Türkiye’de hisse senedi fiyatları ile reel döviz kuru arasındaki ilişki: Simetrik ve asimetrik nedensellik analizi

Yıl 2021, Cilt: 14 Sayı: 2, 396 - 412, 12.04.2021

Burak Sertkaya , Mehmet Songur

https://doi.org/10.25287/ohuiibf.703751

Cited By: 4

Öz

Küresel piyasaların her geçen gün daha global bir yapıya sahip olması, ülkelerin döviz kurları ve hisse senedi piyasaları üzerinde daha etkili olmaktadır. İzlenen her türlü politika döviz piyasalarına ve hisse senedi piyasalarına doğrudan yansımaktadır. Bu bakımdan her iki piyasada meydana gelen tepkiler ortaya konulan politikaların sonuçları bakımından önem teşkil eder. Hisse senedi piyasaları ile döviz kuru piyasalarında ortaya çıkacak herhangi bir politika değişimi, söz konusu iki piyasaya hızlı bir şekilde yansıyacaktır. Sermaye akımlarına oldukça duyarlı olan Türkiye gibi gelişmekte olan ülkelerde ise, döviz kurları ile hisse senedi piyasaları arasında yakın bir ilişki vardır. Bu çalışmada, Türkiye için hisse senedi fiyatları ile reel döviz kurları arasındaki ilişkinin varlığı farklı döviz kuru yaklaşımları çerçevesinde ampirik olarak analiz edilmiştir. Söz konusu ilişkinin varlığı 1996:2-2018:6 dönemi için aylık hisse senedi endeksi ve reel döviz kuru endeksi verileri kullanılarak ele alınmıştır. Çalışmadaki değişkenler arasındaki ilişki, nedensellik sonucuna bağlı olarak karşılaştırma imkânı sunması nedeniyle simetrik ve asimetrik nedensellik testleri ile analiz edilmiştir. Belirtilen ampirik analize göre, değişkenler arasındaki nedensellik ilişkisinin farklılaştığı gözlenmiştir. Simetrik analize göre, hisse senedi fiyatları reel döviz kuru endeksinin nedenidir. Asimetrik analize göre, pozitif bileşenlerde değişkenler arasında karşılıklı bir nedensellik ilişkisi vardır. Negatif bileşenlerde ise, değişkenler arasında karşılıklı nedensellik ilişkisi yoktur.

Anahtar Kelimeler

Hisse Senedi Fiyatları, Reel Döviz Kuru, Simetrik ve asimetrik nedensellik analizi

Relationship between stock prices and real exchange rate in Turkey: Symmetric and asymmetric causality analysis

Öz

The fact that the global markets have a more global structure day by day is more effective on the exchange rates and stock markets of the countries. All kinds of policies followed directly reflect on foreign exchange markets and stock markets. In this respect, the reactions that occur in both markets are important in terms of the results of the policies put forward. Any change in the stock markets and exchange rate markets will be reflected in these two markets quickly. In developing countries such as Turkey which is highly sensitive to capital flows, there is a close relationship between exchange rates and stock markets. In this study, the presence of the relationship between stock prices and real exchange rates in Turkey were analyzed under different exchange rate empirical approaches. The existence of the mentioned relationship is examined by using monthly stock index and real exchange rate index data for the period 1996:2-2018:6. The relationship between the variables in the study was analyzed with symmetric and asymmetric causality tests because of the possibility of comparison based on the causality result. According to the empirical analysis, it was observed that the causality relationship between the variables varied. According to symmetric analysis, stock prices are the cause of the real exchange rate index. According to asymmetric analysis, there is a bilateral causality relationship between variables for positive components. In negative components, there is no bilateral causality relationship between variables.

Anahtar Kelimeler

Stock Prices, Real Exchange Rate, Symmetric and Asymmetric Causality Analysis

Kaynakça

• Abdalla, S. A. Issam and Victor Murınde, (1997). Exchange Rate and Stock Price Interactions in Emerging Financial Markets: Evidence on India, Korea, Korea, Pakistan and The Philippines, Applied Financial Economics, 7, 25-35.
• Aggarwal, Raj. (1981), Exchange Rates and Stock Prices: A Study of US Capital Market Under Flaoting Exchange Rates, Akron Business and Economic Review, 12, 7-12.
• Benli, Yasemin K. (2015), Döviz Kuru ile Borsa İstanbul 100 ve Sektör Endeksleri Arasındaki İlişkinin Ampirik Analizi, UHBAB Journal, 4(12), 55-72.
• Berke, B. (2012), Döviz Kuru ve İMKB-100 Endeksi İlişkisi: Yeni Bir Test, Maliye Dergisi, 163, 243-257.
• Boyacıoğlu, Melek, A. ve Çürük, D. (2016). Döviz Kuru Değişimlerinin Hisse Senedi Getirisine Etkisi: Borsa İstanbul 100 Endeksi Üzerine Bir Uygulama, Muhasebe ve Finansman Dergisi, 70, 143-156.
• Branson, William H. (1983). Macroeconomic Determinants of Real Exchange Risk, Richard J. HERRING (Ed.), Managing Foreign Exchange Risk, Cambridge University Press, Cambridge, 33-74.
• Carpole, Guglielmo M., John Hunter and Faek M. ALI. (2014). On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010, International Review of Financial Analysis, 33, 87-103.
• Chow, Caporale M., Wayne Y. Lee and Michael E. Solt. (1997). The Exchange Rate Risk Exposure of Asset Returns, Journal of Business, 70, 105-123.
• Dahır, Ahmed M., Fauziah Mahat., Nazrul H. A. Razak and A. N. Banny-ARIFFIN. (2018). Revisiting the Dynamic Relationship between Exchange Rates and Stock Prices in BRICS Countries: A Wavelet Analysis, Borsa Istanbul Review, 18(2), 101-113.
• Dıckey, David, A. and Wayne A. Fuller. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root, Econometrica, 49(4), 1057-1072.
• Doğukanlı, Hatice., Mehmet Özmen ve Emel Yücel. (2010). İMKB’de Sektörel Açıdan Döviz Kuru Duyarlılığının İncelenmesi, Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 19(3), 63-86.
• Dornbusch, Rudiger and Stanley Fıscher. (1980). Exchange Rates and the Current Account, American Economic Association, 70(5), 960-971.
• Fauzıah, Fauziah., Moeljadi Moeljadı and Kusuma Ratnawatı., (2015). Dynamic Relationship Between Exchange Rates and Stock Prices in Asia 2009-2013, Journal of Economics, Finance and Accounting, 2(1), 124-134.
• Franck, Peter and Allan Young. (1972). Stock Price Reaction of Multinational Firms to Exchange Realignments, Financial Management, 1, 66-73.
• Frankel, Jeffrey, A., (1983). Monetary and Portfolio-Balance Models of Exchange Rate Determination, Jagdeep S. BHANDARI and Bluford H. PUTNAM (Ed.), Economic Interdependence and Flexible Exchange Rates, MIT, Cambridge.
• Granger, Clive W. J. and Gawon Yoon., (2002). Hidden Cointegration, San Diego: University of California,Department of Economics, Working Paper.
• Hacker, Scott, R. and Abdulnasser Hatemı-J., (2006). Tests for Causality between Integrated Variables Using Asymptotic and Bootstrap Distributions: Theory and Application, Applied Economics, 38(13), 1489-1500.
• Hatemı-J, Abdulnasser., (2003). A New Method to Choose Optimal Lag Order in Stable and Unstable VAR Models, Applied Economics Letters, 10(3), 135-137.
• Hatemı-J, Abdulnasser., (2012). Asymmetric Causality Tests with an Application, Empirical Economics, 43(1), 447-456.
• Hatemı-J, Abdulnasser and Manuchehr Irandoust., (2012), Asymmetric Interaction between Government Spending and Terms of Trade Volatility: New Evidence from Hidden Cointegration Technique, Journal of Economic Studies, 39(3), 368-378.
• Jorıon, Philippe., (1990). The Pricing of Exchange Rate Risk in the Stock Market, Journal of Financial and Quantitative Analysis, 26, 363-376.
• Kıran, Burcu., (2009). Türkiye’de Döviz Kuru ve Hisse Senedi Fiyatlarının Sınır Testi Analizi, İktisat, İşletme ve Finans, 25(275), 66-88.
• Kocakale, Yahya and Hakan H. Toprak., (2015). Türkiye’nin Reel Efektif Döviz Kuru Endekslerinin Güncellenmesi, TCMB Ekonomi Notları, No.15/06.
• Kutty, Gapolan., (2010). The Relationship between Exchange Rates and Stock Prices: The Case of Mexico, North American Journal of Finance and Banking Research, 4(4), 1-12.
• Nıeh, Chien-Chung and Cheng-Few Lee., (2001). Dynamic Relationship between Stock Prices and Exchange Rates for G-7 Countries, The Quarterly Review of Economics and Finance, 41, 477-490.
• Oskooee, Mohsen Bahmani and Ahmad Sohrabıan., (1992). Stock Prices and the Effective Exchange Rate of Dollar, Applied Economics, 24, 459-464.
• Özmen, Mehmet., (2007). Farklı Döviz Kuru Rejimleri Altında Hisse Senetleri Fiyatları ile Döviz Kurları Arasındaki İlişkinin Ekonometrik Analizi, Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 16(1), 519-538.
• Pan, Ming-Shiun, Robert Chi-Wing Fok and Angela Y. Lıu., (2007). Dynamic Linkages between Exchange Rates and Stock Prices: Evidence from East Asian Markets, International Review of Economics and Finance, 16(4), 503-520.
• Phillips, Peter C. B. and Pierre Perron., (1988). Testing for a Unit Root in Time Series Regression, Biometrika, 75(2), 335-346.
• Phylaktıs, Kate and Fabiola Ravazzolo., (2005). Stock Prices and Exchange Rate Dynamics, Journal of International Money and Finance, 24, 1031-1053.
• Ratner, Mitchell., (1993). A Cointegration Test of the Impact of Foreign Exchange Rates on US Stock Market Prices, Global Finance Journal, 4(2), 93-101.
• Roll, Richard., (1992). Industrial Structure and the Comparative Behaviour of International Stock Market Indices, Journal of Finance, 47, 3-41.
• Soenen, La. and E. Hennıgar., (1988). An Analysis of Exchange Rates and Stock Prices: The US Experience between 1980 and 1986, Akron Business and Economic Review, 19, 7-16.
• Solnık, Bruno., (1987). Using Financial Prices to Test Exchange Rate Models: A Note, Journal of Finance. 42, 141-149.
• Tang, Chor Foon., (2008). Wagner’s Law Versus Keynesian Hypothesis: New Evidence from Recursive Regression-Based Causality Approaches, ICFAI Journal of Public Finance, 6(4), 29-38.
• Toda, Hiro Y. and Taku Yamamoto., (1995). Statistical Inference in Vector Autoregressions with Possibly Integrated Processes, Journal of Econometrics, 66(1-2), 225-250.
• Tsagkanos, Athanasios and Costas Sırıopoulos., (2013). A Long-Run Relationship between Stock Price Index and Exchange Rate: A Structural Nonparametric Cointegrating Regression Approach, Journal of International Financial Markets, Institutions and Money, 25, 106-118.
• Ülkü, Numan and Ebru Demirci., (2012). Joint Dynamics of Foreign Exchange and Stock Markets in Emerging Europe, Journal of International Financial Markets, Institutions and Money, 22(1), 55-86.
• Yu, Qiao., (1997). Stock Prices and Exchange Rates: Experience in Leading East Asian Financial Centers, Singapore Economic Review, 41, 47-56.
• Zhao, Hua., (2010). Dynamic Relationship Between Exchange Rate and Stock Price: Evidence From China, Research in International Business and Finance, 24, 103-112.