Finansal Enstrümanlar Arasındaki Nedensellik İlişkisinin Portföy Yönetimi Açısından İncelenmesi

Öz

Portföy teorisinde portföye dahil edilecek olan finansal varlıkların seçimi büyük önem taşımaktadır. Bu amaçla portföye eklenecek olan yatırım araçlarının birbileri ile olan ilişkilerinin yönü ve güçleri de önemli hale gelmiştir. Bu açılardan düşünüldüğünde finansal varlıkların birbirleri ile olan ilişkileri bu çalışmanın ana amacını oluşturmaktadır. Bu çalışmada Bu çalışmada altın, BIST-100 endeksi, bitcoin ve döviz kuru arasındaki nedensellik ilişkisi analiz edilmiştir. Çalışmada kullanılan yatırım araçlarına ait veriler 2019-2022 yılları için haftalık değer şeklinde 208 adet gözlemden oluşmaktadır. Nedensellik analizi uygulanmadan önce değişkenler arasında eşbütünleşme ilişkisinin var olup olmadığını test etmek amacıyla Johensen eşbütünleşme testi yapılmıştır. Eş bütünleşme testi sonucuna göre, hem iz istatistiği hem de maksimum özdeğer sonucuna göre değişkenler arasında bir adet eş bütünleşmenin var olduğu görülmüştür. Toda-Yamamoto nedensellik testi sonucuna göre Döviz kuru ile bitcoin fiyatı arasında çift yönlü bir nedensellik ilişkisi ve döviz kurunun da BİST-100 endeksinin nedeni olduğu şeklindeki sonuçlara ulaşılmıştır.

Anahtar Kelimeler

• Finansal Enstrümanlar
• Portföy Yönetimi
• Nedensellik Testi

Examining the Causality between Financial Instruments in Terms of Portfolio Management

Öz

In portfolio theory, the selection of financial instruments to be included in the portfolio is of great importance. For this purpose, the direction and strength of the relationship between the financial instruments to be included in the portfolio have also become important. From this point of view, the main objective of this study is to analyze the interrelationships among financial instruments. In this study, the causality relationship between gold, BIST-100 index, bitcoin and exchange rate was analyzed. The data of the financial instruments used in the study consist of 208 observations as weekly values for the years 2019-2022. Before applying causality analysis, Johensen cointegration test was performed to test whether there is a cointegration relationship between the variables. According to the results of the cointegration test, both the trace statistic and the maximum eigenvalue result indicate that there is one cointegration between the variables. According to the Toda-Yamamoto causality test, it was concluded that there is a bidirectional causality relationship between the exchange rate and bitcoin price and that the exchange rate is the cause of the BIST-100 index.

Anahtar Kelimeler

• Financial Instruments
• Portfolio Management
• Causality Test

Kaynakça

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