Muhammet BELEN, Murat YILDIRIM, Yasin KÜTÜK

Küresel emtia fiyatları ile hisse senedi getirileri arasındaki ilişkinin incelenmesi: Kardemir ve izdemir üzerine bir uygulama

Küresel emtia fiyatlarıyla hisse senedi piyasaları arasındaki ilişki literatürde çok sayıda çalışma tarafından ele alınmıştır. Bu çalışmanın amacı, küresel emtia fiyatlarında yaşanan volatilitenin şirketlerin hisse senedi getirileri üzerindeki etkilerini test etmektir. Bu amaçla çalışmada1999:01-2012:06 zaman aralığında uluslararası demir çelik fiyat değişimleri ile BISTde işlem gören ana metal sanayi şirketlerinin hisse senedi fiyatlarının eşbütünleşim, hata düzeltme modellerive nedensellik testleri ile analizi gerçekleştirilmiştir. Çalışmada inşaat demiri ve filmaşin fiyatlarıile Kardemir(D) ve İzdemir(B) hisse senetlerine ait getiri endeksleri kullanılmıştır. Çalışmanınsonucunda demir çelik fiyatlarıyla hisse senedi getirileri arasında uzun dönem eşbütünleşim ilişkisinin olduğu fakat aralarında bir nedensellik ilişkisi olmadığı tespit edilmiştir.

Examining the relationship between the global commodıty prices and stock returns: An application to Kardemir and izdemir

The relationship between global commodity prices and stock markets has been examinedby a number of studies in the literature. The purpose of this study is to test the efects of the volatility of global commodity prices on the stock returns. For this purpose, steel price changes andstock prices of companies in BIST basic metals indices were analyzed with cointegration, vectorerror correction and causality tests in the period of 1999:01-2012:06. In the study with rebar andwire rod prices Kardemir(D) and İzdemir(B) stock return indices are used. As a result of thisstudy it has been determined that there is a long-term cointegration relationship between ironand steel prices and stock returns, but found there is no causality relationship between them.

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