Hisse Senedi Piyasası Gelişimi ve Ekonomik Büyüme Etkileşimi: Gelişmekte Olan Ülkeler Örneği
Yıl 2015,
Cilt: 10 Sayı: 2, 269 - 284, 01.08.2015
Onur Gözbaşı
Öz
Bu çalışmanın amacı 1989-2011 dönemi yıllık verileri ile Türkiye’nin de aralarında bulunduğu gelişmekte olan yedi ülkede hisse senedi piyasası gelişimi ve ekonomik büyüme etkileşimini panel eşbütünleşme ve panel nedensellik yöntemleri ile incelemektir. Piyasaların derinliğini ve etkinliğini temsil eden iki farklı hisse senedi piyasası gelişmişlik ölçütünün kullanıldığı çalışmada hisse senedi piyasası gelişimi ile ekonomik büyüme arasında uzun dönemli eşbütünleşme ilişkisine rastlanmamış, buna karşın değişkenler arasında nedensellik ilişkisi tespit edilmiştir
Kaynakça
- Altunç, Ö. F. (2008), “Türkiyede Finansal Gelişme ve İktisadi Büyüme Arasındaki Nedenselliğin Ampirik Bir Analizi”, Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 3(2), 113-127.
- Aras, G. ve A. Müslümov (2002), “Sermaye Piyasası Gelişmesi ve Ekonomik Büyüme Arasında Nedensellik İlişkisi: OECD Ülkeleri Örneği”, İktisat İşletme ve Finans, 17(198), 90-100.
- Arestis, P., Demetriades, P. O. ve K. B. Luintel (2001), “Financial Development and Economic Growth: The Role of Stock Markets”, Journal of Money, Credit and Banking, 33(1), 16-41.
- Aslan, Ö ve İ. Küçükaksoy (2006), “Finansal Gelişme ve Ekonomik Büyüme İlişkisi: Türkiye Ekonomisi Üzerine Ekonometrik Bir Uygulama”, İstanbul Üniversitesi İktisat Fakültesi Ekonometri ve İstatistik E-Dergisi, 4, 25-38.
- Atje, R. ve B. Jovanovic (1993), “Stock markets and development”, European Economic Review, 37(2-3), 632–640.
- Aydemir O. (2008), “Hisse Senedi Getirileri Ve Reel Sektör Arasındaki İlişki: Ampirik Bir Çalışma”, Afyon Kocatepe Üniversitesi, İ.İ.B.F. Dergisi 10(2), 37-55.
- Bagehot, W. (1873) Lombard Street: A Description of the Money Market, Henry S. King and Co.,London.
- Beck, T., Levine, R. ve N. Loayza (2000), “Finance and the sources of growth”, Journal of Financial Economics, 58(1–2), 261-300.
- Beck, T. ve R. Levine, (2004), “Stock markets, banks, and growth: Panel evidence”, Journal of Banking & Finance, 28(3), 423-442.
- Binswanger, M. (2000), “Stock Returns and Real Activity: Is There Still a Connection?”, Applied Financial Economy, 10(4), 379-387.
- Binswanger, M. (2004), “Stock returns and real activity in the G-7 countries: did the relationship change during the 1980s?”, The Quarterly Review of Economics and Finance, 44, 237–252.
- Cihák, M., Demirgüç-Kunt, A., Feyen, E. ve R. Levine (2012), “Benchmarking Financial Systems around the World” World Bank Policy Research Working Paper, No: 6175.
- Cole, R. A., Moshirian, F. ve Q. Wu (2008), “Bank stock returns and economic growth”, Journal of Banking & Finance 32, 995-1007.
- Cooray, A. (2010), “Do stock markets lead to economic growth?”, Journal of Policy Modeling, 32, 448–460.
- Demetriades, P. O ve K. A. Hussein (1996), “Does financial development cause economic growth? Time-series evidence from 16 countries”, Journal of Development Economics, 51(2), 387-411.
- Demir, Y., Öztürk, E. ve M. Albeni (2007), “Türkiye’de Finansal Piyasalar ile Ekonomik Büyüme İlişkisi”, K.M.Ü. İİBF Dergisi, 7(3), ss. 438-455.
- GFDD (2013), “World Bank The Global Financial Development Database (Financial Development and Structure Dataset by Demirgüç-Kunt, A., Cihak, M., Feyen, E, Beck, T. ve R. Levine - Güncelleme Kasım 2013)”, http://data.worldbank.org/datacatalog/global-financial-development , E.T. 02.10.2014.
- Emirmahmutoglu, F. ve N. Kose (2011), “Testing for Granger causality in heterogeneous mixed panels”, Economic Modelling, 28(3), 870-876.
- Enisan, A. A. ve A. O. Olufisayo (2009), “Stock market development and economic growth:Evidence from seven sub-Sahara African countries”, Journal of Economics and Business, 61, 162–171.
- Erdem, E., Gozbasi, O., Ilgun, F. ve S. Nazlioglu (2010), “Stock market and economic growth nexus in emerging markets: cointegration and causality analysis”, International Journal of Business Forecasting and Marketing Intelligence, 1, 262- 274.
- Elmas, B., Göçer, İ. ve H. Aksu (2011), “İMKB Performansı-Ekonomik Büyüme Oranı Arasındaki İlişki: 1998:Ç1-2010:Ç3 Dönemi”, Kocaeli Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 22(2), 152-167.
- Erim, N. ve A. Türk (2005), “Finansal Gelişme ve İktisadi Büyüme”, Kocaeli Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 10(2), 21-45.
- Fisher, R. A., (1932), Statistical Methods for Research Workers, 4. Baskı, Oliver and Boyd, Edinburgh.
- Fung M. K. (2009), “Financial development and economic growth: convergence and or divergence”, Journal of International Money and Finance, 28, 56-67.
- Güloğlu, B. (2003), “Finansal serbestleşme ve ekonomik büyüme: panel veriler yaklaşımı”, İMKB Dergisi, 27, 39-65.
- Hondroyiannis G., Lolos, S. ve E. Papapetrou (2005), “Financial markets and economic growth in Greece, 1986–1999”, International Financial Markets, Institutions & Money, 15(2), 173-188.
- Im, K.S., Pesaran H. ve Y. Shin (2003), “Testing for Unit Roots in Heterogeneous Panels”, Journal of Econometrics, 115(1), 53-74.
- Kandır, S., İskenderoğlu, Ö. ve Y. B. Önal (2007), “Finansal Gelişme ve Ekonomik Büyüme Arasındaki İlişkinin Araştırılması”, Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 16(2), 311-326.
- Kaplan M. (2008), “The Impact of Stock Market on Real Economic Activity: Evidence from Turkey”, Journal of Applied Sciences 8(2), 374-378.
- Kar, M. (2001), “Finansal Kalkınma ve Ekonomik Büyüme Arasındaki Nedensellik İlişkisi: Türkiye Örneği”, Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi, 2(2), 150- 169.
- Kar, M. ve E. Pentecost (2000), “The Direction of Causality Between Financial Development and Economic Growth in Turkey: Further Evidence”, Economic Research Paper, Department of Economics, Loughborough University, No: 00/27.
- Kar, M., Nazlıoğlu, Ş. ve H. Ağır (2011), “Financial Development and Economic Growth Nexus in the MENA Countries: Bootstrap Panel Granger Causality Analysis”, Economic Modelling, 28, 685-693.
- King, R. G. ve R. Levine (1993), “Finance and Growth: Schumpeter Might be Right”, The Quarterly Journal of Economics, 108(3), 717-737.
- Kónya, L. (2004), “Unit-Root, Cointegration and Granger Causality Test Results for Export and Growth In OECD Countries”, International Journal of Applied Econometrics and Quantitative Studies, 1(2), 67-97.
- Levin, A., Lin, C-F. ve Chu C-S. J. (2002), “Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties”, Journal of Econometrics, 108(1), 1-24.
- Levine R. ve S. Zervos (1996), “Stock Market Development and Long-Run Growth”, The World Bank Economic Review, 10, 323-339.
- Levine, R. (1991), ‘Stock markets, growth, and tax policy’, The Journal of Finance, 46(4), 1445-1465.
- Levine, R. (1997), “Financial Development and Economic Growth: Views and Agenda”, Journal of Economic Literature, 35(2), 688-726.
- Mao, Y. ve R. Wu, (2007), “Does the Stock Market Act As a Signal for Real Activity? Evidence from Australia”, Economic Papers, 26(2), 180-192.
- Marques, L. M.; José A. F. ve A. C. Marques (2013), “Does the stock market cause economic growth? Portuguese evidence of economic regime change”, Economic Modelling, 32, 316-324.
- Mauro P. (2000), “Stock Returns and Output Growth in Emerging and Advanced Economies”, IMF Working Paper wp/00/89, http://www.imf.org/external/pubs/ft/wp/2000/wp0089.pdf, E.T. 02.10.2014.
- Mercan, M ve O. Peker (2013), “Finansal Gelişmenin Ekonomik Büyümeye Etkisi: Ekonometrik Bir Analiz”, Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 8(1), 93-120.
- Morck, R., Shleifer, A., Vishny, R. W., Shapiro, M. ve J. M. Poterba (1990), “The Stock Market and Investment: Is the Market a Sideshow?”, Brookings Papers on Economic Activity, 1990 (2), 157-215.
- Naceur, S. B. ve S. Ghazouani (2007), “Stock markets, banks, and economic growth: Empirical evidence from the MENA region”, Research in International Business and Finance, 21, 297-315.
- Nazlioglu, S., Ege, İ. ve A. Bayrakdaroğlu (2009), “Financial Development and Economic Growth: Cointegration and Causality Analysis for Turkey”, Banking and Finance Letters, 1(2), 59-66.
- Ngare, E., Nyamongo E. M. ve R. N. Misati (2014), “Stock market development and economic growth in Africa”, Journal of Economics and Business, 74, 24-39.
- Nieuwerburgh, S. V., Buelens, F. ve L. Cuyvers (2006), “Stock market development and economic growth in Belgium”, Explorations in Economic History, 43, 13-38.
- Özcan, B. ve A. Arı (2011), “Finansal Gelişme ve Ekonomik Büyüme Arasındaki İliskinin Ampirik Bir Analizi: Türkiye Örneği”, Business and Economics Research Journal, 2(1), 121-142.
- Öztürk, N., Darıcı, H. K. ve F. Kesikoğlu (2011), “Ekonomik Büyüme ve Finansal Gelişme İlişkisi: Gelişmekte Olan Piyasalar İçin Bir Panel Nedensellik Analizi”, Marmara Üniversitesi İİBF Dergisi, 30(1), 53-69.
- Patrick H. T. (1966), “Financial Development and Economic Growth in Underdeveloped Countries”, Economic Development and Cultural Change, 14(2), 174-189.
- Pedroni, P. (1999), “Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors”, Oxford Bulletin of Economics and Statistics, 61(1), 653- 670.
- Pedroni, P. (2004), “Panel Cointegration: Asymptotic and Finite Sample Properties Of Pooled Time Series Tests With an Application to The Ppp Hypothesis”, Econometric Theory, 20(3), 597-625.
- Rousseau, P. L. ve P. Wachtel, (2000), “Equity markets and growth: Cross-country evidence on timing and outcomes, 1980-1995”, Journal of Banking & Finance, 24(12), 1933-1957.
- Soytaş, U. ve E. Kucukkaya (2011), “Economic Growth and Financial Development in Turkey: New Evidence”, Applied Economics Letters, 18(6), 595-600.
- Toda, H. Y. ve T. Yamamoto (1995), “Statistical Inference in Vector Autoregressions with Possibly Integrated Processes”, Journal of Econometrics, 66(1-2), 225-250.
- WDI 2013, World Development Indicators. http://data.worldbank.org/datacatalog/ worlddevelopment-İndicators, E.T. 21.07.2014
- WFE 2014, World Federation of Exchanges Annual Query Tool, http://www.worldexchanges.org/statistics/annual-query-tool, E.T. 21.07.2014
Interaction between stock market development and economic growth: Evidence from developing countries
Yıl 2015,
Cilt: 10 Sayı: 2, 269 - 284, 01.08.2015
Onur Gözbaşı
Öz
The purpose of this study is to investigate the interaction between stock market development and economic growth in the case of seven developing countries between the 1989-2011 period. To this end we employed panel cointegration and panel causality tests to two different stock market development indicators representing stock markets depth and efficiency. Results indicate no long-run cointegration relationship between the variables in question. On the other hand, we have found causality between the variables
Kaynakça
- Altunç, Ö. F. (2008), “Türkiyede Finansal Gelişme ve İktisadi Büyüme Arasındaki Nedenselliğin Ampirik Bir Analizi”, Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 3(2), 113-127.
- Aras, G. ve A. Müslümov (2002), “Sermaye Piyasası Gelişmesi ve Ekonomik Büyüme Arasında Nedensellik İlişkisi: OECD Ülkeleri Örneği”, İktisat İşletme ve Finans, 17(198), 90-100.
- Arestis, P., Demetriades, P. O. ve K. B. Luintel (2001), “Financial Development and Economic Growth: The Role of Stock Markets”, Journal of Money, Credit and Banking, 33(1), 16-41.
- Aslan, Ö ve İ. Küçükaksoy (2006), “Finansal Gelişme ve Ekonomik Büyüme İlişkisi: Türkiye Ekonomisi Üzerine Ekonometrik Bir Uygulama”, İstanbul Üniversitesi İktisat Fakültesi Ekonometri ve İstatistik E-Dergisi, 4, 25-38.
- Atje, R. ve B. Jovanovic (1993), “Stock markets and development”, European Economic Review, 37(2-3), 632–640.
- Aydemir O. (2008), “Hisse Senedi Getirileri Ve Reel Sektör Arasındaki İlişki: Ampirik Bir Çalışma”, Afyon Kocatepe Üniversitesi, İ.İ.B.F. Dergisi 10(2), 37-55.
- Bagehot, W. (1873) Lombard Street: A Description of the Money Market, Henry S. King and Co.,London.
- Beck, T., Levine, R. ve N. Loayza (2000), “Finance and the sources of growth”, Journal of Financial Economics, 58(1–2), 261-300.
- Beck, T. ve R. Levine, (2004), “Stock markets, banks, and growth: Panel evidence”, Journal of Banking & Finance, 28(3), 423-442.
- Binswanger, M. (2000), “Stock Returns and Real Activity: Is There Still a Connection?”, Applied Financial Economy, 10(4), 379-387.
- Binswanger, M. (2004), “Stock returns and real activity in the G-7 countries: did the relationship change during the 1980s?”, The Quarterly Review of Economics and Finance, 44, 237–252.
- Cihák, M., Demirgüç-Kunt, A., Feyen, E. ve R. Levine (2012), “Benchmarking Financial Systems around the World” World Bank Policy Research Working Paper, No: 6175.
- Cole, R. A., Moshirian, F. ve Q. Wu (2008), “Bank stock returns and economic growth”, Journal of Banking & Finance 32, 995-1007.
- Cooray, A. (2010), “Do stock markets lead to economic growth?”, Journal of Policy Modeling, 32, 448–460.
- Demetriades, P. O ve K. A. Hussein (1996), “Does financial development cause economic growth? Time-series evidence from 16 countries”, Journal of Development Economics, 51(2), 387-411.
- Demir, Y., Öztürk, E. ve M. Albeni (2007), “Türkiye’de Finansal Piyasalar ile Ekonomik Büyüme İlişkisi”, K.M.Ü. İİBF Dergisi, 7(3), ss. 438-455.
- GFDD (2013), “World Bank The Global Financial Development Database (Financial Development and Structure Dataset by Demirgüç-Kunt, A., Cihak, M., Feyen, E, Beck, T. ve R. Levine - Güncelleme Kasım 2013)”, http://data.worldbank.org/datacatalog/global-financial-development , E.T. 02.10.2014.
- Emirmahmutoglu, F. ve N. Kose (2011), “Testing for Granger causality in heterogeneous mixed panels”, Economic Modelling, 28(3), 870-876.
- Enisan, A. A. ve A. O. Olufisayo (2009), “Stock market development and economic growth:Evidence from seven sub-Sahara African countries”, Journal of Economics and Business, 61, 162–171.
- Erdem, E., Gozbasi, O., Ilgun, F. ve S. Nazlioglu (2010), “Stock market and economic growth nexus in emerging markets: cointegration and causality analysis”, International Journal of Business Forecasting and Marketing Intelligence, 1, 262- 274.
- Elmas, B., Göçer, İ. ve H. Aksu (2011), “İMKB Performansı-Ekonomik Büyüme Oranı Arasındaki İlişki: 1998:Ç1-2010:Ç3 Dönemi”, Kocaeli Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 22(2), 152-167.
- Erim, N. ve A. Türk (2005), “Finansal Gelişme ve İktisadi Büyüme”, Kocaeli Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 10(2), 21-45.
- Fisher, R. A., (1932), Statistical Methods for Research Workers, 4. Baskı, Oliver and Boyd, Edinburgh.
- Fung M. K. (2009), “Financial development and economic growth: convergence and or divergence”, Journal of International Money and Finance, 28, 56-67.
- Güloğlu, B. (2003), “Finansal serbestleşme ve ekonomik büyüme: panel veriler yaklaşımı”, İMKB Dergisi, 27, 39-65.
- Hondroyiannis G., Lolos, S. ve E. Papapetrou (2005), “Financial markets and economic growth in Greece, 1986–1999”, International Financial Markets, Institutions & Money, 15(2), 173-188.
- Im, K.S., Pesaran H. ve Y. Shin (2003), “Testing for Unit Roots in Heterogeneous Panels”, Journal of Econometrics, 115(1), 53-74.
- Kandır, S., İskenderoğlu, Ö. ve Y. B. Önal (2007), “Finansal Gelişme ve Ekonomik Büyüme Arasındaki İlişkinin Araştırılması”, Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 16(2), 311-326.
- Kaplan M. (2008), “The Impact of Stock Market on Real Economic Activity: Evidence from Turkey”, Journal of Applied Sciences 8(2), 374-378.
- Kar, M. (2001), “Finansal Kalkınma ve Ekonomik Büyüme Arasındaki Nedensellik İlişkisi: Türkiye Örneği”, Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi, 2(2), 150- 169.
- Kar, M. ve E. Pentecost (2000), “The Direction of Causality Between Financial Development and Economic Growth in Turkey: Further Evidence”, Economic Research Paper, Department of Economics, Loughborough University, No: 00/27.
- Kar, M., Nazlıoğlu, Ş. ve H. Ağır (2011), “Financial Development and Economic Growth Nexus in the MENA Countries: Bootstrap Panel Granger Causality Analysis”, Economic Modelling, 28, 685-693.
- King, R. G. ve R. Levine (1993), “Finance and Growth: Schumpeter Might be Right”, The Quarterly Journal of Economics, 108(3), 717-737.
- Kónya, L. (2004), “Unit-Root, Cointegration and Granger Causality Test Results for Export and Growth In OECD Countries”, International Journal of Applied Econometrics and Quantitative Studies, 1(2), 67-97.
- Levin, A., Lin, C-F. ve Chu C-S. J. (2002), “Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties”, Journal of Econometrics, 108(1), 1-24.
- Levine R. ve S. Zervos (1996), “Stock Market Development and Long-Run Growth”, The World Bank Economic Review, 10, 323-339.
- Levine, R. (1991), ‘Stock markets, growth, and tax policy’, The Journal of Finance, 46(4), 1445-1465.
- Levine, R. (1997), “Financial Development and Economic Growth: Views and Agenda”, Journal of Economic Literature, 35(2), 688-726.
- Mao, Y. ve R. Wu, (2007), “Does the Stock Market Act As a Signal for Real Activity? Evidence from Australia”, Economic Papers, 26(2), 180-192.
- Marques, L. M.; José A. F. ve A. C. Marques (2013), “Does the stock market cause economic growth? Portuguese evidence of economic regime change”, Economic Modelling, 32, 316-324.
- Mauro P. (2000), “Stock Returns and Output Growth in Emerging and Advanced Economies”, IMF Working Paper wp/00/89, http://www.imf.org/external/pubs/ft/wp/2000/wp0089.pdf, E.T. 02.10.2014.
- Mercan, M ve O. Peker (2013), “Finansal Gelişmenin Ekonomik Büyümeye Etkisi: Ekonometrik Bir Analiz”, Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 8(1), 93-120.
- Morck, R., Shleifer, A., Vishny, R. W., Shapiro, M. ve J. M. Poterba (1990), “The Stock Market and Investment: Is the Market a Sideshow?”, Brookings Papers on Economic Activity, 1990 (2), 157-215.
- Naceur, S. B. ve S. Ghazouani (2007), “Stock markets, banks, and economic growth: Empirical evidence from the MENA region”, Research in International Business and Finance, 21, 297-315.
- Nazlioglu, S., Ege, İ. ve A. Bayrakdaroğlu (2009), “Financial Development and Economic Growth: Cointegration and Causality Analysis for Turkey”, Banking and Finance Letters, 1(2), 59-66.
- Ngare, E., Nyamongo E. M. ve R. N. Misati (2014), “Stock market development and economic growth in Africa”, Journal of Economics and Business, 74, 24-39.
- Nieuwerburgh, S. V., Buelens, F. ve L. Cuyvers (2006), “Stock market development and economic growth in Belgium”, Explorations in Economic History, 43, 13-38.
- Özcan, B. ve A. Arı (2011), “Finansal Gelişme ve Ekonomik Büyüme Arasındaki İliskinin Ampirik Bir Analizi: Türkiye Örneği”, Business and Economics Research Journal, 2(1), 121-142.
- Öztürk, N., Darıcı, H. K. ve F. Kesikoğlu (2011), “Ekonomik Büyüme ve Finansal Gelişme İlişkisi: Gelişmekte Olan Piyasalar İçin Bir Panel Nedensellik Analizi”, Marmara Üniversitesi İİBF Dergisi, 30(1), 53-69.
- Patrick H. T. (1966), “Financial Development and Economic Growth in Underdeveloped Countries”, Economic Development and Cultural Change, 14(2), 174-189.
- Pedroni, P. (1999), “Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors”, Oxford Bulletin of Economics and Statistics, 61(1), 653- 670.
- Pedroni, P. (2004), “Panel Cointegration: Asymptotic and Finite Sample Properties Of Pooled Time Series Tests With an Application to The Ppp Hypothesis”, Econometric Theory, 20(3), 597-625.
- Rousseau, P. L. ve P. Wachtel, (2000), “Equity markets and growth: Cross-country evidence on timing and outcomes, 1980-1995”, Journal of Banking & Finance, 24(12), 1933-1957.
- Soytaş, U. ve E. Kucukkaya (2011), “Economic Growth and Financial Development in Turkey: New Evidence”, Applied Economics Letters, 18(6), 595-600.
- Toda, H. Y. ve T. Yamamoto (1995), “Statistical Inference in Vector Autoregressions with Possibly Integrated Processes”, Journal of Econometrics, 66(1-2), 225-250.
- WDI 2013, World Development Indicators. http://data.worldbank.org/datacatalog/ worlddevelopment-İndicators, E.T. 21.07.2014
- WFE 2014, World Federation of Exchanges Annual Query Tool, http://www.worldexchanges.org/statistics/annual-query-tool, E.T. 21.07.2014