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  Citation Number 11
 Views 112
 Downloands 51
Cointegration and Causality Relationship Between Bist 100 and Bist Gold Indices(bi̇st 100 ve Bi̇st Altin Endeksleri Arasindaki Esbutunlesme ve Nedensellik İliskisi)
2016
Journal:  
Yönetim ve Ekonomi
Author:  
Abstract:

The aim of this study is to determine the nature of the long term relationship between the BIST Gold Market Index (GOLD) and BIST 100 index (BIST). The daily closing values of both indices are obtained from the Borsa Istanbul’s official web site for the period of August 1st 2012 to March 17th 2015. Statistical methods of the Augmented Dickey Fuller (ADF) unit root test, Engle-Granger cointegration test, error correction model, and finally Granger causality tests are used in the study. It is concluded that BIST and GOLD are cointegrated, which means that a long term equilibrium relationship exists between the two indices. The Granger causality test indicated that there is a unidirectional causality running from BIST towards GOLD for the period under investigation. In terms of short term dynamics, it is determined that the rate of the disequilibrium correction is slow at only about 2% on a daily basis. Any deviation from the long run equilibrium value is eliminated after about 50 days.  Bu çalışmanın amacı BIST Altın Piyasa Endeksi (GOLD) ve BIST 100 endeksi (BIST) arasında uzun dönemli ilişki olup olmadığını tespit etmektir. Söz konusu endekslerin 1 Ağustos 2002 ile 17 Mart 2015 tarihleri arasındaki günlük kapanış değerleri Borsa İstanbul’un resmi internet sitesinden alınmıştır. Bu çalışmada Dickey Fuller birim kök testi, Engle-Granger eş bütünleşme testi, hata düzeltme modeli ve Granger nedensellik testi gibi istatistiksel yöntemler kullanılmıştır. BIST ve GOLD endeksleri arasında uzun dönemde denge var anlamına gelen eş bütünleşme tespit edilmiştir.  Granger nedensellik testi çalışılan dönem için BIST endeksinden GOLD endeksine doğru tek yönlü bir nedensellik ilişkisinin varlığını göstermiştir. Kısa dönem dinamikleri açısından eşitsizlik düzeltme hızının düşük ve günlük olarak yalnızca %2 oranında olduğu belirlenmiştir. Uzun dönem denge değerinden bir sapma yaklaşık 50 günlük bir süreçte ortadan kalkmaktadır.

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Yönetim ve Ekonomi
Yönetim ve Ekonomi