Erman ERBAYKAL, H. Aydın OKUYAN

Hisse Senedi Fiyatları ile Döviz Kuru İlişkisi: Gelişmekte Olan Ülkeler Üzerine Ampirik Bir Uygulama

Bu çalışmanın amacı, gelişmekte olan ülkelerde hisse senedi fiyatları ile döviz kurları arasındaki ilişkiyi ortaya koyarak geleneksel yaklaşım veya portföy dengesi yaklaşımından hangisinin geçerli oldu¤unu belirlemektir. Bu amaçla, 13 gelişmekte olan ülkede döviz kuru ve hisse senedi fiyatları arasındaki eşbütünleşme (Pesaran vd., 2001) ve nedensellik (Toda Yamamoto, 1995) ilişkisi aylık veriler kullanılarak incelenmiştir. Eşbütünleşme ilişkisi bulunan 6 ülkede uzun dönemde değişkenler arasında negatif bir ilişki tespit edilmiştir. Nedensellik ilişkisi bulunan 8 ülkeden 5’inde hisse senedi fiyatlarından döviz kuruna doğru, 3’ünde ise çift yönlü nedensellik ilişkisine rastlanmıştır. Bu sonuçlar, gelişmekte olan ülkelerde “portföy dengesi yaklaşımı”nın geçerli olabileceğini ortaya koymaktadır.

The Relationship Between Stock Prices and Exchange Rates: An Empirical Study on Emerging Markets

This study aims to determine whether the traditional or portfolio approach is relevant for developing countries, by using the relationship between stock prices and exchange rates. For this purpose, cointegration (Pesaran et al., 2001) and causality tests (Toda Yamamoto, 1995) are used to examine the relationship between stock prices and exchange rates using monthly data from 13 developing countries. There is a negative relationship between the variables in the long-run, in 6 countries. There is a casual relationship in 8 countries, for 5 countries there is uni-directional causality running from stock prices to exchange rate, for 3 countries there is bi-directional causality between the variables. These findings can be interpreted as the relevance of the portfolio approach in the developing countries examined.

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