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Döviz kurlarındaki oynaklık birçok finansal göstergeyi yakından etkilemektedir. Bu nedenle döviz kurları, hem yatırımcılar tarafından takip edilen en önemli göstergelerden biri olarak kabul görmekte hem de akademik çalışmalara konu olmaktadır. Bu çalışmada Dolar kurunda meydana gelen pozitif ve negatif şokların BİST Sanayi ve BİST Finans endeksi üzerinde etkisinin ve aralarında karşılıklı bir ilişkinin var olup olmadığının tespit edilmesi amaçlanmıştır. 01.01.2000 ile 31.12.2018 tarihleri arasındaki günlük kapanış fiyatlarının kullanıldığı çalışmada, değişkenler arasındaki nedensellik ilişkisi Granger (1969) nedensellik analizi ve Hatemi-J (2012) asimetrik nedensellik analizi ile test edilmiştir. Granger (1969) nedensellik analizi sonucunda değişkenler arasında karşılıklı bir nedenselliğin var olduğu, Hatemi-J (2012) nedensellik analizi sonucunda ise dolar kurundaki pozitif ve negatif şoklardan hem BİST Sanayi hem de BİST Finans endeksindeki pozitif ve negatif şoklara doğru bir nedenselliğin var olduğu tespit edilmiştir. BİST Sanayi ve BİST Finans sektöründeki negatif şoklardan, Dolar kurundaki pozitif ve negatif şoklara doğru bir nedenselliğin var olduğu ancak BİST Sanayi ve BİST Finans sektöründeki pozitif şoklardan, Dolar kurundaki pozitif ve negatif şoklara doğru bir nedensellik tespit edilememiştir.
The gameplay in the currencies has a close impact on many financial indicators. Therefore, exchange rates are accepted as one of the important indicators followed by investors and are subject to academic studies. This study aims to identify the impact of the positive and negative shocks in the dollar currency on the BIST Industry and BIST Financial Index and whether there is a mutual relationship between them. In the study using the daily closing prices between 01.01.2000 and 31.12.2018, the causality relationship between the variables was tested by Granger (1969) causality analysis and Hatemi-J (2012) asymmetric causality analysis. The Granger (1969) causal analysis found that there was a mutual causality between the variables, and the Hatemi-J (2012) causal analysis found that there was a causality between the positive and negative shocks in the dollar currency and the positive and negative shocks in both the BIST Industry and the BIST Financial Index. The negative shocks in the BIST Industry and BIST Finance sector have a cause to the positive and negative shocks in the dollar currency; but the positive shocks in the BIST Industry and BIST Finance sector have not been identified a cause to the positive and negative shocks in the dollar currency.
In this study, Dollar exchange rate has become the indicator of industry and finance sector in Turkey and in many companies hosting BIST Finance and BIST Industry impact on the index and the existence of a reciprocal relationship between tested. In the study which used the daily closing prices between 01.01.2000 and 31.12.2018, the causality relation between the variables was tested by Granger (1969) causality analysis and Hatemi-J (2012) asymmetric causality analysis. As a result of Granger (1969) causality analysis, it was determined that there was a mutual causality between variables. As a result of the Hatemi-J (2012) causality analysis, it has been determined that there is a causality from the positive and negative shocks in the dollar exchange rate to positive and negative shocks in both the BIST Industry and BIST Finance index. There is an causality from Negative shocks of BIST Industry and BIST Finance to positive and negative shocks in dollar exchange rates. However, the positive shocks in the BIST Industry and BIST Finance sector have not been able to detect the causality towards the positive and negative shocks in the dollar exchange rate.
Field : Sosyal, Beşeri ve İdari Bilimler
Journal Type : Ulusal
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