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Hisse senedi fiyatlarına etki eden faktörlerin incelenmesi, Türkiye gibi firmalarının dış borç stoku yüksek, sermaye hareketlerine aşırı duyarlı, enflasyonun yüksek seyrettiği, küresel finans sistemine entegre borsası ve banka bazlı finansal sistemi olan ülkeler için önemli olmaktadır. Dolayısıyla Türkiye için hisse senedi fiyatına etki eden faktörlerin belirlenmesi mikro ve makro ölçekte ekonomi politikalarının şekillenmesi açısından önem kazanmaktadır. Bu amaçla çalışmada Türkiye’de hisse senedi fiyatları (BİST 100), döviz kuru, mevduat faiz oranı, petrol fiyatları, M2 para arzı, TÜFE(enflasyon oranı) ve Sanayi Üretim Endeksi değişkenleri arasındaki nedensellik ilişkileri 2006:1-2020:7 dönemi için simetrik ve asimetrik nedensellik testleri ile araştırılmıştır. Bulgular simetrik analizde döviz kuru, mevduat faiz oranı,para arzı ve petrol fiyatlarından hisse senedi fiyatlarına doğru bir nedensellik ilişkisinin varlığına işaret etmektedir. Bununla birlikte TÜFE ve sanayi üretim endeksi ile hisse senedi fiyatları arasında bir nedensellik ilişkisi bulunamamıştır. Asimetrik analizde ise, pozitif bileşenlerde döviz kuru ve para arzı değişkenleri hisse senedi fiyatlarının nedeni iken, negatif bileşenlerde enflasyon oranının hisse senedi fiyatlarının nedeni olduğu görülmektedir. Diğer taraftan faiz oranı ve petrol fiyatları değişkenlerinin hem pozitif hem de negatif bileşenlerde hisse senedi fiyatları ile nedensellik ilişkisi olduğu tespit edilmiştir. Sanayi üretim endeksi ve hisse senedi fiyatları arasında ise herhangi bir nedensellik ilişkisi tespit edilememiştir.
The study of the factors affecting the stock prices is important for countries with a high foreign debt stock of companies such as Turkey, excessive sensitivity to capital movements, high inflation, global financial system integrated stock exchange and bank-based financial system. Therefore, the determination of factors affecting the stock price for Turkey becomes important in terms of the formation of economic policies in the micro and macro scale. For this purpose in the study in Turkey, the causality relationship between stock prices (BIST 100), exchange rate, deposit interest rate, oil prices, M2 cash supply, TÜFE(inflation rate) and Industrial Production Index variables was studied by symmetric and asymmetric causality tests for the period 2006:1-2020:7. The findings in the symmetrical analysis indicate the existence of a correct causal relationship from the exchange rate, the deposit interest rate, the money supply and the oil prices to the stock price. However, there was no causal relationship between the TÜFE and the industrial production index and the stock price. In the asymmetrical analysis, the currency currency and monetary supply variables in the positive components are the cause of stock prices, while in the negative components the inflation rate is the cause of stock prices. On the other hand, interest rates and oil prices variables have been found to have a causal relationship with stock prices in both positive and negative components. Between industrial production index and stock price, no causal relationship has been identified.
Examining the factors that influence stock prices, such as Turkey, firms with high external debt stock, for portfolio investments is extremely sensitive to capital movements, where there is high inflation, stock market integrated into the global financial system and Bank-based financial systems are important for countries. Therefore, determining the factors affecting the stock price becomes important in terms of shaping economic policies on a micro-and macro scale. For this purpose, the causal relations between stock prices (BIST 100), exchange rate, deposit interest rate, Brent oil prices, money supply (M2), CPI and Industrial Production Index variables were investigated by Symmetric and asymmetric causalality tests for the period 2006:1-2020:7. The findings point to the existence of a causal relationship between the exchange rate, deposit interest rate,money supply and oil prices towards stock prices in the symmetric analysis. However, no causal relationship was found between CPI and Industrial Production Index and stock prices. In asymmetric analysis, it is seen that exchange rate and money supply variables in positive components are the cause of stock prices, while inflation rate in negative components is the cause of stock prices. On the other hand, it has been found that interest rate and oil price variables have a causal relationship with stock prices in both positive and negative components. Any causal relationship between the Industrial Production Index and stock prices has not been determined.
Field : Sosyal, Beşeri ve İdari Bilimler
Journal Type : Ulusal
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