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DÖVİZ KURU VE HİSSE SENEDİ FİYATLARI GEÇİŞKENLİĞİ: BİST100 VE ALT ENDEKSLER ÜZERİNE BİR UYGULAMA

Yıl 2023, Cilt: 24 Sayı: 3, 302 - 316, 31.07.2023

İlyas Kays İmamoğlu Rahman Aydın

https://doi.org/10.37880/cumuiibf.1235466

Öz

Hisse senedi piyasası ile döviz kurları arasındaki ilişki özellikle gelişmekte olan ülkeler için araştırılmaktadır. Çünkü bu ülkeler ekonomik büyümeleri için dış tasarruflara ihtiyaç duymaktadırlar. Ayrıca yabancı fonlar da bu piyasalarda var olan fırsatları değerlendirmek üzere farklı sektörlere yatırım yapmayı tercih etmektedirler. Bu sektörlerden biri de hisse senedi piyasasıdır. Hisse senedi piyasasına gelen fonların nedeni ise literatürde farklı teoriler yardımı ile açıklanmaktadır. Bu teoriler, özellikle gelişmekte olan ülke piyasaları üzerine geçerliliği incelenmektedir. Bu kapsamda çalışmada Türkiye’de hisse senedi piyasaları arasında yer alan BİST100, BİST Mali, BİST Hizmet, BİST Sınai ve BİST Teknoloji endeksleri ile döviz kuru arasındaki ilişki araştırılmaktadır. Bu amaçla çalışmada beş farklı model kullanılmış ve bu modelleri tahmin etmek üzere ARDL yöntemi tercih edilmiştir. ARDL yönteminden elde edilen bulgulara göre BİST100, BİST Mali ve BİST Hizmet endekslerinde geleneksel teorilerin geçerli olduğu belirlenmiştir. BİST Teknoloji endeksinde ise portföy teorisinin varlığı tespit edilmiştir. Son olarak BİST Sınai endeksinde ise döviz kuru ile hisse senedi arasında bir ilişki olmadığı sonucuna ulaşılmıştır.

Anahtar Kelimeler

Hisse Senedi Piyasası Uluslararası Finans Döviz Kuru ARDL Modeli

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EXCHANGE RATE AND SHARE PRICES PASSAGE: AN APPLICATION ON BIST100 AND SUB-INDICES

Yıl 2023, Cilt: 24 Sayı: 3, 302 - 316, 31.07.2023

İlyas Kays İmamoğlu Rahman Aydın

https://doi.org/10.37880/cumuiibf.1235466

Öz

The relationship between the stock market and exchange rates is being investigated, especially for developing countries. Because these countries need foreign savings for their economic growth. In addition, foreign funds prefer to invest in different sectors to evaluate the opportunities available in these markets. One of these sectors is the stock market. The reason for the funds coming to the stock market is explained with the help of different theories in the literature. The validity of these theories, especially in emerging market markets, is examined. In this context, the relationship between the BIST100, BIST Financial, BIST Service, BIST Industrial and BIST Technology indices, which are among the stock markets in Turkey, and the exchange rate are investigated in this study. For this purpose, five different models were used in the research, and the ARDL method was preferred to estimate these models. According to the findings obtained from the ARDL method, it has been determined that traditional theories are valid in BIST100, BIST Financial and BIST Service indices. The existence of portfolio theory was selected in the BIST Technology index. Finally, it has been concluded that there is no relationship between the exchange rate and the stock in the BIST Industrial index.

Anahtar Kelimeler

ARDL Modeli Stock Market International Finance Exchange Rate

Kaynakça

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Yıl 2023, Cilt: 24 Sayı: 3, 302 - 316, 31.07.2023

İlyas Kays İmamoğlu Rahman Aydın

https://doi.org/10.37880/cumuiibf.1235466

Öz

Anahtar Kelimeler

Hisse Senedi Piyasası Uluslararası Finans Döviz Kuru ARDL Modeli Stock Market International Finance Exchange Rate ARDL Model

Kaynakça

  • Abdalla, I. S., & Murinde, V. (1997). Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines. Applied financial economics, 7(1), 25-35. https://doi.org/10.1080/096031097333826
  • Açıkalın, S., Aktaş, R., & Ünal, S. (2008). Hisse senedi piyasaları ile makroekonomik değişkenler arasındaki ilişkiler: İstanbul Menkul Kıymetler Borsası'nın ampirik bir analizi. Yatırım Yönetimi ve Finansal Yenilikler, 5 (1), 8-16.
  • Ajayi, R.A., Friedman, J., & Mehdian, A.M. (1998), On the relationship between Stock Returns and Exchange Rates: Test of Granger Causality. Global Finance Journal, 9(2), 241-251.
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  • Kendirli, S. & Çankaya, M. (2016). Dolar kuru’nun borsa İstanbul-30 endeksi üzerindeki etkisi ve aralarındaki nedensellik ilişkisinin incelenmesi. Manisa Celal Bayar Üniversitesi Sosyal Bilimler Dergisi, 14 (2), 307-324. https://dergipark.org.tr/en/download/article-file/224582
  • Khan, R. E. A., & Ali, R. (2015). Causality analysis of volatility in exchange rate and stock market prices: A case study of Pakistan. Asian Economic and Financial Review, 5(5), 805-815. https://doi.org/10.18488/journal.aefr/2015.5.5/102.5.805.815
  • Kılıç, E. & Naimoğlu, M. (2022). Türkiye’de döviz kuru ve BIST 100 İlişkisi: Zamanlarda değişen asimetrik nedensellik analizi. Karamanoğlu Mehmetbey Üniversitesi Sosyal Ve Ekonomik Araştırmalar Dergisi, 24(42), 1-11. https://dergipark.org.tr/en/pub/kmusekad/issue/70427/1001827
  • Kılıç, E., & Uçaktürk, M. (2021). Alternatif yatırım araçlarının menkul kıymetler borsası ile etkileşimi. Bingöl Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 21, 499-517. https://doi.org/10.29029/busbed.735972
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  • Lin, C. H. (2012). The comovement between exchange rates and stock prices in the Asian emerging markets. International Review of Economics & Finance, 22(1), 161-172. https://doi.org/10.1016/j.iref.2011.09.006
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  • Malik, F. (2021). Volatility spillover between exchange rate and stock returns under volatility shifts. The Quarterly Review of Economics and Finance, 80, 605-613. https://doi.org/10.1016/j.qref.2021.04.011
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  • Morales-Zumaquero, A., &Sosvilla-Rivero, S. (2018). Volatility spillovers between foreign exchange and stock markets in industrialized countries. The Quarterly Review of Economics and Finance, 70,121-136. https://doi.org/10.1016/j.qref.2018.04.013
  • Mun, K. (2012). The joint response of stock and foreign exchange markets to macroeconomic surprises: Using US and Japanese data. Journal of Banking & Finance, 36, 383-394. https://doi.org/10.1016/j.jbankfin.2011.07.014
  • Narayan, P. K., Devpura, N., & Wang, H. (2020). Japanese currency and stock market-What happened during the COVID-19 pandemic?. Economic Analysis and Policy, 68, 191-198. https://doi.org/10.1016/j.eap.2020.09.014
  • Nusair, S. A., & Olson, D. (2022). Dynamic relationship between exchange rates and stock prices for the G7 countries: A nonlinear ARDL approach. Journal of International Financial Markets, Institutions and Money, 78, May 2022, 101541. https://doi.org/10.1016/j.intfin.2022.101541
  • Olugbenga, A. A. (2012). Exchange rate volatility and stock market behaviour: The Nigerian experience. European Journal of Business and Management, 4(5), 88-96. https://core.ac.uk/download/pdf/234629265.pdf
  • Özçiçek, Ö. (2007). Türkiye’de döviz kuru getirisi ile hisse senedi getirileri oynaklıkları arası simetrik ve asimetrik ilişki, İMKB Dergisi, 10(37), 1-11. https://search.trdizin.gov.tr/yayin/detay/75049/
  • 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. https://dergipark.org.tr/en/pub/cusosbil/issue/4376/59962
  • Özmen, M., Karlılar, S. & Karlılar, G. (2017). Türkiye için döviz kuru, faiz ve enflasyonun hisse senedi getirileri üzerine etkileri. Çukurova Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 21 (1), 107-120. https://dergipark.org.tr/en/pub/cuiibfd/issue/34826/387702
  • Pan, M. S., Fok, R. C. W., & Liu, Y. A. (2007). Dynamic linkages between exchange rates and stock prices: Evidence from East Asian markets. International Review of Economics & Finance, 16(4), 503-520. https://doi.org/10.1016/j.iref.2005.09.003
  • Pekkaya, M. & Bayramoğlu, M. F. (2008). Hisse senedi fiyatları ve döviz kuru arasındaki nedensellik ilişkisi: YTL/USD, İMKB 100 ve S&P 500 üzerine bir uygulama. Muhasebe ve Finansman Dergisi, (38), 163-176. https://dergipark.org.tr/en/pub/mufad/issue/35612/395707
  • Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289-326.
  • Phylaktis, K., & Ravazzolo, F. (2005). Stock prices and exchange rate dynamics. Journal of international Money and Finance, 24(7), 1031-1053. https://doi.org/10.1016/j.jimonfin.2005.08.001
  • Rai, K. & Garg, B. (2022). Dynamic correlations and volatility spillovers between stock price and exchange rate in BRIICS economies: evidence from the COVID-19 outbreak period, Applied Economics Letters, 29(8), 738-745, https://doi.org/10.1080/13504851.2021.1884835
  • Salisu, A. A., & Ndako, U. B. (2018). Modelling stock price–exchange rate nexus in OECD countries: A new perspective. Economic Modelling, 74, 105-123. https://doi.org/10.1016/j.econmod.2018.05.010
  • Savaş, İ., & Can, İ. (2011). Euro- dolar paritesi ve reel döviz kurunun IMKB 100 endeksine etkisi. Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 6(1), 323- 339. https://dergipark.org.tr/tr/pub/oguiibf/issue/56488/785436
  • Sertkaya, B. & Songur, M. (2021). Türkiye’de hisse senedi fiyatları ile reel döviz kuru arasındaki ilişki: Simetrik ve asimetrik nedensellik analizi. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 14 (2), 396-412. https://doi.org/10.25287/ohuiibf.703751
  • Sichoongwe, K. (2016). Effects of exchange rate volatility on the stock market: The Zambian experience. Journal of Economics and Sustainable Development, 7(4), 114-119 https://core.ac.uk/download/pdf/234647415.pdf
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  • Suriani, S. , Kumar, M. D. , Jamil, F. & Muneer, S. (2015). Impact of Exchange Rate on Stock Market . International Journal of Economics and Financial Issues , 5 (1) , 385-388 . https://dergipark.org.tr/en/pub/ijefi/issue/31972/352308?publisher=http-www-cag-edu-tr-ilhan-ozturk
  • Tai, C. S. (2000). Time-varying market, interest rate, and exchange rate risk premia in the US commercial bank stock returns. Journal of Multinational Financial Management, 10(3-4), 397-420. https://doi.org/10.1016/S1042-444X(00)00031-1
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  • Uğur, A. & Bingöl, N. (2020). Hisse senedi ve döviz kuru ilişkisinin yönü: Türkiye üzerine bir araştırma. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 13 (4) , 624-636. https://dergipark.org.tr/en/pub/ohuiibf/issue/57037/605362
  • Uğur, A. & Bingöl, N. (2020). Hisse senedi ve döviz kuru ilişkisinin yönü: Türkiye üzerine bir araştırma. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 13 (4) , 624-636. https://dergipark.org.tr/en/pub/ohceylanuiibf/issue/57037/605362
  • Xie, Z., Chen, S. W., & Wu, A. C. (2020). The foreign exchange and stock market nexus: New international evidence. International Review of Economics & Finance, 67, 240-266. https://doi.org/10.1016/j.iref.2020.01.001
  • Yau, H. Y., & Nieh, C. C. (2006). Interrelationships among stock prices of Taiwan and Japan and NTD/Yen exchange rate. Journal of Asian Economics, 17(3), 535-552. https://doi.org/10.1016/j.asieco.2006.04.006
  • Yau, H. Y., & Nieh, C. C. (2009). Testing for cointegration with threshold effect between stock prices and exchange rates in Japan and Taiwan. Japan and the World Economy, 21(3), 292-300. https://doi.org/10.1016/j.japwor.2008.09.001
  • Yuce, A,. & Sımga-Mugan, C. (1996). An investigation of the short- and long-term relationships between Turkish financial markets. The European Journal of Finance, 2, pp. 305-317. https://doi.org/10.1080/13518479600000011
  • Zhao, H. (2010). Dynamic relationship between exchange rate and stock price: Evidence from China. Research in International Business and Finance, 24(2), 103-112. https://doi.org/10.1016/j.ribaf.2009.09.001
  • Zolfaghari, M., & Sahabi, B.(2017). Impact of foreign exchange rate on oil companies risk in stock market: A Markov-switching approach. Journal of Computational and Applied Mathematics, 317, 274-289. https://doi.org/10.1016/j.cam.2016.10.012
  • Zubair, A. (2013). Causal relationship between stock market index and exchange rate: Evidence from Nigeria. CBN journal of Applied Statistics, 4(2), 87-110. http://hdl.handle.net/10419/142080
Toplam 87 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Ekonomi
Bölüm Makaleler
Yazarlar

İlyas Kays İmamoğlu 0000-0002-7732-4148

Rahman Aydın 0000-0003-0440-7468

Erken Görünüm Tarihi 28 Temmuz 2023
Yayımlanma Tarihi 31 Temmuz 2023
Gönderilme Tarihi 15 Ocak 2023
Yayımlandığı Sayı Yıl 2023Cilt: 24 Sayı: 3

Kaynak Göster

APA İmamoğlu, İ. K., & Aydın, R. (2023). DÖVİZ KURU VE HİSSE SENEDİ FİYATLARI GEÇİŞKENLİĞİ: BİST100 VE ALT ENDEKSLER ÜZERİNE BİR UYGULAMA. Cumhuriyet Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 24(3), 302-316. https://doi.org/10.37880/cumuiibf.1235466
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