Yıl 2020, Cilt 27 , Sayı 3, Sayfalar 573 - 586 2020-12-25

The Relationship Between Stock Prices and the Real Exchange Rate Index in BRICS Countries: Symmetric and Asymmetric Causality Analysis
BRICS Ülkelerinde Hisse Senedi Fiyatları ile Reel Döviz Kuru Endeksi Arasındaki İlişki: Simetrik ve Asimetrik Nedensellik Analizi

Mehmet SONGUR [1] , Burak SERTKAYA [2]


This study investigates the causality relationship between the real exchange rate index and stock prices in Brazil, Russia, India, China, and South Africa (BRICS) countries over the period from March 2003 to June 2018. The relationship between the variables was made with symmetrical and asymmetrical causality tests within the framework of traditional approach and portfolio balance approach. Accordingly, Hacker-Hatemi-J (2006) test was used for symmetric analysis and Hatemi-J (2012) causality test was used for asymmetric analysis. According to the results of the analysis, the causality relationship between the mentioned variables is different in BRICS countries. The findings do not provide definitive evidence in favor of the traditional approach or portfolio balance approach. Also, it can be stated that there are noisy transactions in these two markets
Key Words: BRICS, Stock Prices, Real Effective Exchange Rate, Symmetric and Asymmetric Causality Analysis
JEL Classification: C32, F31, G10, G15
Bu çalışma, Brezilya, Rusya, Hindistan, Çin ve Güney Afrika (BRICS) ülkelerinde reel döviz kuru endeksi ile hisse senedi fiyatları arasındaki nedenselliği Mart 2003- Haziran 2018 dönemi boyunca araştırmaktadır. Değişkenler arasındaki ilişki geleneksel yaklaşım ve portföy dengesi yaklaşımı çerçevesinde simetrik ve asimetrik nedensellik testleri ile yapılmıştır. Buna göre, simetrik analiz için Hacker-Hatemi-J (2006) testi ve asimetrik analiz için ise Hatemi-J (2012) nedensellik testi kullanılmıştır. Analiz sonuçlarına göre BRICS ülkelerinde söz konusu değişkenker arasındaki nedensellik ilişkisi farklıdır. Elde edilen bulgular, geleneksel yaklaşım ya da portföy dengesi yaklaşımı lehine kesin bir kanıt sağlamamaktadır. Ayrıca söz konusu iki piyasada gürültücü işlemlerin olduğu ifade edilebilir.
Anahtar Kelimeler: BRICS, Hisse Senedi Fiyatları, Reel Efektif Döviz Kuru, Simetrik ve Asimetrik Nedensellik Analizi
JEL Sınıflandırması: C32, F31, G10, G15
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Birincil Dil en
Konular Beşeri Bilimler, Ortak Disiplinler
Bölüm Makaleler
Yazarlar

Orcid: 0000-0003-4763-9314
Yazar: Mehmet SONGUR
Kurum: DİCLE ÜNİVERSİTESİ
Ülke: Turkey


Orcid: 0000-0001-9551-3439
Yazar: Burak SERTKAYA (Sorumlu Yazar)
Kurum: HİTİT ÜNİVERSİTESİ
Ülke: Turkey


Tarihler

Yayımlanma Tarihi : 25 Aralık 2020

APA Songur, M , Sertkaya, B . (2020). The Relationship Between Stock Prices and the Real Exchange Rate Index in BRICS Countries: Symmetric and Asymmetric Causality Analysis . Yönetim ve Ekonomi: Celal Bayar Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi , 27 (3) , 573-586 . DOI: 10.18657/yonveek.763848