Ebru TOPCU,

BİLEŞİK ÖNCÜ GÖSTERGELER İLE HİSSE SENEDİ PİYASALARI ARASINDAKİ İLİŞKİ: TÜRKİYE ÖRNEĞİ

Farklı makroekonomik değişkenlerin hisse senedi piyasası üzerindeki etkilerinin incelendiği geniş literatürün aksine, bu çalışmada Türkiye’de bileşik öncü göstergeler ile hisse senedi fiyatları arasındaki eşbütünleşme ve nedensellik ilişkisi araştırılmaktadır. Bu doğrultuda aylık veriler kullanılmış olup; analiz periyodu 2011: Ocak-2014: Şubat dönemini kapsamaktadır. Ampirik analizler sonucu elde edilen bulgular Türkiye’de farklı analiz yöntemlerinin birbiriyle tutarlı sonuçlar ürettiğini göstermektedir. Spesifik olarak, öncü göstergeler ile hisse senedi piyasası arasında uzun dönemli bir ilişki bulunmadığı; öncü göstergelerden hisse senedi piyasasına doğru tek yönlü nedensellik bağı bulunduğu tespit edilmiştir.

Anahtar Kelimeler:

bileşik öncü göstergeler, hisse senedi piyasası, Türkiye, eşbütünleşme, nedensellik

BİLEŞİK ÖNCÜ GÖSTERGELER İLE HİSSE SENEDİ PİYASALARI ARASINDAKİ İLİŞKİ: TÜRKİYE ÖRNEĞİ

Keywords:

composite leading indicators, stock market, Turkey, cointegration, causality,

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