NASIF ÖZKAN

5429

Türkiye'de Enflasyon, Hisse Senedi Getirileri ve Reel İktisadi Faaliyetler Arasındaki İlişkilerin İncelenmesi

Bu çalışmada, hisse senedi getirileri ile enflasyon arasındaki ilişki, TCMB Beklenti Anketi’nde yer alan beklenen enflasyon verileri kullanılarak Fisher hipotezi ve temsil etkisi hipotezi kapsamında incelenmektedir. Çalışmanın bulguları, reel hisse senedi getirileri ile enflasyon arasında negatif bir ilişki olduğunu ve bu negatif ilişkinin beklenmeyen enflasyon bileşeninden kaynakladığını ortaya koymaktadır. Buradan hareketle Fisher hipotezi ile tutarlı bir şekilde, Borsa İstanbul’un beklenen enflasyon bileşenine karşı etkin bir koruma sağladığı söylenebilir. Temsil etkisi hipotezine ilişkin bulgular ise, enflasyon ve reel iktisadi faaliyetler arasında negatif bir ilişki olduğunu açıkça göstermezken; reel iktisadi faaliyetler ile reel hisse senedi getirileri arasında pozitif bir ilişki olduğunu göstermektedir. Bu nedenle bulgular, temsil etkisi hipotezini tüm yönleriyle desteklememektedir.

An Investigation of The Relationship Between Inflation, Stock Returns and Real Economic Activity In Turkey

In this study, the relationship between stock returns and inflation is examined by using expected inflation data from the CBRT’s Survey of Expectations within the context of Fisher’s hypothesis and the proxy effect hypothesis. The findings of the study reveal that there is a negative relationship between real stock returns and inflation and this negative relationship arises from an unexpected component of inflation. Thus consistent with the Fisher hypothesis, it can be said that Borsa Istanbul may provide effective hedge against an expected component of inflation. The findings for the proxy effect hypothesis do not demonstrably indicate that a negative relationship between inflation and real economic activity while they indicate that there is a positive relationship between real economic activity and real stock returns. Therefore, the findings do not fully support the proxy effect hypothesis.
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Bankacılar-Cover
  • ISSN: 1300-0217
  • Başlangıç: 1990
  • Yayıncı: Türkiye Bankalar Birliği
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