Hisse senedi piyasası ve döviz kuru ilişkisinin eşbütünleşme analizi: yapısal kırılmaların önemi

Bu çalışmanın amacı, Türkiye hisse senetleri piyasası (İMKB-100) ile döviz kuru (ABD doları) arasındaki ilişkinin uzun dönem dinamiklerini ortaya koymaktır. Ça- lışmada 1988-2009 dönemi, haftalık kapanış verileri kullanılarak incelenmiştir.Uzun dönemli ilişkinin ortaya konulması için olası yapısal kırılmaları da gözönüne alan eşbütünleşme analizleri kullanılmıştır. Eşbütünleşme testleri yardımıyla zaman içinde ekonomik koşulların değişmesinden dolayı serilerde ortaya çıka- bilecek yapısal kırılmaların etkileri tespit edilebilmektedir. Çalışmanın bulguları- na göre, yapısal kırılmanın gözardı edildiği eşbütünleşme testleri uygulandığın- da hisse senetleri piyasası ile döviz kuru arasında uzun dönemli ilişki bulunama- maktadır. Fakat olası yapısal kırılmaların gözönünde bulundurulduğu eşbütün- leşme test sonuçlarına göre, hisse senetleri piyasası ile döviz kuru serilerinin eş- bütünleşik oldukları yani serilerin zaman içindeki hareketlerinin benzerlik gösterdiği görülmektedir. Çalışmanın bulguları yapısal kırılmaların zaman serileri üzerindeki etkilerini açıkça ortaya koymaktadır.

Cointegration analysis of the relationship between stock market and foreign exchange: ımportance of structural breaks

The objective of this study is to put forth the long-run dynamics of the relation between stock market (ISE-100) and exchange rate (the US dollar). The period between 1988-2009 was analysed by using weekly closing prices. Cointegration analysis with structural breaks are employed to show the long-run relation. The effects of structural breaks, which might occur due to changes in economic conditions, coud be detected by the help of cointegration tests. According to the results of the study, no relation was found between stock market and exchange rate when cointegration tests rulling out structural breaks are used. According to the results of the cointegration tests taking the possible structural breaks into account, however, it is seen that the series of stock market and exchange rate are cointegrated that is to say the movements of the series over time resemble. The findings of the study indicate the effects of prospective structural breaks on time series evidently.

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