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Hisse senedinin fiyatı gelecekte sağlayacağı nakit akışının iskonto edilmiş haline eşittir. İskonto oranı ise genellikle piyasa faiz oranı (risksiz faiz oranı) ve risk primine bağlı olarak değişmektedir. Ancak hisse senetleri alım satımın yapıldığı pazarın etkinlik durumuna göre de değişmektedir. Etkin piyasalar hipotezine göre zayıf formda etkin piyasalarda piyasaya yansıyan bilgiler fiyatlar üzerinde etkili olabilmektedir. Bu çalışma da BİST Bankacılık Endeksine etki etmesi beklenen seçilmiş makroekonomik değişkenler ile analiz yapılmıştır. Analiz dönemi 2005/01-2019/12 yılları arası aylık verilerden oluşmaktadır. Çalışmada değişkenler arası asimetrik etkiyi belirlemek amacıyla Doğrusal Olmayan Gecikmesi Dağıtılmış Oto Regresif Model (NARDL) kullanılmıştır. Çalışmanın sonucunda ise Bankacılık endeksi ile Dolar, Euro ve CDS (pozitif), VIX, Altın ve CDS (negatif) uzun dönemli asimetrik bir ilişki bulunmuştur.
The price of the stock is equal to the discounted cash flow that it will provide in the future. The discount rate usually varies depending on the market interest rate (non-risk interest rate) and the risk premium. However, the stock exchanges also vary according to the activity of the market where the purchase is made. According to the hypothesis of active markets, the information reflected in the market in a weak form may be effective on prices. This study has also been analyzed with selected macroeconomic variables that are expected to affect the BIST Banking Index. The analysis period consists of monthly data between 2005/01-2019/12 years. The study used the Distributed Auto Regressive Model (NARDL) to determine the asymmetrical effect between variables. The study found a long-term asymmetrical relationship between the Banking Index and the Dollar, Euro and CDS (positive), VIX, Gold and CDS (negative).
The price of the stock is equal to the discounted version of the future cash flow. The discount rate generally depends on market interest rate (risk-free interest rate) and risk premium. However, the stocks also change according to the efficiency of the market in which they are traded. According to the active markets hypothesis, the information reflected in the markets in weak form in active markets may affect prices. In this study, selected macroeconomic variables that are expected to affect the BIST Banking Index are analyzed. The analysis period consists of monthly data between 2005/01-2019/12. In this study, Nonlinear Delay Distributed Auto Regressive Model (NARDL) was used to determine the asymmetric effect between variables. As a result of the study, a long-term asymmetric relationship was found between Banking Index and Dollar, Euro and CDS (positive), VIX, Gold and CDS (negative).
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