Müge ÇETİNER, Ahmet Mete ÇİLİNGİRTÜRK, Emre ZEHİR

3615

EMPIRICAL ANALYSIS OF FOREIGN EXCHANGE RATE AND STOCK PRICE INDICES: EVIDENCE FROM EMERGING COUNTRIES

The main aim behind this research is to find out the exchange rate risk on stock price indices return volatility of 22 emerging countries. The study is based on the monthly stock index and foreign exchange rate in relation the USD of the related 22 countries’ data between January 2000 and December 2016. Both fixed effect and random effect models were tested. The fixed effect model assumes that stocks are correlated with country specific exchange rates while the random effect model assumes residuals are uncorrelated with the country specific exchange rates. Furthermore, country specific variance on stock index return was tested using the Breusch and Pagan LR test, and it was found that there is no country specific volatility, which means that their variance is zero. This means that there are not any country specific effects in the model, which can be interpreted to mean that there is no medium or long-term arbitrage possibilities with international transactions.  Finally, it was observed that exchange rate changes had a negative impact on stock index returns. The previous month’s stock market movement or random term did not have any impact on the current market returns according to AR and MA terms. Moreover, international foreign exchange market and stock market cooperate consistently, uncausing any arbitrage possibility on monthly basis. Daily models might detect short-term arbitrage failures in international transactions. Furthermore, there are asymmetric GARCH models to test the gain and loss volatility on transactions.
Anahtar Kelimeler:

Exchange Rates, Stock Price Indexes, Emerging Markets

GELİŞMEKTE OLAN ÜLKELERDE DÖVİZ KURLARI VE HİSSE SENEDİ ENDEKSLERİ ARASINDAKİ ETKİLEŞİM

Döviz kurlarının hisse senedi piyasalarındaki oynaklığa etkisini araştıran bu çalışma, Ocak 2000  - Aralık 2016 yılları arasında 22 ülkenin para birimlerinin ABD Dolarına karşı değerleri ve hisse senedi endekslerinin aylık verileri kullanılarak sabit ve rasgele etki modellerinin test edilmesiyle gerçekleştirilmiştir. Sabit etki modeli endeksler ile döviz kurları arasında bir korelasyon olduğunu gösterirken rasgele etki modeline göre herhangi bir korelasyon bulunamamıştır. Breusch ve Pagan LR testi kullanılarak ülkelere özgü hisse senedi getirilerinin varyansları hesaplanmış ve ülkelere özgü oynaklık riski bulunamamış olup, hisse senedi endeksleri ve döviz kuru arasındaki varyans sıfırdır. Buna ek olarak rasgele etki modeli hisse senedi endeks getirileri ve döviz kurları arasındaki ilişkiyi açıklamak için uygundur. Bu uygunluk, modelde herhangi bir ülkeye özgü etki olmadığından dolayı orta ve uzun vadede uluslararası işlemlerde herhangi bir arbitraj fırsatı olmadığı anlamında yorumlanabilir. Son olarak döviz kurundaki değişimin endeksler üzerinde negatif bir etkisi olduğu gözlenmiştir. Yapılan AR ve MA terimlerine göre geçmiş ay endeks getirilerinin endeks getirileri üzerinde herhangi bir etkiye sahip olmadıkları anlaşılmıştır. Bütün bunlara ek olarak günlük modellerde kısa süreli arbitraj imkânı bulunsa da uluslararası döviz piyasaları ve hisse senedi piyasaları aylık bazda herhangi bir arbitraj fırsatına olanak sağlamayacak şekilde birlikte hareket etmektedir. 
Keywords:

Döviz Kurları, Hisse Senedi Endeksleri, Gelişmekte Olan Ülkeler,

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Finans Ekonomi ve Sosyal Araştırmalar Dergisi-Cover
  • Yayın Aralığı: Yılda 4 Sayı
  • Başlangıç: 2016
  • Yayıncı: Ferudun KAYA
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Müge ÇETİNER, Ahmet Mete ÇİLİNGİRTÜRK, Emre ZEHİR