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İMKB PERFORMANSI-EKONOMİK BÜYÜME ORANI ARASINDAKİ İLİŞKİ: 1998:Ç1-2010:Ç3 DÖNEMİ

Yıl 2011, Sayı: 22, 152 - 167, 01.12.2011

Öz

Bu çalışmada; İstanbul Menkul Kıymetler Borsası Ulusal-100 endeksinin değişimiyle ekonomik büyüme oranı arasındaki ilişkiler araştırılmıştır. Değişkenler arasında eşbütünleşme ilişkisinin tespiti için Pesaran vd.‟nin (2001) geliştirmiş olduğu sınır testi yaklaşımı kullanılmıştır. Sonuç olarak; değişkenler arasında bir eş-bütünleşme ilişkisinin var olduğu, uzun dönemde büyümede meydana gelen bir değişmenin endeksi beklentinin tersi olarak negatif yönde etkilediği ve değişkenler arasında kısa dönemde meydana gelen sapmaların ortadan kalktığı ve serilerinin birbirine yakınsadığı tespit edilmiştir. Aynı zamanda yapılan Granger nedensellik analizi sonucunda ekonomik büyümede meydana gelen bir değişmenin hisse senedi endeksinde bir değişmeye neden olacağı belirlenmiştir

Kaynakça

  • Bosworth, B.; (1975), “The Stock Market and The Economy”, Brookings Papers on Economic Activity, 2, 257-290.
  • Cheung, Y. and L. Ng. LILIAN; (1998), “International Evidence on The Stock Market and Aggregate Economic Activity”, Journal of Empirical Finance, 5, 281-296.
  • Dıckey, D. A. and W. A. FULLER; (1979), “Distribution of the Estimator for Autoregressive Ti- me Series with a Unit Root”, Journal of the American Statistical Association, 74, 427-431.
  • Dıckey, D. A. and W. A. FULLER; (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, 49, 1057-1072.
  • Engle, R. F. and C. W. J. GRANGER; (1987), “Co-integration and Error Correction: Representation, Estimation, and Testing”, Econometrica, 55, 251-276.
  • Fama, E. F.; (1981), “Stock Returns, Real Activity, Inflation, and Money”, American Economic Review, 71, 545–565.
  • Fama, E. F.; (1990), “Stock Returns, Expected Returns, and Real Activity”, The Journal of Finance, 45, 1089–1108.
  • Fazal, Husain; (2006), “Stock Prices, Real Sector and the Causal Analysis: The Case of Pakis- tan”, Journal of Management and Social Sciences, 2 (2), 179-185.
  • Goldsmith, R.; (1969), Financial Structure and Development, Yale University Press, New Haven.
  • Gujarati D, N.; (1995), Basic Econometrics, McGraw-Hill, Third Edition, New York.
  • Gürsoy, C. T. and A. MÜSLÜMOV; (2000), “Stock Markets and Economic Growth: A Casuality Test”, Dogus University Journal, 2, 124-132.
  • Hassapıs, C. and S. KALYVITIS,; (2002), “Investigating The Links Between Growth and Real Stock Price Changes with Empirical Evidence from The G-7 Economies”, The Quarterly Review of Economics and Finance, 42, 543–575.
  • http://evds.tcmb.gov.tr/
  • Johansen S. and K. JUSELIUS; (1990), “Maximum Likelihood Estimation and Inference on Cointegration- with Applications to the Demand for Money”, Oxford Bulletin of Economics and Statistics, 52 (2), 169–210.
  • Johansen S.; (1995), Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, Oxford University Press, New York.
  • Johansen, S.; (1988), “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control, 12, 231-254.
  • Kar, M. and E. PENTECOST; (2000), “The Direction of Causality Between Financial Development and Economic Growth in Turkey: Further Evidence”, Loughborough University, Department of Economics, Economic Research Paper No: 00/27, December.
  • Müslümov, A. ve G. ARAS; (2002), “Sermaye Piyasası Gelişmesi ve Ekonomik Büyüme Arasında Nedensellik İlişkisi: OECD Ülkeleri Örneği”, İşletme İktisat Finans Dergisi, 198 (17), 90- 105.
  • Narayan S. and P. K. NARAYAN; (2004), “Determinats of Demand of Fiji‟s Exports: An Empirical İnvestigation”, The Developing Economics, XVII (1), 95-112.
  • Newey W. and K. WEST; (1987), “A Simple Positive Semi Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix”, Econometrica, 55, 703-708.
  • Pesaran, M Hashem and Ron P, SMITH; (1998), " Structural Analysis of Cointegrating VARs", Journal of Economic Surveys, 12(5), 471-505.
  • Pesaran, M. Hashem and Bahram PESARAN; (1997), Microfit 4.0, Oxford University Press, Oxford.
  • Pesaran, M. Hashem and Yongcheol SHIN; (1998), “An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis”, In Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium, ed. Steinar STROM, Cambridge University Press, Cambridge.
  • Pesaran, M. Hashem; Yongcheol SHIN and Richard J. SMITH, (1996), “Testing for the „Ex- istence of a Long-Run Relationship”, Department of Applied Economics Working Paper no. 9622, University of Cambridge, Cambridge.
  • Pesaran, M.; Y. SHİN and R. J. SMITH; (2001): “Bounds Testing Approaches to the Analysis of Level Relationships”, Journal of Applied Econometrics, 16, 289-326.
  • Phillips, P. C. B. and P. PIERRE; (1988), “Testing for Unit Roots in Time Series Regression”, Biometrika, 75, 335-346.
  • Ritter J.R.; (2005), “Economic Growth and Equity Returns”, Pacific-Basin Finance Journal, 13, 489–503.
  • Sarikamiş, C.; (2000), Sermaye Pazarları, Alfa Basım Yayım Dağıtım, Genişletilmiş 4. Basım, İstanbul.
  • Schwert, W.; (1990), “Stock Returns and Real Activity: A Century of Evidence”, The Journal of Finance, 45, 1237–1257.

THE RELATIONSHIP BETWEEN ISTANBUL STOCK EXCHANGE PERFORMANCE AND ECONOMIC GROWTH RATE: 1998: Q1-2010: Q3 PERIOD

Yıl 2011, Sayı: 22, 152 - 167, 01.12.2011

Öz

In this study, the correlation between the evolution of National-100 index of Istanbul Stock Exchange and the economic growth has been examined. The limit test approach developed by Pesaran et al (2001) has been used for determining the cointegration relation between the variables. As a result, it has been determined that there is a cointegration relation between the variables, a change of growth in the long term affects the index negatively as opposed to what is expected and the deviations among the variables in the short term are eliminated and the series converge to one another. Simultaneously, it has been determined that a change in the economic growth will also trigger a change in the share index as a result of Granger causality analysis performed

Kaynakça

  • Bosworth, B.; (1975), “The Stock Market and The Economy”, Brookings Papers on Economic Activity, 2, 257-290.
  • Cheung, Y. and L. Ng. LILIAN; (1998), “International Evidence on The Stock Market and Aggregate Economic Activity”, Journal of Empirical Finance, 5, 281-296.
  • Dıckey, D. A. and W. A. FULLER; (1979), “Distribution of the Estimator for Autoregressive Ti- me Series with a Unit Root”, Journal of the American Statistical Association, 74, 427-431.
  • Dıckey, D. A. and W. A. FULLER; (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, 49, 1057-1072.
  • Engle, R. F. and C. W. J. GRANGER; (1987), “Co-integration and Error Correction: Representation, Estimation, and Testing”, Econometrica, 55, 251-276.
  • Fama, E. F.; (1981), “Stock Returns, Real Activity, Inflation, and Money”, American Economic Review, 71, 545–565.
  • Fama, E. F.; (1990), “Stock Returns, Expected Returns, and Real Activity”, The Journal of Finance, 45, 1089–1108.
  • Fazal, Husain; (2006), “Stock Prices, Real Sector and the Causal Analysis: The Case of Pakis- tan”, Journal of Management and Social Sciences, 2 (2), 179-185.
  • Goldsmith, R.; (1969), Financial Structure and Development, Yale University Press, New Haven.
  • Gujarati D, N.; (1995), Basic Econometrics, McGraw-Hill, Third Edition, New York.
  • Gürsoy, C. T. and A. MÜSLÜMOV; (2000), “Stock Markets and Economic Growth: A Casuality Test”, Dogus University Journal, 2, 124-132.
  • Hassapıs, C. and S. KALYVITIS,; (2002), “Investigating The Links Between Growth and Real Stock Price Changes with Empirical Evidence from The G-7 Economies”, The Quarterly Review of Economics and Finance, 42, 543–575.
  • http://evds.tcmb.gov.tr/
  • Johansen S. and K. JUSELIUS; (1990), “Maximum Likelihood Estimation and Inference on Cointegration- with Applications to the Demand for Money”, Oxford Bulletin of Economics and Statistics, 52 (2), 169–210.
  • Johansen S.; (1995), Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, Oxford University Press, New York.
  • Johansen, S.; (1988), “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control, 12, 231-254.
  • Kar, M. and E. PENTECOST; (2000), “The Direction of Causality Between Financial Development and Economic Growth in Turkey: Further Evidence”, Loughborough University, Department of Economics, Economic Research Paper No: 00/27, December.
  • Müslümov, A. ve G. ARAS; (2002), “Sermaye Piyasası Gelişmesi ve Ekonomik Büyüme Arasında Nedensellik İlişkisi: OECD Ülkeleri Örneği”, İşletme İktisat Finans Dergisi, 198 (17), 90- 105.
  • Narayan S. and P. K. NARAYAN; (2004), “Determinats of Demand of Fiji‟s Exports: An Empirical İnvestigation”, The Developing Economics, XVII (1), 95-112.
  • Newey W. and K. WEST; (1987), “A Simple Positive Semi Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix”, Econometrica, 55, 703-708.
  • Pesaran, M Hashem and Ron P, SMITH; (1998), " Structural Analysis of Cointegrating VARs", Journal of Economic Surveys, 12(5), 471-505.
  • Pesaran, M. Hashem and Bahram PESARAN; (1997), Microfit 4.0, Oxford University Press, Oxford.
  • Pesaran, M. Hashem and Yongcheol SHIN; (1998), “An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis”, In Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium, ed. Steinar STROM, Cambridge University Press, Cambridge.
  • Pesaran, M. Hashem; Yongcheol SHIN and Richard J. SMITH, (1996), “Testing for the „Ex- istence of a Long-Run Relationship”, Department of Applied Economics Working Paper no. 9622, University of Cambridge, Cambridge.
  • Pesaran, M.; Y. SHİN and R. J. SMITH; (2001): “Bounds Testing Approaches to the Analysis of Level Relationships”, Journal of Applied Econometrics, 16, 289-326.
  • Phillips, P. C. B. and P. PIERRE; (1988), “Testing for Unit Roots in Time Series Regression”, Biometrika, 75, 335-346.
  • Ritter J.R.; (2005), “Economic Growth and Equity Returns”, Pacific-Basin Finance Journal, 13, 489–503.
  • Sarikamiş, C.; (2000), Sermaye Pazarları, Alfa Basım Yayım Dağıtım, Genişletilmiş 4. Basım, İstanbul.
  • Schwert, W.; (1990), “Stock Returns and Real Activity: A Century of Evidence”, The Journal of Finance, 45, 1237–1257.
Toplam 29 adet kaynakça vardır.

Ayrıntılar

Diğer ID JA68YM24RG
Bölüm Makaleler
Yazarlar

Bekir Elmas Bu kişi benim

İsmet Göçer Bu kişi benim

Hayati Aksu Bu kişi benim

Yayımlanma Tarihi 1 Aralık 2011
Yayımlandığı Sayı Yıl 2011 Sayı: 22

Kaynak Göster

APA Elmas, B., Göçer, İ., & Aksu, H. (2011). İMKB PERFORMANSI-EKONOMİK BÜYÜME ORANI ARASINDAKİ İLİŞKİ: 1998:Ç1-2010:Ç3 DÖNEMİ. Kocaeli Üniversitesi Sosyal Bilimler Dergisi(22), 152-167.

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