Analyzing The Impact of Macroeconomic Indicators On Stock Market Indices Using Wavelet Methods: The Case of KATILIM30 and BIST100

Yıl 2025, Cilt: 14 Sayı: 1, 90 - 119, 30.06.2025

Recep Çakar , Eyyüp Ensari Şahin

https://doi.org/10.54282/inijoss.1643855

Öz

This study examines the sensitivity of the BIST100 and XK030 indices in the Turkish financial markets to macroeconomic variables such as commercial lending interest rates and exchange rates using wavelet analysis. Following global economic crises, the fluctuations in financial markets are often inadequately analyzed by traditional methods, whereas wavelet analysis provides a more detailed assessment of relationships between variables in both time and frequency domains. In this study, wavelet power spectrum analysis, wavelet coherence analysis, and partial wavelet coherence analysis are used to detail the short, medium, and long-term effects of interest rates and exchange rates on stock indices. The wavelet analysis conducted in this study reveals that the effects of interest rates and exchange rates on the BIST100 and XK030 indices vary across time and frequency domains. The wavelet power spectrum analysis indicates increased volatility in stock indices during specific periods. Global economic fluctuations and changes in Turkey's interest rate policies have had different impacts on the BIST100 and XK030 indices. While long-term volatility is more pronounced in the XK030 index, short-term fluctuations dominate in the BIST100 index. The wavelet coherence analysis shows that interest rates have a strong long-term effect on the XK030 index, whereas their impact on BIST100 is more limited. Regarding exchange rates, the effects of USD/TRY and EUR/TRY fluctuations on stock indices are more evident in the short term, while these effects weaken in the medium and long term. Partial wavelet coherence analysis indicates that when interest rates are held constant, the influence of exchange rates on stock indices increases, whereas when exchange rates are fixed, the relationship between interest rates and stock indices strengthens. The long-term effect of interest rates on the XK030 index is found to be higher than expected, despite the principles of interest-free finance. The study concludes that interest rates are a crucial factor in long-term investment decisions, while exchange rates play a more significant role in short-term investment strategies. It is essential for investors to shape their portfolio strategies according to time scales and for policymakers to make economic decisions based on these dynamics.

Anahtar Kelimeler

Wavelet Analysis , BİST100 , XK030 , Exchange Rates , Interest Rates.

Dalgacık Yöntemleri Kullanılarak Makroekonomik Göstergelerin Hisse Senedi Endeksleri Üzerindeki Etkisinin Analizi: KATILIM30 ve BIST100 Örneği

Öz

Bu çalışma, Türkiye finansal piyasalarındaki BİST100 ve Katılım30 endekslerinin ticari borç verme faiz oranları ve döviz kurları gibi makroekonomik değişkenlere karşı duyarlılıklarını dalgacık analizi ile incelemektedir. Küresel ekonomik krizlerin ardından finansal piyasalarda oluşan dalgalanmalar, geleneksel yöntemlerle analiz edilmekte yetersiz kalırken, dalgacık analizi hem zaman hem de frekans boyutlarında değişkenler arasındaki ilişkileri daha ayrıntılı bir şekilde değerlendirme imkânı sunmaktadır. Çalışmada, dalgacık güç spektrumu analizi, dalgacık uyum analizi ve kısmi dalgacık uyum analizi kullanılarak, faiz oranları ve döviz kurlarının borsa endeksleri üzerindeki kısa, orta ve uzun vadeli etkileri detaylandırılmıştır. Çalışmada yapılan dalgacık analizi, faiz oranları ve döviz kurlarının BİST100 ve Katılım30 endeksleri üzerindeki etkilerinin zaman ve frekans boyutlarında farklılaştığını ortaya koymuştur. Dalgacık güç spektrumu analizi, borsa endekslerinde belirli dönemlerde artan volatiliteyi göstermiştir. Küresel ekonomik dalgalanmalar ve Türkiye’deki faiz politikalarındaki değişimler, BİST100 ve Katılım30 endekslerinde farklı etkiler yaratmıştır. Katılım30 endeksinde uzun vadeli volatilite daha belirgin olurken, BİST100’de kısa vadeli dalgalanmalar daha baskın gözlemlenmiştir. Dalgacık uyum analizi, faiz oranlarının uzun vadede Katılım30 endeksi üzerinde güçlü bir etkisi olduğunu, ancak BİST100 için bu etkinin daha sınırlı kaldığını göstermiştir. Döviz kurları açısından bakıldığında, USD/TL ve EUR/TL değişimlerinin borsa üzerindeki kısa vadeli etkileri belirginleşmiş, orta ve uzun vadede ise bu etkinin zayıfladığı görülmüştür. Kısmi dalgacık uyum analizi, faiz oranları sabit tutulduğunda döviz kurlarının borsa endeksleri üzerindeki etkisinin arttığını, döviz kurları sabit tutulduğunda ise faiz oranlarının borsa ile ilişkisini güçlendirdiğini ortaya koymuştur. Özellikle faiz oranlarının Katılım30 endeksi üzerindeki uzun vadeli etkisi, faizsiz finans ilkelerine rağmen beklenenden daha yüksek bulunmuştur. Çalışma sonucunda, faiz oranlarının uzun vadeli yatırım kararlarında önemli bir faktör olduğunu, döviz kurlarının ise kısa vadeli yatırım stratejilerinde daha belirleyici bir rol oynadığını göstermektedir. Yatırımcıların zaman ölçeklerine göre portföy stratejilerini şekillendirmeleri ve politika yapıcıların ekonomik kararlarını bu dinamiklere göre belirlemeleri gerektiği anlaşılmaktadır.

Anahtar Kelimeler

Dalgacık Analizi , BİST100 , XK030 , Döviz Kurları , Faiz Oranları.

Kaynakça

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