SATIN ALMA YÖNETİCİLERİ ENDEKSİ TÜRKİYE'DE PAY SENEDİ, TAHVİL VE DÖVİZ PİYASALARI İÇİN ÖNCÜ BİR GÖSTERGE MİDİR?

Çalışmanın amacı, Türkiye' de PMI'nın (Satın Alma Yöneticileri Endeksi) pay senedi, tahvil ve döviz piyasaları getirileri için öncü bir gösterge olup olmadığını belirleyebilmektir. Bu bağlamda, PMI ile pay senedi, bono ve döviz piyasaları arasındaki nedensellik ilişkisi araştırılmaktadır. Toda Yamamoto (1995) ve Fourier Toda Yamamoto (2016) nedensellik testlerinin kullanıldığı çalışma Aralık 2012 - Ağustos 2018 dönemini kapsamaktadır. Yapısal kırılmaların dikkate alınmadığı durumda PMI'den tüm pay senedi sektörlerine doğru nedenselliğin olmadığı tespit edilmiştir. Yapısal kırılmaların dikkate alındığı durumda ise PMI'’den BIST-100 ve BIST-Metal Eşya Sektör endeksine doğru tek yönlü nedenselliğin olduğu tespit edilmiştir. Ayrıca yapısal kırılmaların dikkate alındığı durumda PMI’den tahvil ve döviz piyasalarına doğru tek yönlü nedenselliğin olduğu tespit edilmiştir. PMI’nin BIST-100 pay senetleri ve alt sektör pay senetleri için öncü gösterge olabileceği sonucuna varılmıştır.

IS PURCHASING MANAGERS' INDEX (PMI) A LEADING INDICATOR FOR STOCK, BOND AND FOREIGN EXCHANGE MARKETS IN TURKEY?

The aim of this paper is to determine whether the PMI (Production Managers’ Index) is a leading indicator for the returns of stock, bond and foreign exchange markets in Turkey. Therefore, the causality relationship between PMI and stock, bond and foreign exchange markets are examined. We employ Toda Yamamoto (1995) and Fourier Toda Yamamoto (2016) causality tests covering the period spanning from December 2012 to August 2018. In the absence of structural breaks, it was determined that there was no causality from PMI to all stock sectors. In the case of structural breaks, it is determined that there is one-way causality from PMI to BIST-100 and BIST-Metal Goods Sector index. In addition, when structural breaks are taken into consideration, it is determined that there is one-way causality from PMI to bond and foreign exchange markets. It is concluded that PMI can be a leading indicator for BIST-100 stocks and sub-sector stocks.

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