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The Relationship between Exchange Rate and BIST 100 in Turkey: Asymmetric-Time Varying Asymmetric Causality Analysis

Yıl 2022, Cilt: 24 Sayı: 42, 1 - 11, 27.06.2022

Ethem Kılıç Mustafa Naimoğlu

Öz

Exchange rate and stocks are very important for institutional investors as well as individual investors. For this reason, the main purpose of the study is to examine whether there is a causal relationship between the exchange rate and BIST 100. In the case of causality, it is also discussed whether the causality changes over time. Weekly data for the period between 11.02.1990 and 07.02.2021 were used in the study. First of all, traditional ADF and Fourier ADF, which is a current technique, were performed in order to determine the stationarity degrees of the series. As a result of the stability tests, the causality between BIST 100 and the Exchange Rate was investigated. For this, the current Hatemi-j causality test was used, and a bidirectional causality was obtained between the positive shocks of the BIST 100 and the Exchange Rate. Afterwards, it was done with the Time Varying Asymmetric Causality test. According to the findings, it was concluded that there is an asymmetric causality between BIST 100 and the Exchange Rate and this causality changes over time.

Kaynakça

  • Abdalla, I. S. ve Murinde, V. (1997). Exchange Rate and Stock Price İnteractions in Emerging Financial Markets: Evidence on India, Korea, Pakistan and the Philippines. Applied Financial Economics, 7(1), 25 35.
  • Abubakar, M. ve Musa, J. S. (2017). An Analysıs of The Causal Relatıonshıp Between Stock Prıces and Exchange Rate in Nıgerıa: A Tıme Serıes Investıgatıon. International Journal of Novel Research in Marketing Management and Economics, 4(1), 12-23.
  • Ajayi, R. A., Friedman, J. ve Mehdian, S. M. (1998). On The Relatıonshıp Between Stock Returns and Exchange Rates: Tests of Granger Causalıty. Global Fınance Journal, 9(2), 241-251.
  • Aydemir, O. ve Demirhan, E. (2009). The Relationship between Stock Prices and Exchange Rates Evidence from Turkey. International Research Journal of Finance and Economics, 23, 207-215.
  • Bahmani-Oskooee, M. ve Sohrabian A. (1992). Stock Prices and The Effective Exchange Rate of The Dollar. Applied Economics, (4), 459-464.
  • Belen, M. ve Karamelikli, H. (2016). Türkiye’de Hisse Senedi Getirileri ile Döviz Kuru Arasındaki İlişkinin İncelenmesi: ARDL Yaklaşımı. Istanbul University Journal of the School of Business, 45(1), 34-42.
  • Berke, B. (2012). Döviz Kuru ve İMKB100 Endeksi İlişkisi: Yeni Bir Test. Maliye Dergisi, 163, 243-257.
  • Bhutto, N. A. ve Chang, B. H. (2019). The Effect of The Global Financial Crisis on The Asymmetric Relationship Between Exchange Rate and Stock Prices. Hingh Frequency, 2, 175-185.
  • Boyacıoğlu ACAR, M. ve Çürük, D. (2016). Döviz Kuru Değişimlerinin Hisse Senedi Getirisine Etkisi: Borsa İstanbul 100 Endeksi Üzerine Bir Uygulama. Muhasebe ve Finansman Dergisi, Nisan, 143-156.
  • Caspi, I. (2017). Rtadf: Testing for Bubbles With Eviews. Journal of Statistical Software, 81(1).
  • Doğru, B. ve Recepoğlu, M. (2014). Türkiye'de Hisse Senedi Fiyatları ve Döviz Kuru Arasında Doğrusal ve Doğrusal Olmayan Eşbütünleşme İlişkisi. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, 2014, 17-34.
  • Dornbush R. ve Fisher S. (1980). Exchange Rates and The Current Account. American Economic Review, 70, 960-971.
  • Enders, W. ve Lee, J. (2012). The Flexible Fourier form and Dickey–Fuller Type Unit Root Tests. Economics Letters, 117(1), 196-199.
  • Erbaykal, E. ve Okuyan, H. A. (2007). Hisse Senedi Fiyatları ile Döviz Kuru İlişkisi: Gelişmekte Olan Ülkeler Üzerine Ampirik Bir Uygulama. BDDK Bankacılık ve Finansal Piyasaları, 1(1), 77-89.
  • Fauziah, F., Moeljadi, M. ve Ratnawati, K. (2015). Dynamic Relationship Between Exchange Rates and Stock Prices in Asia, 2009-2013. Journal of Economics, Finance and Accounting, 2(1), 124 134.
  • Franck, P., ve Young, A. (1972). Stock Price Reaction of Multinational Firms to Exchange Realignments. Financial Management, 1(3), 66 73.
  • Granger, C.W.J. ve Yoon, G. (2002). Hidden Cointegration. Department Of Economics Working Paper University of California, No:2002-02.
  • Gupta, J., Chevalier, A. ve Sayekt, F. (2001). The Causalıty Between Interest Rate, Exchange Rate and Stock Prıce in Emergıng Markets: The Case of The Jakarta Stock Exchange. Fuzzy Sets in Management, Economics and Marketing, 145-163.
  • Hacker, R.S. ve Hatemi-J, A. (2006). Tests for Causality Between Integrated Variables Using Asymptotic and Bootstrap Distributions: Theory and Application. Applied Economics, 38(13), 1489-1500.
  • Hatemi-J, A. (2012). Asymmetric Causality Tests With an Application. Empirical Economics, 43(1), 447-456.
  • Khan, M. K. (2019). Impact of Exchange Rate on Stock Returns in Shenzhen Stock Exchange: Analysis Through ARDL Approach. International Journal of Economics and Management, 1(2), 15 – 26.
  • Kılıç, E. ve Uçaktürk, M. (2021). Alternatif Yatırım Araçlarının Menkul Kıymetler Borsası ile Etkileşimi. Bingöl Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 21, 499-517.
  • Kim, K.-H. (2003). Dollar Exchange Rate and Stock Price: Evidence From Multivariate Cointegration and Error Correction Model. Review of Financial Economics, 12(3), 301 313.
  • Mok, H. (1993). Causalıty of Interest Rate, Exchange Rate and Stock Prıces at Stock Market Open and Close in Hong Kong. Asıa Pacıfıc Journal of Management, 10(2), 123-143.
  • Mroua, M. ve Trabelsi, L. (2020). Causality and Dynamic Relationships Between Exchange Rate and Stock Market İndices in BRICS Countries: Panel/GMM and ARDL Analyses. Journal of Economics, Finance and Administrative Science, 25(50), 395-412.
  • Nieh, C. C. ve Lee, C.-F. (2001). Dynamic Relationship Between Stock Prices and Exchange Rates For G-7 Countries. The Quarterly Review of Economics and Finance, 41(4), 477 490.
  • Pekkaya M. ve Bayramoğlu M. F. (2008). Hisse Senedi Fiyatları ve Döviz Kuru Arasındaki Nedensellik İlişkisi: YTL/USD, İMKB 100 ve S&P 500 Üzerine Bir Uygulama. Muhasebe ve Finansman Dergisi, 38, 163-176.
  • Polat, M. (2018). Döviz Kurunun Hisse Senedi Fiyatına Etkisi: OECD Ülkelerinde Güncel Bir Yaklaşımla Panel Veri Analizi, Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 32(2), 211-230.
  • Rahman, M. L. ve Uddin, J. (2009). Dynamic Relationship Between Stock Prices and Exchange Rates: Evidence From Three South Asian Countries. International Business Research, 2(2), 167 174.
  • Richards, N. D., Simpson, J., ve Evans, J. (2009). The ınteraction Between Exchange Rates and Stock Prices: an Australian Context. International Journal of Economics and Finance, 1(1), 3-23.
  • Sheikh, U. A., Asad, M., Ahmad, Z. ve Mukhtar, U. (2020). Asymmetrical Relationship Between Oil Prices, Gold Prices, Exchange Rate, and Stock Prices During Global Financial Crisis 2008: Evidence from Pakistan. Cogent Economics & Finance, 8(1),1-20.
  • Siami-Namin, S. (2017). Granger Causality Between Exchange Rate and Stock Price: A Toda Yamamoto Approach. International Journal of Economics and Financial Issues, 7(4), 603-607. Stavarek D.l (2005). Linkages Between Stock Prices and Exchange Rates in The EU and The United States. Czech Journal of Economics and Finance, 55 (3-4), 141-161.
  • Yau, H.-Y. ve Nieh, C.C. (2009). Testing For Cointegration With Threshold Effect Between Stock Prices And Exchange Rates in Japan and Taiwan. Japan and the World Economy, 21(3), 292 300.
  • Yılancı, V. ve Bozoklu, Ş. (2014). Türk Sermaye Piyasasında Fiyat ve İşlem Hacmi İlişkisi: Zamanla Değişen Asimetrik Nedensellik Analizi. Ege Academic Review, 14(2), 211-220.
  • Zia, Q. Z. ve Rahman, Z. (20011). The Causality Between Stock Market and Foreign Exchange Market of Pakistan. Interdıscıplınary Journal Of Contemporary Research In Busıness, 3(5), 906-919.
  • Zubair, A. (2013). Causal Relationship Between Stock Market Index and Exchange Rate: Evidence from Nigeria. CBN Journal of Applied Statistics, 4(2), 87-110.

Türkiye’de Döviz Kuru ve BIST 100 İlişkisi: Zamanla Değişen Asimetrik Nedensellik Analizi

Yıl 2022, Cilt: 24 Sayı: 42, 1 - 11, 27.06.2022

Ethem Kılıç Mustafa Naimoğlu

Öz

Döviz kuru ve hisse senedi bireysel yatırımcıların yanı sıra kurumsal yatırımcılar açısından da oldukça önemlidir. Bu nedenle çalışmanın temel amacı Döviz kuru ile BIST 100 arasındaki ilişki nedensellik olup olmadığı incelenmiştir. Nedenselliğin olması durumunda nedenselliğin zamanla değişip değişmediği de ele alınmıştır. Çalışmada 11.02.1990 ile 07.02.2021 dönemine ait haftalık veriler kullanılmıştır. Öncelikle serilerin durağanlık derecelerinin belirlenmesi amacıyla geleneksel ADF ve güncel bir teknik olan Fourier ADF durağanlık testleri yapılmıştır. Yapılan durağanlık testleri sonucunda BIST 100 ile Döviz Kuru arasındaki nedensellik araştırılmıştır. Bunun için güncel Hatemi-j nedensellik testi kullanılmış ve BIST 100 ile Döviz Kurunun pozitif şokları arasında çift yönlü bir nedensellik olduğu elde edilmiştir. Daha sonrasında ise Zamanla Değişen Asimetrik Nedensellik testi ile yapılmıştır. Elde edilen bulgulara göre BIST 100 ile Döviz Kuru arasında asimetrik bir nedensellik bulunduğu ve bu nedenselliğin zamana bağlı olarak değiştiği sonucu elde edilmiştir.

Anahtar Kelimeler

Asimetrik Nedensellik, Döviz Kuru, BIST 100

Kaynakça

  • Abdalla, I. S. ve Murinde, V. (1997). Exchange Rate and Stock Price İnteractions in Emerging Financial Markets: Evidence on India, Korea, Pakistan and the Philippines. Applied Financial Economics, 7(1), 25 35.
  • Abubakar, M. ve Musa, J. S. (2017). An Analysıs of The Causal Relatıonshıp Between Stock Prıces and Exchange Rate in Nıgerıa: A Tıme Serıes Investıgatıon. International Journal of Novel Research in Marketing Management and Economics, 4(1), 12-23.
  • Ajayi, R. A., Friedman, J. ve Mehdian, S. M. (1998). On The Relatıonshıp Between Stock Returns and Exchange Rates: Tests of Granger Causalıty. Global Fınance Journal, 9(2), 241-251.
  • Aydemir, O. ve Demirhan, E. (2009). The Relationship between Stock Prices and Exchange Rates Evidence from Turkey. International Research Journal of Finance and Economics, 23, 207-215.
  • Bahmani-Oskooee, M. ve Sohrabian A. (1992). Stock Prices and The Effective Exchange Rate of The Dollar. Applied Economics, (4), 459-464.
  • Belen, M. ve Karamelikli, H. (2016). Türkiye’de Hisse Senedi Getirileri ile Döviz Kuru Arasındaki İlişkinin İncelenmesi: ARDL Yaklaşımı. Istanbul University Journal of the School of Business, 45(1), 34-42.
  • Berke, B. (2012). Döviz Kuru ve İMKB100 Endeksi İlişkisi: Yeni Bir Test. Maliye Dergisi, 163, 243-257.
  • Bhutto, N. A. ve Chang, B. H. (2019). The Effect of The Global Financial Crisis on The Asymmetric Relationship Between Exchange Rate and Stock Prices. Hingh Frequency, 2, 175-185.
  • Boyacıoğlu ACAR, M. ve Çürük, D. (2016). Döviz Kuru Değişimlerinin Hisse Senedi Getirisine Etkisi: Borsa İstanbul 100 Endeksi Üzerine Bir Uygulama. Muhasebe ve Finansman Dergisi, Nisan, 143-156.
  • Caspi, I. (2017). Rtadf: Testing for Bubbles With Eviews. Journal of Statistical Software, 81(1).
  • Doğru, B. ve Recepoğlu, M. (2014). Türkiye'de Hisse Senedi Fiyatları ve Döviz Kuru Arasında Doğrusal ve Doğrusal Olmayan Eşbütünleşme İlişkisi. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, 2014, 17-34.
  • Dornbush R. ve Fisher S. (1980). Exchange Rates and The Current Account. American Economic Review, 70, 960-971.
  • Enders, W. ve Lee, J. (2012). The Flexible Fourier form and Dickey–Fuller Type Unit Root Tests. Economics Letters, 117(1), 196-199.
  • Erbaykal, E. ve Okuyan, H. A. (2007). Hisse Senedi Fiyatları ile Döviz Kuru İlişkisi: Gelişmekte Olan Ülkeler Üzerine Ampirik Bir Uygulama. BDDK Bankacılık ve Finansal Piyasaları, 1(1), 77-89.
  • Fauziah, F., Moeljadi, M. ve Ratnawati, K. (2015). Dynamic Relationship Between Exchange Rates and Stock Prices in Asia, 2009-2013. Journal of Economics, Finance and Accounting, 2(1), 124 134.
  • Franck, P., ve Young, A. (1972). Stock Price Reaction of Multinational Firms to Exchange Realignments. Financial Management, 1(3), 66 73.
  • Granger, C.W.J. ve Yoon, G. (2002). Hidden Cointegration. Department Of Economics Working Paper University of California, No:2002-02.
  • Gupta, J., Chevalier, A. ve Sayekt, F. (2001). The Causalıty Between Interest Rate, Exchange Rate and Stock Prıce in Emergıng Markets: The Case of The Jakarta Stock Exchange. Fuzzy Sets in Management, Economics and Marketing, 145-163.
  • Hacker, R.S. ve Hatemi-J, A. (2006). Tests for Causality Between Integrated Variables Using Asymptotic and Bootstrap Distributions: Theory and Application. Applied Economics, 38(13), 1489-1500.
  • Hatemi-J, A. (2012). Asymmetric Causality Tests With an Application. Empirical Economics, 43(1), 447-456.
  • Khan, M. K. (2019). Impact of Exchange Rate on Stock Returns in Shenzhen Stock Exchange: Analysis Through ARDL Approach. International Journal of Economics and Management, 1(2), 15 – 26.
  • Kılıç, E. ve Uçaktürk, M. (2021). Alternatif Yatırım Araçlarının Menkul Kıymetler Borsası ile Etkileşimi. Bingöl Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 21, 499-517.
  • Kim, K.-H. (2003). Dollar Exchange Rate and Stock Price: Evidence From Multivariate Cointegration and Error Correction Model. Review of Financial Economics, 12(3), 301 313.
  • Mok, H. (1993). Causalıty of Interest Rate, Exchange Rate and Stock Prıces at Stock Market Open and Close in Hong Kong. Asıa Pacıfıc Journal of Management, 10(2), 123-143.
  • Mroua, M. ve Trabelsi, L. (2020). Causality and Dynamic Relationships Between Exchange Rate and Stock Market İndices in BRICS Countries: Panel/GMM and ARDL Analyses. Journal of Economics, Finance and Administrative Science, 25(50), 395-412.
  • Nieh, C. C. ve Lee, C.-F. (2001). Dynamic Relationship Between Stock Prices and Exchange Rates For G-7 Countries. The Quarterly Review of Economics and Finance, 41(4), 477 490.
  • Pekkaya M. ve Bayramoğlu M. F. (2008). Hisse Senedi Fiyatları ve Döviz Kuru Arasındaki Nedensellik İlişkisi: YTL/USD, İMKB 100 ve S&P 500 Üzerine Bir Uygulama. Muhasebe ve Finansman Dergisi, 38, 163-176.
  • Polat, M. (2018). Döviz Kurunun Hisse Senedi Fiyatına Etkisi: OECD Ülkelerinde Güncel Bir Yaklaşımla Panel Veri Analizi, Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 32(2), 211-230.
  • Rahman, M. L. ve Uddin, J. (2009). Dynamic Relationship Between Stock Prices and Exchange Rates: Evidence From Three South Asian Countries. International Business Research, 2(2), 167 174.
  • Richards, N. D., Simpson, J., ve Evans, J. (2009). The ınteraction Between Exchange Rates and Stock Prices: an Australian Context. International Journal of Economics and Finance, 1(1), 3-23.
  • Sheikh, U. A., Asad, M., Ahmad, Z. ve Mukhtar, U. (2020). Asymmetrical Relationship Between Oil Prices, Gold Prices, Exchange Rate, and Stock Prices During Global Financial Crisis 2008: Evidence from Pakistan. Cogent Economics & Finance, 8(1),1-20.
  • Siami-Namin, S. (2017). Granger Causality Between Exchange Rate and Stock Price: A Toda Yamamoto Approach. International Journal of Economics and Financial Issues, 7(4), 603-607. Stavarek D.l (2005). Linkages Between Stock Prices and Exchange Rates in The EU and The United States. Czech Journal of Economics and Finance, 55 (3-4), 141-161.
  • Yau, H.-Y. ve Nieh, C.C. (2009). Testing For Cointegration With Threshold Effect Between Stock Prices And Exchange Rates in Japan and Taiwan. Japan and the World Economy, 21(3), 292 300.
  • Yılancı, V. ve Bozoklu, Ş. (2014). Türk Sermaye Piyasasında Fiyat ve İşlem Hacmi İlişkisi: Zamanla Değişen Asimetrik Nedensellik Analizi. Ege Academic Review, 14(2), 211-220.
  • Zia, Q. Z. ve Rahman, Z. (20011). The Causality Between Stock Market and Foreign Exchange Market of Pakistan. Interdıscıplınary Journal Of Contemporary Research In Busıness, 3(5), 906-919.
  • Zubair, A. (2013). Causal Relationship Between Stock Market Index and Exchange Rate: Evidence from Nigeria. CBN Journal of Applied Statistics, 4(2), 87-110.
Toplam 36 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Araştırma Makaleleri
Yazarlar

Ethem Kılıç 0000-0002-6247-9024

Mustafa Naimoğlu 0000-0001-9684-159X

Erken Görünüm Tarihi 21 Haziran 2022
Yayımlanma Tarihi 27 Haziran 2022
Yayımlandığı Sayı Yıl 2022 Cilt: 24 Sayı: 42

Kaynak Göster

APA Kılıç, E., & Naimoğlu, M. (2022). Türkiye’de Döviz Kuru ve BIST 100 İlişkisi: Zamanla Değişen Asimetrik Nedensellik Analizi. Karamanoğlu Mehmetbey Üniversitesi Sosyal Ve Ekonomik Araştırmalar Dergisi, 24(42), 1-11.

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