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BİST 100 ENDEKSİNİN DÖVİZ KURU DEĞİŞİMLERİ İLE SİMETRİK VE ASİMETRİK İLİŞKİSİ

Yıl 2021, Cilt: 13 Sayı: 24, 272 - 284, 31.01.2021
https://doi.org/10.14784/marufacd.880655

Öz

Bu çalışmada, Türkiye Ekonomisinde 2009:Q1-2019:Q4 dönemi için BİST 100 endeks getirileri ile döviz kuru değişimleri arasındaki ilişki incelenmiştir. Çalışmada kullanılan BİST100 ve döviz kuru değişkenlerinin verileri, üç aylık verilerden oluşmaktadır. Değişkenler arasındaki ilişkiyi incelemek üzere gecikme eklemeli modeller bağlamında, simetrik ve asimetrik nedensellik testleri kullanılmıştır. Çalışmada ilk olarak, serilerin durağan olup olmadığını veya birim köklerinin bulunup bulunmadığını belirlemek için Genişletilmiş Dickey-Fuller testi kullanılmıştır. Ardından da simetrik ve asimetrik nedensellik testi ile Türkiye’de döviz kuru-hisse senedi getirileri arasındaki ilişki incelenmiştir. Bulgular, iki değişken arasındaki ilişkinin zayıf olduğunu, bununla birlikte borsadaki negatif bir gelişmenin döviz kuru artışı ile ilişkili olduğunu ortaya koymaktadır.

Kaynakça

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  • AÇIKALIN, Sezgin, AKTAS, Rafet & UNAL, Seyfettin. (2008). “Relationships between Stock Markets and Macroeconomic Variables: An Empirical Analysis of the Istanbul Stock Exchange.” Investment Management and Financial Innovations 5 (1): 8–16.
  • AJAYI, Richard A & MOUGOUE, Mbodja. (1996). “On the Dynamic Relation Between Stock Prices and Exchange Rates.” Financial Research 19 (2): 193–207.
  • AYDEMİR, Oguzhan, ve DEMİRHAN, Erdal. (2009). “The Relationship between Stock Prices and Exchange Rates Evidence from Turkey.” International Research Journal of Finance and Economics 1 (23): 207–15.
  • AYVAZ, Özlem. (2006). “Döviz Kuru ve Hisse Senetleri Fiyatlari Arasındaki Nedensellik İlişkisi.” Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 2 (8): 1–14.
  • BAHMANI-OSKOOEE, Mohsen & SOHRABIAN, Ahmad. (1992). “Stock Prices and the Effective Exchange Rate of the Dollar.” Applied Economics 24 (4): 459–64. https://doi.org/10.1080/00036849200000020.
  • CHKILI, Walid & NGUYEN, Duc Khuong. (2014). “Exchange Rate Movements and Stock Market Returns in a Regime-Switching Environment: Evidence for BRICS Countries.” Research in International Business and Finance 31: 46–56. https://doi.org/10.1016/j.ribaf.2013.11.007.
  • DERİNDERE, Sinem & DİZDARLAR, Işın, H. (2008). “Getiri Aralığının Sistematik Riskin Ölçüsü Olan Beta Üzerine Etkileri: İMKB’de Bir Uygulama.” Afyon Kocatepe Üniversitesi, İ.İ.B.F. Dergisi. Cilt:10, Sayı:1, 1-17. https://doi.org/10.1017/CBO9781107415324.004.
  • DIAMANDIS, Panayiotis F & DRAKOS, Anastassios A. (2011). “Financial Liberalization, Exchange Rates and Stock Prices: Exogenous Shocks in Four Latin America Countries.” Journal of Policy Modeling 33 (3): 381–94. https://doi.org/10.1016/j.jpolmod.2010.11.004.
  • DIMITROVA, Desislava. (2005). “The Relationship Between Exchange Rates and Stock Prices: Studied in a Multivariate Model” Journal of Issues in Political Economy 14, (1). 3-9.
  • GRANGER, Clive W.J & YOON, Gawon. (2002). “Hidden Cointegration.” Department of Economics, 0508, University of California, San Diego, Working Paper 2002-02: January, 1-48. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=313831 (Erişim Tarihi: 20.05.2020)
  • GROENEWOLD, Nicolaas & PATERSON, James, E. H. (2011). “Stock Prices and Exchange Rates in Australia: Are Commodity Prices the Missing Link?” Australian Economic Papers, 52(3-4), 159-170.
  • HACKER, Scott, R & HATEMI-J, Abdulnasser. (2006). “Tests for Causality between Integrated Variables Using Asymptotic and Bootstrap Distributions: Theory and Application.” Applied Economics 38 (13): 1489–1500. https://doi.org/10.1080/00036840500405763.
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Toplam 31 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Selim Yıldırım Bu kişi benim

Reyhan Cavadova Bu kişi benim

Ethem Esen Bu kişi benim

Fatih Temizel Bu kişi benim

Yayımlanma Tarihi 31 Ocak 2021
Gönderilme Tarihi 12 Haziran 2020
Yayımlandığı Sayı Yıl 2021 Cilt: 13 Sayı: 24

Kaynak Göster

APA Yıldırım, S., Cavadova, R., Esen, E., Temizel, F. (2021). BİST 100 ENDEKSİNİN DÖVİZ KURU DEĞİŞİMLERİ İLE SİMETRİK VE ASİMETRİK İLİŞKİSİ. Finansal Araştırmalar Ve Çalışmalar Dergisi, 13(24), 272-284. https://doi.org/10.14784/marufacd.880655