FINANCIAL MARKET AND ASYMMETRIC STRUCTURE: AN EMPIRICAL APPLICATION ON TURKISH STOCK MARKET

Yıl 2025, Cilt: 27 Sayı: IERFM 2025 Özel Sayı, 123 - 148, 14.03.2025

Emre Kılıç , Şevket Pazarcı , Elif Hilal Nazlıoğlu , Asim Kar

https://doi.org/10.26468/trakyasobed.1515386

Öz

In this study, the relationship between Borsa Istanbul benchmark index (BIST100) and selected macroeconomic variables for the period 2014:01-2024:01 is analysed in non-linear form. In the model, BIST100 is taken as the dependent variable and deposit interest rate (INT), industrial production index (IPI), M2 money supply (M2) and volatility index (VIX) are considered as explanatory variables. The relationship between BIST100 and the explanatory variables is analysed with the non-linear ARDL (NARDL) approach, which allows the asymmetric structure to be taken into account. According to the empirical findings, there is a long-run cointegration relationship between BIST100 index and explanatory variables (INT, IPI, M2 and VIX). When the coefficient results are analysed, increases in M2 positively affect the BIST100 index. Increases in INT lead to a decrease in BIST100 index and this effect is statistically significant. Positive shocks in IPI, which shows an asymmetric effect, have a statistically significant effect on BIST100, while negative shocks have a downward effect on BIST100 but are statistically insignificant. The effect of negative shocks in VIX, another asymmetric variable, on BIST100 is statistically insignificant. Positive shocks, on the other hand, have a downward effect on BIST100 as expected. These findings make it possible for researchers who will forecast the BIST100 to make inferences about the future movements of the index by looking at macroeconomic variables.

Anahtar Kelimeler

Stock market, macroeconomic indicators, asymmetric relationship, NARDL

Finansal Piyasalar ve Asimetrik Yapı: Türk Hisse Senedi Piyasası Üzerine Ampirik Bir Uygulama

Öz

Bu çalışmada 2014:01-2024:01 dönemi için Borsa İstanbul gösterge endeksi (BIST100) ile seçili makroekonomik arasındaki ilişki doğrusal olmayan formda incelenmektedir. Modelde bağımlı değişken olarak BIST100, açıklayıcı değişkenler olarak da mevduat faiz oranı (INT), sanayi üretim endeksi (IPI), M2 para arzı (M2) ve oynaklık endeksi (VIX) dikkate alınmaktadır. BIST100 ve açıklayıcı değişkenler arasındaki ilişki, asimetrik yapının dikkate alınmasına olanak sağlayan doğrusal olmayan ARDL (NARDL) yaklaşımı ile analiz edilmektedir. Elde edilen ampirik bulgulara göre BIST100 endeksi ile açıklayıcı değişkenler (INT, IPI, M2 ve VIX) arasında uzun dönemde eşbütünleşme ilişkisi bulunmaktadır. Katsayı sonuçları incelendiğinde M2’de meydana gelen artışlar BIST100 endeksini pozitif etkilemektedir. INT’de meydana gelen artışlar ise BIST100 endeksinde azalışa yol açmakta ve bu etki istatistiksel olarak anlamlı olmaktadır. Asimetrik etki gösteren IPI’da meydana gelen pozitif şoklar BIST100 üzerinde istatistiksel olarak anlamlı bir etkiye sahipken negatif şoklar ise BIST100’ü düşürücü etki doğurmakla birlikte istatistiksel olarak anlamsız bulunmaktadır. Asimetrik etki gösteren bir başka değişken olan VIX’deki negatif şokların BIST100 üzerindeki etkisi istatistiksel olarak anlamsız bulunmaktadır. Pozitif şoklar ise beklentiler dahilinde BIST100’ü düşürücü etkide bulunmaktadır. Bu bulgular, BIST100’ü tahmin edecek araştırmacılar için makroekonomik değişkenlere bakarak, endeksin ileri dönemdeki hareketleri hakkında çıkarsamalar yapmasını mümkün kılmaktadır.

Anahtar Kelimeler

Hisse senedi piyasası, Makroekonomik göstergeler, Asimetrik ilişki, NARDL

Kaynakça

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