FARKLI DÖVİZ KURU REJİMLERİ ALTINDA HİSSE SENETLERİ FİYATLARI İLE DÖVİZ KURLARI ARASINDAKİ İLİŞKİNİN EKONOMETRİK ANALİZİ

Bu çalışmanın amacı, Türkiye için hisse senedi fiyatları ile döviz kurları arasındaki ilişkinin varlığını farklı döviz kuru rejimleri altında incelemektir. İki değişken arasındaki ilişkinin varlığı, sermaye hareketlerinin serbestleşmesi sonrası dönem için, 1989-2006 yılları arası günlük frekansta veriler kullanılarak analiz edilmiştir. Birim kök test sonuçları her iki değişkenin de seviyede durağan olmadığını göstermiştir. Johansen eşbütünleşme test sonuçları, 2000 yılı analiz dışında bırakıldığı alt dönem sonuçları haricinde, değişkenler arasında bir uzun dönem ilişkisinin varlığını ortaya koymaktadır. Toda Yamamoto nedensellik test sonuçlar ise, 1989-1994 ve 1994-1999 dönemleri dışında, değişkenler arasında çift yönlü bir nedenselliğin varlığını ortaya koymuştur. Kriz öncesi ve 2000 yılı analiz dışında bırakıldığında ise, değişkenler arasında tek yönlü bir nedensellik ilişkisi görülmüştür

Farklı Döviz Kuru Rejimleri Altında Hisse Senetleri Fiyatları ile Döviz Kurları Arasındaki ilişkinin Ekonometrik Analizi

The Econometrics Analysis of the Relationship between Stock Prices and Exchange Rates under Different Exchange Rate Regimes : The purpose of this paper is to analyse the relationship between stock prices and exchange rates for Turkish Economy under alternative exchange rate regimes The relationship between these two variables are analysed for the financial liberalisation period 1989 2006 by using daily observations The unit root tests show that both variables are non stationary in levels Johansen cointegration test reveals a long run relationship between stock prices and exchange rates when the observations for the year 2000 is excluded from the analysis Toda and Yamamoto causality test prove a bi directional causality between stock prices and exchange rates except for the periods between 1989 1994 and 1994 1999 When the pre crises period and the data for the year 2000 are excluded the direction of causality from exchange rates to stock prices Key Words: Stock Prices Exchange Rates Exchange Rate Regimes Toda Yamamoto Causality Cointegration ÖZET Bu çalışmanın amacı Türkiye için hisse senedi fiyatları ile döviz kurları arasındaki ilişkinin varlığını farklı döviz kuru rejimleri altında incelemektir İki değişken arasındaki ilişkinin varlığı sermaye hareketlerinin serbestleşmesi sonrası dönem için 1989 2006 yılları arası günlük frekansta veriler kullanılarak analiz edilmiştir Birim kök test sonuçları her iki değişkenin de seviyede durağan olmadığını göstermiştir Johansen eşbütünleşme test sonuçları 2000 yılı analiz dışında bırakıldığı alt dönem sonuçları haricinde değişkenler arasında bir uzun dönem ilişkisinin varlığını ortaya koymaktadır Toda Yamamoto nedensellik test sonuçlar ise 1989 1994 ve 1994 1999 dönemleri dışında değişkenler arasında çift yönlü bir nedenselliğin varlığını ortaya koymuştur Kriz öncesi ve 2000 yılı analiz dışında bırakıldığında ise değişkenler arasında tek yönlü bir nedensellik ilişkisi görülmüştür Anahtar Kelimeler: Hisse Senedi Fiyatları Döviz Kurları Döviz Kuru Rejimleri Toda Yamamoto Nedensellik Eşbütünleşim

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