YABANCI ALIMLARI, BORSA ENDEKSİ VE KUR ARASINDA KAPSANMAMIŞ VARLIK PARİTESİ TEORİSİNİN GEÇERLİLİĞİNİN SINANMASI: JAPONYA, G. KORE VE TÜRKİYE İÇİN EKONOMETRİK BİR ANALİZ

Bu çalışmada; Kapsanmamış Varlık Paritesi (Uncovered Equity Parity: UEP) Teorisinin geçerliliği; Japonya, G. Kore ve Türkiye’nin 2002:M01-2020:M04 dönemi verileriyle analiz edilmiştir. Uzun dönem analiz sonuçlarına göre, Japonya’da UEP Teorisinin 1. aşamasının 2008 küresel ekonomik krizi döneminde, 3. aşamasının 2008 küresel ekonomik krizi dönemi ve sonrasında geçerli olduğu görülmüştür. G. Kore’de sadece 2008 krizi sonrası dönemde 2. aşama geçerli çıkmıştır. Türkiye’de ise Teorinin 1. aşamasının tüm 2002-2020 dönemi boyunca geçerli olduğu 3. Aşamanın ise 2008 küresel ekonomik krizi ve sonrası dönemde yaşandığı belirlenmiştir. Kısa dönem analiz sonuçlarına göre, Japonya’da UEP’in 2. aşamasının 2008 küresel ekonomik krizi sonrası dönemde, 3. Aşamasının ise tüm 2002-2020 döneminde geçerli olduğu görülmüştür. G. Kore’de UEP Teorisinin hiçbir aşamasının geçerli olmadığı tespit edilmiştir. Türkiye’deyse UEP’in 1. aşamasının sadece küresel kriz öncesi dönemde geçerli olduğu, 2. aşamanın 2002- 2020 döneminde geçerli olduğu, 3. aşamasınınsa kısa dönemde geçerli olmadığı bulunmuştur.

TESTING THE VALIDITY of THE UNCOVERED EQUITY PARITY THEORY AMONG FOREIGN CAPITAL FLOWS, THE STOCK MARKET INDICES and THE EXCHANGE RATES: AN ECONOMETRIC ANALYSIS FOR JAPAN, S. KOREA, and TURKEY

In this study, the validity of the Uncovered Equity Parity (UEP) Theory is examined based on the dataobtained from Japan, South Korea, and Turkey during the 2002:M01-2020:M04 period. According to longterm analysis, it is observed that the 1st stage of the UEP in Japan is valid during the 2008 global economiccrisis period, and the 3rd stage is valid during and after the 2008 global economic crisis. Only the 2nd phaseof the UEP is valid in the post-2008 crisis in S. Korea. In Turkey, 1st phase of the UEP is valid for theentire 2002-2020 period. It is determined that the 3rd stage of the UEP is experienced during the 2008 globaleconomic crisis and after. According to short term analysis, it is observed that, in Japan, the 2nd stage of theUEP is valid in the period after the 2008 global economic crisis and the 3rd stage of the UEP is validthroughout the 2002-2020 period. It is found that no stage of the UEP is valid in S. Korea. It has been foundthat the 1st phase of the UEP is valid only during the pre-crisis period in Turkey, the 2nd phase is valid duringthe 2002 to 2020 period, and the 3rd phase is found to be invalid in the short term.

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