BİST-100 Endeksi İle Döviz Kuru Arasındaki İlişkinin İncelenmesi: Türkiye Ekonomisi Üzerine Bir Uygulama

Bu çalışmanın amacı Türkiye ekonomisinde hisse senedi fiyatları ve borsa performansını temsil etmek üzere BİST-100 endeksi ile döviz kuru arasındaki ilişkiyi 2009:01 2021:04 arası aylık verilerle incelemektir. BİST-100 endeksi ile döviz kuru arasındaki ilişkiye yönelik olarak ilgili serilere geleneksel birim kök testleri olan ADF ve Phillips-Perron birim kök testleri ve fourier KPSS birim kök testi uygulanmış sonuçlara binaen seriler arasındaki uzun dönemli ilişkilerin varlığı fourier-Shin eşbütünleşme testiyle sınanmıştır. ADF ve Phillips-Perron birim kök testleri sonucuna göre Bist-100 değişkeni düzeyde durağan çıkarken, döviz kuru değişkeni ise fark durağan çıkmıştır. Fourier KPSS birim kök test sonucunda ise değişkenlerin ikisinin de birim kök içerdikleri, birinci farkları alınınca durağanlaştıkları tespit edilmiştir. Uzun dönemde eşbütünleşik çıkan seriler arasında yapılan Fourier Granger nedensellik test sonucu ise iki değişken arasında çift yönlü nedensellik ilişkileri olduğunu göstermiştir. Seriler arasındaki uzun dönemli katsayılar ise DOLS yöntemiyle incelenmiştir. Döviz kuru ile BİST-100 arasında pozitif yönlü ilişki tespit edilmiştir. Döviz kurundaki %1’lik artış borsa endeksini %0.465 oranında artırmaktadır. Değişkenler arasındaki pozitif yönlü ilişki Türkiye ekonomisinde Geleneksel yaklaşımın geçerli olduğunu ortaya koymaktadır.

Examining the Relationship Between BIST-100 Index and Exchange Rate: An Application on the Turkish Economy

The aim of this study is to examine the relationship between the BIST-100 index which, represent the stock prices and the performance of the stock market, and the exchange rate in the Turkish economy with monthly data between 2009:01 and 2021:04. ADF, Phillips-Perron unit root tests and Fourier KPSS unit root tests were used to test whether the variables contain unit root. According to the results of ADF and Phillips-Perron unit root tests, the Bist-100 variable is stationary at the level, while the exchange rate variable is stationary at the difference. As a result of the Fourier KPSS unit root test, it was concluded that both variables were difference stationary. The existence of long-term relationships between variables that are not stationary at the level was tested with the Fourier-Shin cointegration test. The results of the Fourier Granger causality test performed between the long-term cointegrated series showed that there are bidirectional causality relationships between the two variables. The long-term coefficients between the series were analyzed using the DOLS method. A positive relationship was found between the exchange rate and BIST-100. A 1% increase in the exchange rate increases the stock market index by 0.465%. The positive relationship between the variables reveals that the traditional approach is valid in the Turkish economy.

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