Atıf Sayısı
14
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85
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27
Bu çalışmanın amacı, 2009 Kasım-2019 Aralık dönemi için, döviz kuru, faiz oranı ve enflasyondaki değişimlerin Borsa İstanbul’da işlem gören ve işlem hacmi en yüksek olan beş hisse senedi endeksi arasındaki kısa ve uzun dönemli ilişkilerin tespit edilmesidir. Çalışmada uygulanan analiz yöntemi ARDL sınır testidir. Elde edilen sonuçlara göre;kısa ve uzun dönemde döviz kurundaki artışın incelenen hisse senedi endekslerini düşürdüğünü fakat bu etkilerin yalnız kısa dönem için istatistiksel olarak anlamlı olduğunu göstermiştir. Kısa ve uzun dönemde faiz oranlarındaki artışın da incelenen tüm endekslerde düşüşe yol açtığı belirlenmiştir. Faiz oranları ve hisse senedi piyasa endeksleri arasındaki uzun dönemli ilişkinin incelenen endekslerden BİST Tüm, BİST Mali ve BİST Sınai endekslerinde; kısa dönemde ise BİST Banka endeksinde istatistiksel olarak anlamlı olduğu sonucu elde edilmiştir. Uzun dönemde enflasyondaki artışın incelenen tüm endeksleri pozitif, kısa dönemde ise negatif etkilediği tespit edilmiştir. Enflasyon ve hisse senedi piyasa endeksleri arasındaki uzun dönemli ilişkinin incelenen endekslerden BİST Tüm, BİST Mali ve BİST Hizmet endekslerinde; kısa dönemli ilişkinin BİST Tüm, BİST Mali ve BİST Sınai endekslerinde istatistiksel olarak anlamlı olduğu sonucuna ulaşılmıştır. Kısa dönemli analiz sonuçlarına göre; kurulan tüm modellerde hata düzeltme katsayılarının negatif ve istatistiksel olarak anlamlı olduğu belirlenmiştir.
The aim of this study is to identify the short-term and long-term relationships between the exchange rate, interest rate and inflation variations for the 2009 November-2019 period, which are trading in the Stock Exchange and the highest trading volume of the five stock index. The analysis method applied in the study is the ARDL limit test. According to the results obtained, the short and long-term increase in the currency currency has shown that the studied stock index has been lowered but that these effects have been statistically meaningful only for the short period. In the short and long term, the rise in interest rates has also been determined to lead to a decline in all the indicators studied. The long-term relationship between interest rates and stock market indicators has been studied in BIST All, BIST Financial and BIST Financial indicators; in the short term, BIST Bank indicators have been statistically meaningful. In the long term, the increase in inflation has been found to have a positive impact on all the indicators studied, and in the short term it has been found to have a negative impact. The long-term relationship between inflation and stock market indicators has been studied from the indicators of BIST All, BIST Financial and BIST Service indicators; the short-term relationship is statistically meaningful in BIST All, BIST Financial and BIST Financial indicators. According to the short-term analysis results, errors correction rates in all established models have been determined to be negative and statistically meaningful.
The purpose of this study is to determine the short and long-term relationships for the period of November 2009-December 2019, between exchange rate, interest rate and inflation, with five stock indices, which are traded in Istanbul Stock Exchange and have the highest trading volume. The analysis method used in the study is the ARDL bounds test. According to the obtained results; it is showed that the increase in the exchange rate decreased the stock indices in short and long run, these effects are only statistically significant in short run. It has been determined that the increase in interest rates in short and long run also caused a decrease in all examined indices. Relationship between interest rates and stock market indices is found to be statistically significant in the ISE All, ISE Financial and ISE Industrial indices in long run; and in the ISE Bank in short run. It has been determined that the increase in inflation in long run positively and in short run negatively affected all examined indexes. It is concluded that the long run relationship between inflation and ISE All, ISE Financial, ISE Services indices; and short run relationship of ISE All, ISE Financial, ISE Industrial indices are statistically significant. According to the short-term analysis results; it has been determined that error correction coefficients were negative and statistically significant in all models.
Alan : Sosyal, Beşeri ve İdari Bilimler
Dergi Türü : Uluslararası
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