YABANCI ALIMLARI, BORSA ENDEKSİ VE KUR ARASINDA KAPSANMAMIŞ VARLIK PARİTESİ TEORİSİNİN GEÇERLİLİĞİNİN SINANMASI: JAPONYA, G. KORE VE TÜRKİYE İÇİN EKONOMETRİK BİR ANALİZ

Yıl 2020, Cilt: 19 Sayı: Temmuz 2020(Özel Ek) - Prof. Dr. Sabri ORMAN Özel Sayısı, 527 - 553, 31.07.2020

Mustafa Özyeşil

Öz

Bu çalışmada; Kapsanmamış Varlık Paritesi (Uncovered Equity Parity: UEP) Teorisinin geçerliliği; Japonya, G. Kore ve Türkiye’nin 2002:M01-2020:M04 dönemi verileriyle analiz edilmiştir. Analizler 2008 küresel krizine göre üç alt dönem için de yinelenmiştir.
Serilerin durağanlıkları Ng-Perron (2001) testiyle incelenmiş ve serilerin I(1) oldukları görülmüştür. Seriler arasındaki eşbütünleşme ilişkileri Phillips-Ouliaris (1990) eşbütünleşme testiyle incelenmiş ve tüm modellerde eşbütünleşmenin olduğu belirlenmiştir. Uzun ve kısa dönem analizleri DOLS yöntemiyle gerçekleştirilmiş olup, Japonya’da UEP Teorisinin 1. aşamasının 2008 küresel ekonomik krizi döneminde, 3. aşamasının 2008 küresel ekonomik krizi dönemi ve sonrasında geçerli olduğu görülmüştür. G. Kore’de sadece 2008 krizi sonrası dönemde UEP Teorisinin 2. aşaması geçerli çıkmıştır. Türkiye’de ise UEP Teorisinin 1. aşamasının tüm 2002-2020 dönemi boyunca geçerli olduğu bulunmuştur. UEP Teorisinin 3. aşamasının 2008 küresel ekonomik krizi ve sonrası dönemde yaşandığı belirlenmiştir.
Kısa dönem analizleri de DOLS yöntemiyle gerçekleştirilmiş ve Japonya’da; UEP Teorisinin 2. aşamasının 2008 küresel ekonomik krizi sonrası dönemde, UEP Teorisinin 3. aşamasının tüm 2002-2020 döneminde geçerli olduğu görülmüştür. G. Kore’de UEP Teorisinin hiçbir aşamasının geçerli olmadığı tespit edilmiştir. Türkiye’deyse UEP Teorisinin 1. aşamasının sadece küresel kriz öncesi dönemde geçerli olduğu, UEP Teorisinin 2. aşamasının 2002-2020 döneminde geçerli olduğu, 3. aşamasınınsa kısa dönemde geçerli olmadığı bulunmuştur.

Anahtar Kelimeler

Kapsanmamış Varlık Paritesi, Borsa Endeksi, Döviz Kuru, Yabancı Portföy Alımları, Japonya, Güney Kore, Türkiye

TESTING THE VALIDITY of THE UNCOVERED EQUITY PARITY THEORY AMONG FOREIGN CAPITAL FLOWS, THE STOCK MARKET INDICES and THE EXCHANGE RATES: AN ECONOMETRIC ANALYSIS FOR JAPAN, S. KOREA, and TURKEY

Öz

In this study, the validity of the Uncovered Equity Parity (UEP) Theory is analyzed based on the data obtained from Japan, South Korea, and Turkey in the 2002:M01-2020:M04 period. The analyzes are also conducted for all three sub-periods according to the 2008 global crisis.
The stationarity of the series is examined by the Ng-Perron (2001) test, and the series are found to be I (1). Cointegration between the series are examined by Phillips-Ouliaris (1990) cointegration test and it is determined that series are cointegrated in all models. Long and short term analyzes are carried out with the DOLS method, and it is observed that the first stage of the UEP Theory in Japan is valid during the 2008 global economic crisis period, and the third stage is valid during and after the 2008 global economic crisis. Only the second phase of the UEP Theory is valid in the post-2008 crisis in S. Korea. In Turkey, 1st phase of the UEP theory is valid for the entire 2002-2020 period. It is determined that the third stage of the UEP Theory is experienced during the 2008 global economic crisis and after.
Short term analyzes are also carried out with the DOLS method, and it is observed that, in Japan, the second stage of the UEP Theory is valid in the period after the 2008 global economic crisis and the third stage of the UEP Theory is valid throughout the 2002-2020 period. It is found that no stage of the UEP Theory is valid in S. Korea. It has been found that the first phase of the UEP Theory is valid only during the pre-crisis period in Turkey, the second phase is valid during the 2002 to 2020 period, and the third phase is found to be invalid in the short term.

Anahtar Kelimeler

Uncovered Equity Parity, Stock Exchange Index, Foreign Exchange Rate, Foreign Capital Flows, Japan, South Korea, Turkey

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