Melik KAMIŞLI, Fatih TEMIZEL, Mustafa Hasan HAMAD AMEEN

DÖVİZ KURUNUN BORSA ENDEKSLERİ ÜZERİNDEKİ ETKİSİ

Dünyada kullanılan para birimleri arasında Amerikan Doları daha sık kullanılmış ve ulusal para olarak kabul edilmiştir. Bu nedenle uluslararası ticarette de yerini almış, bununla beraber ülkelerin borsa endekslerini de etkilemiştir. Bu çalışmanın amacı BİST-100 endeksi ile döviz kurları arasında kısa dönemde bir ilişki olup olmadığını, VAR modeli ile araştırmaktır. Bu amaçla, USD/TL kuru paritesinin BİST100 endeksine etkisi incelenmiştir. Veri seti olarak 2009 yılının Ocak ayından 2020 yılının Mart ayına kadar aylık veriler kullanılmıştır. Yapılan analiz sonucunda elde edilen bulgulara göre BİST-100 endeksi ile USD/TL kuru arasında tek yönlü nedensellik ilişkisi tespit edilmiştir. Bununla beraber etki-tepki fonksiyonları anlamlı olup her iki değişkenin de birbirlerinden gelen şoklarda negatif tepki verdikleri gözlemlenmiştir.

THE IMPACT OF EXCHANGE RATE ON STOCK MARKET INDICES

The relationship between exchange rate and stock indices has risen many eyebrows so far. These two fundamental financial markets have a significant role in international business all around the globe. Furthermore, exchange rate is one of the most important indicators that rules in the decision-making process in all firms. In order to understand the relationship between the two variables this paper tried to investigate the relationship between exchange rate of USD/TL and BIST-100 index in Turkish stock market. The data have been collected from January 2009 to March 2020 based on monthly data. VAR model is applied in the study to exam the connections between the variables. The findings reveal that there is only a one-way causality between the variables. Nevertheless, the impulse response results show a negative impact from the shocks of each variable to another.

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