EXCHANGE RATE AND STOCK PRICE INTERACTIONS: AN EVIDENCE FROM TURKISH TRANSPORTATION SECTOR

Öz

The aim of this study is to examine the relationship between stock values of the companies serving in the transportation sector in Turkey and exchange rate. In addition to being an alternative investment tool for transportation sector share values, it is possible that the effects of exchange rate on the share values will be different with its structure affecting both their costs and their transportation demands. Therefore, it is likely to have a nonlinear relationship between the two variables. XULAS variable formed by transportation companies in the BIST index and TL equivalent of USD which is the basic exchange rate all over the world are used in the analysis. The data consists of 971 observations on a weekly basis covering the period between 2 January 2000 and 16 September 2018. The asymmetric causality test is used to determine the unidirectional causal relationship between the shocks in the variables. The obtained results reveal a situation contrary to the general view of negative relationship. It is also hoped that the findings will be useful in developing investment strategies for existing and potential investors in the market.

Anahtar Kelimeler

• Transportation Industry,Stock Value,Exchange Rate,Asymmetric Causality

DÖVİZ KURU VE HİSSE SENEDİ FİYATI ARASINDAKİ ETKİLEŞİM: TÜRK ULAŞTIRMA SEKTÖRÜNDEN BİR BULGU

Öz

Bu çalışmanın amacı Türkiye’de ulaştırma sektöründe hizmet veren firmaların hisse senedi değerleriyle döviz kurları arasındaki ilişkinin incelenmesidir. Döviz kurlarının ulaştırma sektöründeki hisse değerlerine etkisi, hisselere alternatif yatırım araçları olmalarının yanında, ulaştırma sektörünün maliyetlerini ve taşımacılık aktivitelerine olan talebi etkilemeleri nedeniyle farklı olabilir. Bu nedenle iki değişken arasında doğrusal olmayan bir ilişki olması muhtemeldir. Analizde BIST endeksindeki ulaştırma şirketlerinin hisse değerlerinden oluşan XULAS ve dünyada temel döviz kurlarından olan doların Türk Lirası olarak karşılığı değişkenler kullanılmışlardır. Veri seti 2 Ocak 2000 ve 16 Eylül 2018 tarihleri arasını kapsayan haftalık bazda 971 gözlemden oluşmaktadır. Değişkenlerdeki şoklar arasındaki tek yönlü nedensellik ilişkisini tespit etmek için asimetrik nedensellik testi kullanılmıştır. Elde edilen sonuçlar genel görüş olan negatif ilişki görüşüne ters bir durum ortaya koymuştur. Ayrıca bu sonuçların mevcut ve potansiyel yatırımcıların yatırım stratejileri oluşturmalarında faydalı olacakları umulmaktadır.

Anahtar Kelimeler

• Ulaştırma Sektörü,Hisse Senedi Değeri,Döviz Kuru,Asimetrik Nedensellik

Kaynakça

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