VOLATILITY DYNAMICS: INTEREST AND EXCHANGE RATE EFFECTS ON BIST-100 RETURNS PERFORMANCE

Öz

This research empirically analyses the dynamic effect of interest rate and exchange rate volatilities on BIST stock returns, elucidating how fluctuations in these rates influence market performance. Specifically, the analysis uses monthly panel data from BIST-100 companies between July 2012 and June 2023, applying ARCH and GARCH estimation methods. In addition, returns of stocks trading at the BIST-100 index are obtained. The findings reveal significant linkages between these variables: stock market returns, interest rate and exchange rate volatilities. It was determined that the majority of stocks trading in the BIST-100 were significantly affected by interest rates and exchange rate volatilities. In particular, the BIST-100 return index was negatively affected by interest rate changes and positively affected by exchange rate volatility. The results obtained reveal the high volatility of BIST as an emerging market stock market and contribute to the literature. It is anticipated that the results of the research will also guide investors and policymakers, and provide a thorough assessment of their impact in the context of an emerging market economy.

Anahtar Kelimeler

• Interest Rate
• Exchange Rate
• Volatility
• ARCH-GARCH
• Turkish emerging market

OYNAKLIK DİNAMİKLERİ: FAİZ VE DÖVİZ KURUNUN BIST-100 GETİRİ PERFORMANSI ÜZERİNDEKİ ETKİSİ

Öz

Bu çalışma, faiz oranı dalgalanmaları ve döviz kuru oynaklıklarının BIST pay senedi getirileri üzerindeki dinamik etkilerini ampirik olarak analiz ederek, bu değişkenlerdeki dalgalanmaların piyasa performansını nasıl etkilediğini incelemektedir. Analizde, BIST-100 şirketlerine ait Temmuz 2012-Haziran 2023 dönemi aylık panel verileri kullanılmış ve ARCH ile GARCH tahmin yöntemleri uygulanmıştır. Ayrıca, BIST-100 endeksinde işlem gören pay senetlerinin getirileri de dikkate alınmıştır. Bulgular, borsa getirileri ile faiz oranı ve döviz kuru oynaklıkları arasında anlamlı ilişkiler olduğunu ortaya koymaktadır. Çalışma, BIST-100 endeksinde işlem gören pay senetlerinin büyük bir kısmının faiz oranı ve döviz kuru oynaklıklarından önemli ölçüde etkilendiğini göstermektedir. Özellikle, BIST-100 getiri endeksinin faiz oranı değişimlerinden olumsuz, döviz kuru oynaklığından ise olumlu etkilendiği gözlemlenmiştir. Bu bulgular, Türkiye'nin gelişmekte olan piyasasında mevcut olan yüksek oynaklığı vurgulamaktadır. Çalışmanın sonuçları, Türkiye ekonomisindeki uzun vadeli yatırım fırsatlarına ve etkin sermaye yapılandırmasına dair önemli ipuçları sunmakta olup, yatırımcılar ve politika yapıcılar için değerli bilgiler sağlamaktadır. Bu dinamikleri anlamak, yatırımcıların ve politika yapıcıların değişken finansal ortamda bilinçli ve stratejik kararlar almasına yardımcı olabilir.

Anahtar Kelimeler

• Faiz Oranı
• Döviz Kuru
• Volatilite
• ARCH-GARCH
• Türkiye Gelişmekte Olan Piyasalar

Kaynakça

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