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Bu çalışmada borsa endeksine alternatif olabilecek yatırım araçlarından altın fiyatları, döviz kuru ve faiz oranlarının BIST100’de işlem görmekte olan hisse senedi fiyatlarına etkisinin incelenmesi amaçlanmıştır. Johansen eşbütünleşme testi ile değişkenler arasında uzun dönemli ilişki tespit edildiğinden dolayı hata terimlerine dayalı VAR modeli oluşturulmuş ve değişkenler arasındaki nedenselliğin belirlenebilmesi için Granger Nedensellik Analizi uygulanmıştır. Analizler neticesinde; Altın-BIST100, Faiz-BIST100 arasında çift yönlü; Döviz-BIST100 ve Altın-Faiz arasında tek yönlü nedensellik tespit edilmiştir. Etki tepki analizi ve varyans ayrıştırması sonucunda BIST100 endeksine alternatif yatırım tercihi sıralamasının faiz oranı, döviz kuru ve altın fiyatları şeklinde olduğu belirlenmiştir.
This study aims to examine the effects of alternative investment instruments to equity index as gold prices, exchange rates and interest rates on stock prices traded on ISE100. VAR model based on error terms was created since the long-term relationship between the variables was determined by Johansen cointegration test and Granger Causality Analysis was applied to determine the causality between the variables. As a result of the analysis; two-directional causality between Gold-ISE100, Interest Rate-ISE100; one-way causality between Exchange Rate-ISE100 and Gold-Interest Rate has been detected. As a result of the impact response analysis and variance decomposition, it was determined that the order of alternative investment preferences to ISE100 index as interest rate, exchange rate and gold prices.
This study aims to examine the effects of alternative investment instruments to equity index as gold prices, exchange rates and interest rates on stock prices traded on ISE100. VAR model based on error terms was created since the long-term relationship between the variables was determined by Johansen cointegration test and Granger Causality Analysis was applied to determine the causality between the variables. As a result of the analysis; bi-directional causality between Gold-ISE100, Interest Rate-ISE100; one-way causality between Exchange Rate-ISE100 and Gold-Interest Rate has been detected. As a result of the impact response analysis and variance decomposition, it was determined that the order of alternative investment preferences to ISE100 index as interest rate, exchange rate and gold prices.
Field : Sosyal, Beşeri ve İdari Bilimler
Journal Type : Ulusal
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