HİSSE SENEDİ FİYATINA ETKİ EDEN MAKROEKONOMİK FAKTÖRLERİN İNCELENMESİ: SİMETRİK VE ASİMETRİK NEDENSELLİK SINAMASI (2006-2020 DÖNEMİ)

Yıl 2020, Cilt: 9 Sayı: 4, 258 - 276, 31.12.2020

Pelin Karatay Gögül , Demet Yaman

Öz

Hisse senedi fiyatlarına etki eden faktörlerin incelenmesi, Türkiye gibi firmalarının dış borç stoku yüksek, sermaye hareketlerine aşırı duyarlı, enflasyonun yüksek seyrettiği, küresel finans sistemine entegre borsası ve banka bazlı finansal sistemi olan ülkeler için önemli olmaktadır. Dolayısıyla Türkiye için hisse senedi fiyatına etki eden faktörlerin belirlenmesi mikro ve makro ölçekte ekonomi politikalarının şekillenmesi açısından önem kazanmaktadır. Bu amaçla çalışmada Türkiye’de hisse senedi fiyatları (BİST 100), döviz kuru, mevduat faiz oranı, petrol fiyatları, M2 para arzı, TÜFE(enflasyon oranı) ve Sanayi Üretim Endeksi değişkenleri arasındaki nedensellik ilişkileri 2006:1-2020:7 dönemi için simetrik ve asimetrik nedensellik testleri ile araştırılmıştır. Bulgular simetrik analizde döviz kuru, mevduat faiz oranı,para arzı ve petrol fiyatlarından hisse senedi fiyatlarına doğru bir nedensellik ilişkisinin varlığına işaret etmektedir. Bununla birlikte TÜFE ve sanayi üretim endeksi ile hisse senedi fiyatları arasında bir nedensellik ilişkisi bulunamamıştır. Asimetrik analizde ise, pozitif bileşenlerde döviz kuru ve para arzı değişkenleri hisse senedi fiyatlarının nedeni iken, negatif bileşenlerde enflasyon oranının hisse senedi fiyatlarının nedeni olduğu görülmektedir. Diğer taraftan faiz oranı ve petrol fiyatları değişkenlerinin hem pozitif hem de negatif bileşenlerde hisse senedi fiyatları ile nedensellik ilişkisi olduğu tespit edilmiştir. Sanayi üretim endeksi ve hisse senedi fiyatları arasında ise herhangi bir nedensellik ilişkisi tespit edilememiştir.

Anahtar Kelimeler

Hisse Senedi Fiyatı, Simetrik Nedensellik Analizi, Asimetrik Nedensellik Analizi

AN INVESTIGATION OF THE MACROECONOMIC FACTORS AFFECTING THE STOCK PRICE: SYMMETRIC AND ASYMMETRIC CAUSALITY TEST (2006-2020 PERIOD)

Öz

Examining the factors that influence stock prices, such as Turkey, firms with high external debt stock, for portfolio investments is extremely sensitive to capital movements, where there is high inflation, stock market integrated into the global financial system and Bank-based financial systems are important for countries. Therefore, determining the factors affecting the stock price becomes important in terms of shaping economic policies on a micro-and macro scale. For this purpose, the causal relations between stock prices (BIST 100), exchange rate, deposit interest rate, Brent oil prices, money supply (M2), CPI and Industrial Production Index variables were investigated by Symmetric and asymmetric causalality tests for the period 2006:1-2020:7. The findings point to the existence of a causal relationship between the exchange rate, deposit interest rate,money supply and oil prices towards stock prices in the symmetric analysis. However, no causal relationship was found between CPI and Industrial Production Index and stock prices. In asymmetric analysis, it is seen that exchange rate and money supply variables in positive components are the cause of stock prices, while inflation rate in negative components is the cause of stock prices. On the other hand, it has been found that interest rate and oil price variables have a causal relationship with stock prices in both positive and negative components. Any causal relationship between the Industrial Production Index and stock prices has not been determined.

Anahtar Kelimeler

Stock Prices, Symmetric Causality analyses, Asymmetric Causality Analysis

Kaynakça

• ABUGRI B. (2008) “Empirical relationship between macroeconomic volatility and stock returns: Evidence from Latin American markets”. International Review of Financial Analysis, 17 (2008), pp. 396-410
• DİCKEY, D. A., & FULLER, W. A. (1981). “Likelihood ratio statistics for autoregressive time series with a unit root.” Econometrica: journal of the Econometric Society, 1057-1072.
• AGGARWAL, R. (1981), “Exchange Rates and Stock Prices: A Study of the US Capital Markets under Floating Exchange Rates,” Akron Business and Economic Review, 12/4: 7-12.
• APERGIS N., ELEFTHERIOU S. (2002). “Interest rates, inflation, and stock prices: the case of the Athens Stock Exchange”. Journal of Policy Modeling. Volume 24, Issue 3, Pages 231-236 ASSEFA TA, ESQUEDA OA, MOLLICK AV (2017). “Stock returns and interest rates around the world: a panel data approach”. J Econ Bus 89:20–35
• BAHMANİ-OSKOOEE M. & SAHA S (2018). “On The Relation Between Exchange Rates And Stock Prices: A Non-Linear ARDL Approach And Asymmetry Analysis”. Journal of Economics and Finance,42:112–137.
• BELEN M. & KARAMELİKLİ H. (2016). “Türkiye’de Hisse Senedi Getirileri ile Döviz Kuru Arasındaki İlişkinin İncelenmesi: ARDL Yaklaşımı”. İstanbul Üniversitesi İşletme Fakültesi Dergisi. 45(1), 34-42
• BODART, V. & REDING, P. (2001), “Do Foreign Exchange Markets Matter for Industry Stock Returns? An Empirical Investigation,” Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Discussion Paper, 2001016, http://www.ires.ucl.ac.be/DP/IRES_DP/2001-16.pdf.
• BRANSON, W. H. (1983). “Macroeconomic determinants of real exchange risk. In Managing Foreign Exchange Risk”, Edited by R. J. Herring, Cambridge (Cambridge University Press), 33–74.
• CAMPBELL JY & AMMER J (1993). “What moves the stock and bond markets? A variance decomposition for long-term asset returns.” The Journal of Finance, 48(1):3–37.
• CAMPBELL, J. Y., & SHİLLER, R. J. (1988). “Stock prices, earnings, and expected dividends”, The Journal of Finance, 43(3), 661-676. COGLEY T. & T.J. SARGENT (2005). “Drifts and volatilities: Monetary policies and outcomes in the post WWII US.” Review of Economic Dynamics, 8 (2005), 262-302.
• DORNBUSCH, R. & FİSCHER, S. (1980). Exchange Rates and the Current Account. American Economic Review 70 (5), 960-971.
• ERKAN S. (2014) Makroekonomik Değişkenlerin, BİST-30 Endeksinde İşlem Gören Hisse Senedi Getirileri Üzerindeki Etkilerinin Arbitraj Fiyatlama Modeli Kullanarak Belirlenmesi. İstanbul Üniversitesi İşletme Fakültesi Dergisi, 43(2), 271-292
• EYÜBOĞLU S. & EYÜBOĞLU K. (2018).“Borsa İstanbul Sektör Endeksleri İle Döviz Kurları Arasındaki İlişkilerin İncelenmesi: ARDL Modeli”. Ömer Halis Demir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi.11(1), 8-28
• FAMA, E.F. (1981). “Stock returns, real activity, inflation and Money.” American Economic Review, Issue 71, 545-565.
• FELDSTEIN M. (1980). “Inflation and the stock market.” The American Economic Review, 70 (5), 839-847
• FISHER, I. (1930). The Theory of Interest. New York: Macmillan.
• FRANKEL, J. (1983). “Monetary and portfolio balance models of exchange rate determination”, In Economic Interdependence and Flexible Exchange Rates, Edited by J. Bhandari and B. Putnam, Cambridge (MIT Press), 84–114.
• GHAZALİ, M. F., Ismail, W., YASOA, M.R. & LAJUNİ N. (2008). “Bivariate causality between exchange rates and stock prices in Malaysia”. The International Journal of Business and Finance Research, 2(1), 53-59.
• GÖGÜL, P. & YAMAN SONGUR, D. (2018). “Hisse Senedi Fiyatları ve Döviz Kuru Oynaklığı Arasındaki İlişki” International Social Sciences and Education Conference (ISSEC 2018), Genişletilmiş Özet Bildiri, 12-14. http://www.inesegconferences.org/issec/wp-content/uploads/2018/12/ISSEC%20v1-2.pdf GRANGER, C. W. & YOON, G. (2002). “Hidden Cointegration. U Of California”, Economics Working Paper, 2002-02.
• HACKER, R. S. & HATEMİ-J, A. (2006). “Tests For Causality Between İntegrated Variables Using Asymptotic And Bootstrap Distributions: Theory And Application.” Applied Economics, 38(13), 1489-1500.
• HATEMİ-J, A. (2012). “Asymmetric Causality Tests With An Application.” Empirical Economics, 43(1), 447-456.
• HUANG W., MOLLICK A.V. & NGUYEN K.H. (2016). “US stock markets and the role of real interest rates”. The Quarterly Review of Economics and Finance, 59, 231–242.
• KUWORNU, J. K. M. & OWUSU-NANTWI V.(2011). "Macroeconomic Variables and Stock Market Returns: Full Information Maximum Likelihood Estimation.” Research Journal of Finance and Accounting, Vol 2, No 4.
• LAOPODIS NT (2013). “Monetary policy and stock market dynamics across monetary regimes.” Journal of International Money Finance 33, 381–406.
• LEAN, H. H., NARAYAN, P. & SMYTH, R. (2011). “Exchange rate and stock price interaction in major Asian markets: Evidence for individual countries and panels allowing for structural breaks”. The Singapore Economic Review, 56(02), 255-277.
• MA, Christopher K., KAO & G. Wenchi (1990), “On the Exchange Rate Changes and Stock Price Reactions,” Journal of Business and Accounting, 17(3), 441-450.
• MISHKIN F. (2006). The Economics of Money, Banking and Financial Markets,(11th Edition) The Pearson Series in Economics. Pearson Education. 8.th E. New York.
• QUAYYUM, A. & KEMAL, A. R. (2006), “Volatility Spillovers between the Stock Market and the Foreign Exchange Market in Pakistan,” MPRA, No. 1715.
• ÖZÇİÇEK, Ö. (1997). “Türkiye’de döviz kuru getirisi ve hisse senedi endeks getirileri oynaklıkları arası simetrik ve asimetrik ilişki.” İMKB Dergisi, 10(37), 1-10.
• ÖZER, A., KAYA A. & ÖZER N. (2011). “Hisse Senedi Fiyatları ile Makroekonomik Değişkenlerin Etkileşimi” Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 26(1), 163-182.
• ÖZMEN, M. (2007). “Farklı döviz kuru rejimleri altında hisse senetleri fiyatları ile döviz kurları arasındaki ilişkinin ekonometrik analizi”. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 16(1) 519-538.
• PHILLIPS, P.C.B. & P. PERRON (1988). “Testing for a unit root in time series regression.” Biometrika, 75, 335-346.
• SARGENT T.J.(1999). The conquest of American inflation. Princeton University Press, Princeton.
• SAYILGAN, G. & SÜSLÜ, C. (2011). “Makroekonomik faktörlerin hisse senedi getirilerine etkisi: Türkiye ve gelişmekte olan piyasalar üzerine bir inceleme.” BDDK Bankacılık ve Finansal Piyasalar, 5(1), 73-96. SENSOY, A. & SOBACİ, C. (2014). “Effects of volatility shocks on the dynamic linkages between exchange rate, interest rate and the stock market: The case of Turkey”. Economic Modelling, 43, 448-457.
• ŠİMÁKOVÁ, J. (2017). The Impact of Exchange Rate Movements on Firm Value in Viseg‑ rad Countries,” Acta Universitatis Agriculturae et Silviculturae Mendelianae Brun‑ ensis”, Mendel University in Brno, Brno, Vol. 65, No. 6.
• THORBECKE, W. (1997). “On stock market returns and monetary policy.” J Finance, 52(2):635–654.
• TURSOY T. (2019). “The İnteraction Between Stock Prices And İnterest Rates İn Turkey: Empirical Evidence From ARDL Bounds Test Cointegration.” Financial Innovation. 5(7). https://jfin-swufe.springeropen.com/articles/10.1186/s40854-019-0124-6
• VOLCAREL J.V.(2012). “The dynamic adjustments of stock prices to inflation disturbances” Journal of Economics and Business. 64 (2),117-144.
• YANG, S. & DOONG, S. (2004), “Price and Volatility Spillovers between Stock Prices and Exchange Rates: Empirical Evidence from the G-7 Countries,” International Journal of Business and Economics, 3(2), 139-153.