AMERİKAN MENKUL KIYMETLER BORSASININ TÜRKİYE MENKUL KIYMETLER BORSASI ÜZERİNDEKİ KISA VE UZUN DÖNEM ETKİSİ: ARDL SINIR TESTİ YAKLAŞIMI

Öz

Bu çalışma, Amerikan Menkul Kıymetler Borsası getirileri ve oynaklığının Türkiye Menkul Kıymetler Borsası üzerindeki kısa ve uzun dönem etkilerini analiz etmeyi amaçlamaktadır. Amerikan Menkul Kıymetler Borsasını temsilen Dow Jones Industrial (DJI) endeksi ve Türkiye Menkul Kıymetler Borsasını temsilen ise BIST 30 endeksi kullanılmaktadır. Veri seti, 1 Temmuz 2021 ile 27 Eylül 2024 tarihleri arasındaki günlük getirileri içermektedir. Model tahminleri için Otoregresif Dağıtılmış Gecikme (ARDL) modeli ve Genelleştirilmiş Otoregresif Koşullu Varyans (GARCH) tabanlı oynaklık değişkenleri kullanılmıştır. Bai-Perron testi, dört farklı yapısal kırılma tespit etmiş ve bu kırılmalar modele dahil edilmiştir. Sonuçlar, DJI getirilerinin kısa dönemde BIST 30 üzerinde hiçbir bir etkisinin olmadığını, ancak uzun dönemde pozitif ve anlamlı bir ilişkiye işaret ettiğini göstermektedir. Buna karşın, DJI oynaklığı Türkiye Borsası getirileri üzerinde kısa dönemde anlamlı ve değişken / karışık etkiler yaratmaktadır. Bulgular, küresel finansal piyasaların entegrasyonu ve oynaklık faktörünün yerel borsa performansı üzerindeki etkisini vurgulamaktadır.

Anahtar Kelimeler

• Menkul Kıymetler Borsası
• Zaman Serileri Modelleri
• Oynaklık Öngörüsü
• Finansal Piyasalar Öngörüsü

SHORT AND LONG RUN EFFECTS OF THE AMERICAN STOCK EXCHANGE ON THE TURKISH STOCK EXCHANGE: THE ARDL BOUNDS TEST APPROACH

Öz

This study aims to analyze the short and long-run effects of the United States stock market returns and volatility on the Turkish Stock Exchange. The Dow Jones Industiral (DJI) index is used to represent the American Stock Exchange and the BIST 30 index is used to represent the Turkish Stock Exchange. The data set includes daily returns between July 1, 2021 and September 27, 2024. Autoregressive Distributed Lag (ARDL) model and Generalized Autoregressive Conditional Variance (GARCH) based volatility variables are used for model estimation. The Bai-Perron test detected four different structural breaks and these breaks are included in the model. The results show that DJI returns have no effect on BIST 30 in the short run, but indicate a positive and significant relationship in the long run. On the contrary, DJI volatility has significant and variable / mixed effects on the Turkish stock market returns in the short run. The findings emphasize the impact of global financial market integration and volatility on local stock market performance.

Anahtar Kelimeler

• Stock Market
• Time-Series Models
• Volatility Forecasting
• Stock Market Forecasting

Kaynakça

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