin oynaklık düzeyinin ilişkilerde farklılaşma
yaratma potansiyeli de gözden uzak tutulmaması gereken bir noktadır.

Anahtar Kelimeler

hisse senedi piyasası, faiz oranı, beklenen enflasyon oranı, kantil regresyon

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