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

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