MEHMET ŞENTÜRK, Gökçen ÖZKAN SAYAR, Yusuf Ekrem AKBAŞ

EKONOMİK BÜYÜME VE BORSA GETİRİSİ ARASINDAKİ İLİŞKİ: TÜRKİYE ÖRNEĞİ

Finansal gelişme ekonomik kalkınmanın en önemli belirleyicilerinden birisidir. Türkiye’de finansal gelişme 1980’li yılların başında başlamış ve halen de devam etmektedir. Geçen süre içerisinde finansal gelişme ile ekonomik kalkınma arasında ciddi bir etkileşim yaşanagelmiştir. Bu çalışmada, Türkiye’de 1998Q22014Q2 döneminde borsa getirisi ve ekonomik büyüme arasındaki ilişki incelenmiştir. Bu bağlamda, iki değişken arasındaki nedensellik ilişkisini tespit etmek amacıyla Bootstrap tabanlı Toda-Yamamoto ve frekans dağılımı nedensellik testleri uygulanmıştır. Bootstrap tabanlı Toda-Yamamoto nedensellik testi sonuçlarına göre değişkenler arasında nedensellik ilişkisi bulunmamaktadır. Fakat, frekans dağılımı nedensellik testi göstermektedir ki; borsa getirisi kısa dönemde ekonomik büyümenin ve ekonomik büyüme de orta dönemde borsa getirisinin nedenidir

Anahtar Kelimeler:

Finansal Gelişme, Borsa Getirisi, Ekonomik Büyüme, Türkiye

THE RELATIONSHIP BETWEEN ECONOMIC GROWTH AND STOCK RETURNS: AN EXAMPLE FROM TURKEY

Financial development is one of the most important determinants of the economic development. Financial developments in Turkey began in the early 1980s and still have continued. During this period, it has survived a severe interaction between financial development and economic growth. In this study, the causality relationship between stock returns and economic growth in Turkey it was analysed over the period 1998Q2-2014Q2. In this context; firstly, Bootstrapped Toda-Yamamoto and Frequency Domain causality tests were applied in order to understand the causality relationship between the two variables. As a result of the Bootstrapped Toda-Yamamoto causality test results, there is no relation of causality between the variables, but according to Frequency Domain causality test stock returns cause the economic growth in short term and economic growth cause stock returns in medium term.

Keywords:

Financial Development, Stock Returns, Economic Growth, Turkey,

PDF

___

AYDEMIR, O. (2008). Hisse senedi getirileri ve reel sektör arasındaki ilişki ampirik bir çalışma. Afyon Kocatepe University Journal of Economics and Administrative, X(II), ss. 37-55.
BAKER, D., DeLONG, J.B., KRUGMAN, P. (2005). Asset returns and economic growth. Economic Research Division of the Federal Reserve Bank of St. Louis, 36(1), pp. 236- 330.
BASDAS, U., SOYTAS, U. (2009). Do stock returns trigger economic growth? evidence from Turkey. 13.th Annual International Conference on Macroeconomic Analysis and International Finance.
BREITUNG, J., CANDELON, B. (2001). Testing for short and long run causality: the case of the yield spread and economic growth, Discussion Papers 96, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
BREITUNG, J., CANDELON, B. (2006). Testing for short and long-run causality: a frequency domain approach, Journal of Econometrics, 132, pp. 363−378. Central Bank of the Republic of Turkey, evds.tcmb.gov.tr, (Access Date: 01.09.2014).
DALLAS, H., HESS, M.K. (2005). Financial development and stock returns. Journal of International Money and Finance, 24(6), pp. 891-912.
DAVIS, J.H., DIAZ, R.A., COLE, C.W., SHANAHAN, J. (2010). Investing in emerging markets: evaluating the allure of rapid economic growth. Vanguard Research, pp. 1-12.
DAVISON, A. C., HINKLEY, D.V. (1999). Bootstrap methods and their application. Cambridge University Press. Cambridge, UK.
GEWEKE, J. (1982). Measurement of linear dependence and feedback between multiple time series, Journal of American Statistical Association, 77, pp. 304–313.
GOKDENİZ, I., ERDOĞAN, M., KALYUNCU, K. (2003). Finansal piyasaların ekonomik büyümeye etkisi: Türkiye örneği (1989-2002). Journal of Trade and Tourism Education Faculty, ss. 107-117.
GOKCE, A.F. (2013). Asker-sivil ilişkilerinde değişim ve dönüşüm, mağduriyetler ve sonuçlar. Kamu Yönetiminde Değişim ve Güncel Sorunlar, Ed. Eyüp Günay İsbir, ss. 213- 239.
HACKER, R.S., HATEMI-J, A. (2006). Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application. Applied Economics, 38, pp. 1489-1500.
HOSAYA, Y. (1991). The decomposition and measurement of the interdependence between second-order stationary process, Probability Theoryand Related Fields, 88, pp. 429-444.
MADSEN, J.B., DZHUMASHEV, R., YAO, H. (2011). Stock returns and economic growth. Applied Economics, 45, pp. 1257-1271.
MAURO, P. (2000). Stock returns and output growth in emerging and advanced economies, IMF Working Papers, 89, pp. 1-35.
MORC, R., SHLEIFER A., VISHNY R. (1990). The stock market and investment: is the stock market a sideshow?. Brookings Papers on Economic Activity, 2, pp. 157-202.
TODA, H.Y., YAMAMOTO, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66, pp. 225-250.