Mustafa HAMAD AMEEN, Fatih TEMİZEL, Melik KAMIŞLI

Enflasyonun Borsa Endekslerı Üzerindeki Etkileri: BİST 100 Endeksinden kanıt

Doğası gereği borsalar birçok faktörden etkilenebilir. Faktörler birbirinden farklıdır ve her birinin kendine özgü etkileri vardır. Bu durum, her olayda farklı tepkilere yol açacağı şeklinde açıklanabilir. Genellikle doğal nedenler, siyasi konular veya ekonomik nedenler olarak kabul edilmektedir. Makroekonomik değişkenlerden biri olan enflasyon, birçok araştırmacının ve politika yapıcının incelediği ve borsalar üzerindeki etkilerini belirlediği faktörlerden biridir. Enflasyon, borsa endekslerini ve piyasadaki yatırımcıları doğrudan etkileyebilir. Birçok yatırımcı enflasyonun yaşandığı dönemlerde karar vermede rasyonelliklerini kaybedebilir. Çünkü piyasada belirsizliğe neden olmaktadır. Enflasyon diğer bir ifadeyle satın alma gücündeki azalma olarak tanımlanabilir. Satın alma gücü azaldıkça yatırımcı kararlarında olumsuzluklar görülebilmektedir. Bu bağlamda çalışmanın amacı enflasyon oranının BİST-100 endeksine etkilerini incelemek ve söz konusu iki değişken arasında herhangi bir ilişki olup olmadığını araştırmaktır. Bu amaç ile BİST-100 endeksi ve Tüketici Fiyat Endeksi (TÜFE) esas olarak baz alınmıştır. Çalışmada VAR modeli ve Granger Nedensellik testleri kullanılmıştır. Veri seti olarak 2009 yılının Ocak ayından 2020 yılının Mart ayına kadar aylık veriler kullanılmıştır. Yapılan analiz sonucunda elde edilen bulgulara göre Enflasyon oranı ile BİST-100 arasında tek yönlü nedensellik ilişkisi tespit edilmiştir. Etki-tepki fonksiyonlarının anlamsız olduğu gözlemlenmiştir. Her iki veride meydana gelen değişimlerin çoğunluğunu kendi dinamikleri oluşturmaktadır.

Anahtar Kelimeler:

BİST-100, Enfelasyon oranı, VAR modeli, Granger Nedenselik testi, TÜFE Endeksi

The Impact of Inflation on Stock Market Indices: Evidence from BIST 100 Index

Due to its nature the stock markets can be affected by many factors. The factors are different from each other and every single one of them has its own effects. Moreover, they are different from one situation to another, but generally they are considered to be natural reasons, political issues or economical reasons. Inflation as one of the macroeconomic variables is one of the factors that many researchers and policymakers have studied and determined its impacts on stock markets. Because it can directly impact the stock market indices and the investors in the market. Many investors may lose their rationality in decision making when inflation happens. Furthermore, it causes uncertainty in the market. In that context, this paper aims to investigate the impacts of inflation rate on stock market indices in Turkey. For that purpose, we throwed light on the BIST-100 index as a representative for stock indices traded in ISE and CPI index is representing inflation rate in the same country. The study is depending on monthly published data by central bank of Turkey from which starts from January 2009 and ends with March 2020. The VAR model and Granger Causality test is applied to analyze the collected data. According to the results, it is found that there is only a one-way causality relationship between inflation and BIST-100. On the other hand, the results of impulse responses provided no meaning for relationship between the variables. Furthermore, according to variance decomposition both of the variables were contained dynamics with themselves.

Keywords:

BIST-100 Index, Inflation rate, VAR model, Granger Causality test, CPI Index,

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