Türkiye’de Hisse Senedi Fiyatları ile Döviz Kuru Arasındaki İlişki: Asimetrik Nedensellik ve Markov Rejim Değişim Modeli Yaklaşımı

Son yıllarda gerçekleştirilen finansal serbestleşme politikaları sonucu, hisse senedi fiyatları ile döviz kurları arasındaki ilişkinin arttığı gözlemlenmektedir. Bu gelişmelerle birlikte, hisse senedi piyasası ile döviz kuru arasındaki ilişkiyi inceleyen çalışmaların önemi artmıştır. Yapılan bu çalışmada, Türkiye’de 2009:01 -2020:06 dönemi arası veriler günlük bazda kullanılarak hisse senedi piyasası ile döviz kuru arasındaki ilişki Markov Rejim Değişim Modeli ve Asimetrik Nedensellik Analizi yardımıyla araştırılmıştır. BIST100 Endeksi ile USD/TRY kurunun değişken olarak kullanıldığı çalışmada, “Mal Piyasası” ve “Portföy Dengesi” teorilerinin geçerliliği incelenmiştir. Markov Rejim Değişim Modeli bulguları, Türkiye ekonomisindeki hem genişleme hem de daralma dönemlerinde hisse senedi fiyatları ile döviz kuru arasında anlamlı bir ilişkinin olduğunu göstermiştir. Hatemi-J (2012) asimetrik nedensellik testi bulgularında, BIST100 endeksindeki pozitif ve negatif şoklardan döviz kurundaki pozitif ve negatif şoklara doğru nedenselliğin olduğu ve Türkiye’de Portföy Dengesi teorisinin geçerli olduğu görülmüştür. Ayrıca, döviz kurundaki pozitif şoklardan BIST100 endeksindeki pozitif şoklara doğru nedenselliğin olması Mal Piyasası teorisinin geçerliliğini göstermekte olup, negatif şoklar arasında ise nedensellik ilişkisi görülmemiştir.

The Relationship between Stock Prices and Exchange Rate in Turkey: Asymmetric Causality and Markov Regime Switching Approach

In recent years, as a result of the financial liberalization policies implemented it is observed that the relationship between stock prices and exchange rates has increased. With these developments, the importance of studies examining the relationship between stock market and exchange rate has increased. In this study, using historical data for daily basis from 2009: 01-2020: 06 period was to investigate the relationship between the exchange rate and the stock market in Turkey help of the Asymmetric Causality Analysis and MarkovRegime Switching Model. In the study, in which the BIST100 Index and the USD/TRY exchange rate were used as variables, there were examined the validity of the "Good Market" and "Portfolio Balance" theories. Markov Regime Switching Model findings showed that a significant relationship between exchange rate and stock prices in both periods of expansion and contraction in Turkey's economy. Hatemi-J (2012) asymmetric causality test findings, there is a causality from positive and negative shock in the BIST100 to positive and negative shock in the exchange rate, and there was a found that the Portfolio Balance theory validity in Turkey. In addition, the existence of causality from from positive shocks in the exchange rate to positive shocks in the BIST100 index demonstrates the validity of the Goods Market theory, and there is no causality relationship between negative shocks.

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