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Ekonomik değişkenler arasında karmaşık ilişkiler bulunmaktadır. Bu değişkenler arasında döviz kurları ve hisse senedi fiyatları da yer almaktadır. Yatırımcılar, politika yapıcılar ve araştırmacılar tarafından bu karmaşık ilişkinin anlaşılması büyük önem taşımaktadır. Çünkü bu değişkenlerin uluslararası finansal piyasalarda önemli bir ağırlığı bulunduğu gibi ekonomik gelişmenin de önemli unsurlarıdır. Fakat mevcut finans literatürü döviz kuru ve hisse senedi ilişkisi konusunda net bir sonuca varamamıştır. Değişkenler arasındaki ilişki iki farklı yaklaşımla açıklanmaktadır. Bunlar portföy dengesi yaklaşımı ve geleneksel yaklaşımdır. Geleneksel yaklaşıma göre döviz kuru hisse senedi fiyatlarının belirleyicisidir. Portföy dengesi yaklaşımı ise tam tersi bir ilişkinin geçerli olduğunu belirtmekte olup değişkenler arasındaki ilişkinin yönü hisse senedi fiyatlarından döviz kuruna doğrudur. Bu çalışmada da mali sektör endeksi, finansal kiralama ve faktöring endeksi, sigortacılık endeksi, bankacılık endeksi, gayri menkul yatırım ortaklığı endeksi, holding ve yatırım ortaklığı endeksi ve Dolar- Euro’ dan oluşan kur sepeti arasındaki ilişki frekans dağılım nedensellik testi ile incelenmiştir. Bu testler için 04.01.2000’den 25.08.2017 kadar olan günlük veriler kullanılmıştır. Çalışma sonucunda Türkiye ekonomisinde hisse senedi fiyatları ve döviz kurları arasındaki ilişkinin hisse senetlerinden döviz kuruna doğru olduğu sonucuna ulaşılmıştır. Bu nedenle Türkiye ekonomisinde portföy dengesi yaklaşımı geçerlidir.
There are complex relationships between economic variables. These variables include exchange rates and stock prices. Understanding this complex relationship is of great importance by investors, policy makers and researchers. Because these variables have an important role in international financial markets, they are also important elements of economic development. But the current financial literature has not come to a clear conclusion about the exchange rate and stock price relationship. The relationship between variables is explained by two different approaches. These are the portfolio balance approach and the traditional approach. According to the traditional approach, the exchange rate is the determinant of stock prices. The portfolio balance approach states that the opposite relationship is valid, and the direction of the relationship between the variables is from stock prices to the exchange rate. In this study, the relationship between the financial sector index, financial leasing and factoring index, insurance index, banking index, real estate investment trust index, holding and investment trust index and exchange basket consisting of Dollar-Euro is examined by frequency distribution causality test. For this tests 04.01.2000 and 25.08.2017 daily datas were used. In the end of the study between share indices and exchange basket relationship from share indices to Exchange basket in Turkey economy were totalled. For this reason portfolio balance approach is valid in Turkish economy.
There are complex relationships between economic variables. These variables include exchange rates and stock prices. Understanding this complex relationship is of great importance by investors, policy makers and researchers. Because these variables have an important role in international financial markets, they are also important elements of economic development. But the current financial literature has not come to a clear conclusion about the exchange rate and stock price relationship. The relationship between variables is explained by two different approaches. These are the portfolio balance approach and the traditional approach. According to the traditional approach, the exchange rate is the determinant of stock prices. The portfolio balance approach states that the opposite relationship is valid, and the direction of the relationship between the variables is from stock prices to the exchange rate. In this study, the relationship between financial sector index, financial leasing and factoring index, insurance index, banking index, real estate investment trust index, holding and investment trust index and exchange basket consisting of Dollar- Euro is examined by frequency distribution causality test. For this tests 04.01.2000 and 25.08.2017 daily datas were used. In the end of the study between share indices and exchange basket relation from share indices to Exchange basket in Turkey economy were totalled. For this reason portfolio balance approach valid in Turkish economy.
Field : Sosyal, Beşeri ve İdari Bilimler
Journal Type : Uluslararası
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