ENFLASYONUN HİSSE SENEDİ GETİRİLERİNE ETKİSi: İMKB 100 ENDEKSİ ÜZERİNE BİR UYGULAMA

Öz Hisse senedi getirileri ve enflasyon arasındaki iliski finans literatüründepek çok arastırmaya konu olmustur. Bu iliski hakkında değisken etkisi hipotezi,iki değisken arasında iliskinin pozitif olabileceğini ileri süren Fisher tarafındanileri sürülmüstür. Diğer arastırmacılar bu iki değisken arasında negatif bir iliskibulmuslardır. Bu makalede Türkiye’de hisse senedi getirileri ve enflasyonarasındaki iliski incelenmistir. Çalısmada 1990–2007 yılları arası verilerkullanılmıstır. Zaman serisi analizi sonuçlarına göre hisse senedi getirileri veenflasyon arasında pozitif iliski gözlenmistir.Anahtar Kelimeler: Hisse senedi getirileri, enflasyon Abstract : The relationship between inflation and stock returns is one of the mostinterested issue in finance literature. About this relationship, “Proxy-effecthypothesis” proposed by Fisher states that the relationship between these twovariables must be positive. But other researches found a negative relationship. Inthis paper the relationship between inflatiın and stock returns in Türkiye isexaminated. In this study 1990-2007 data was used. Time series analysis resultsshow that there is a positive relationship between stock returns and inflation.Key Word: Stock returns, inflations

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