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Bu çalışmada Arbitraj Fiyatlama Teorisinin Türkiye ekonomisinde geçerliliği, 2002-2008 2008-2019 dönemleri için iki ayrı analizle incelenmiştir. Çalışmada menkul kıymetlerin (Borsanın) getirilerini etkilediği değerlendirilen altın fiyatları, vadeli mevduat faiz oranları, döviz kuru, Merkez Bankası Öncü Göstergeler Endeksi ve VIX korku endeksi verileri kullanılmıştır. Serilerin durağanlıkları ADF birim kök testi ile sınanmış ve serilerin farklı derecelerden durağan oldukları belirlenmiştir. Modelde yer alan serilerin eşbütünleşik olup olmadıkları Sınır Testi yöntemiyle incelenmiş ve serilerin eşbütünleşik olduklarına karar verilmiştir. Regresyon analizleri ARDL yöntemiyle yapılmış ve altının sadece 2002-2008 yılları arasında kısa dönemde, dövizin her iki zaman aralığında da uzun dönemde de kısa dönemde de, mevduat faizlerinin 2002-2008 yılları arasında uzun dönemde BIST 100’ün ikamesi olduğu belirlenmiştir. Ayrıca mevduat faizlerinin 2008-2019 döneminde uzun dönemde, ülkedeki ekonomik konjonktürün 2002-2019 döneminde BIST 100 endeksini destekleyici etkilerinin olduğu belirlenmiştir. Dünyadaki finansal korku düzeyindeki (VIX) artışların ise BIST 100 endeksi getirilerini 2008 sonrası dönemde negatif yönde etkilediği görülmüştür. Modellerin hata düzeltme mekanizmaları çalışmaktadır.
In this study, the validity of the Arbitration Pricing Theory in the Turkish economy was studied by two separate analyses for the periods 2002-2008; 2008-2019. The study used estimated gold prices that influenced the returns of currency (the stock exchange), the deadline deposit interest rates, the exchange rate, the Central Bank’s Advanced Indicators Index and the VIX fear index data. The stages of the series have been tested by the ADF unit root test and the series have been determined to be stages of different degrees. The series included in the model has been examined by the border test method and the series has been determined whether they are compatible. Regression analyses were done using the ARDL method and the gold was determined only in the short period between 2002-2008 years, both in the time range of the currency and in the long period and in the short period, and the deposit interest rates in the long period between 2002-2008 years were the residence of BIST 100. In addition, the long term of the deposit interest in the period 2008-2019 has been determined to have a supporting impact on the BIST 100 index in the period 2002-2019. Increases in global financial fear levels (VIX) have been shown to have a negative impact on the BIST 100 revenue in the period after 2008. The errors correction mechanisms of the models work.
In this study, validity of the Arbitrage Pricing Theory in Turkey's economy is investigated with two separate analyzes for the period of 2002-2008 and 2008-2019. In the study, gold prices, time deposit interest rates, exchange rate, Central Bank Leading Indicators Index and VIX fear index data which are considered to affect the returns of securities (Stock Exchange) are used. Stationarity of the series is tested by ADF unit root test and the series are determined to be stationary at different levels. The cointegration of the series in the model is examined by Bounds Testing method and it is seen that the series are cointegrated. The regression analysis is performed by ARDL method and it is determined that gold is the substitute of BIST 100 just in the short term between 2002 and 2008, while foreign exchange is substitute of it both in the long and short term in the two periods. Moreover, the time deposit interest rates are substitutes of BIST 100 in the long term between 2002 and 2008. It is also found that the time deposit interest rates during the period of 2008-2019, similar to economic conjuncture in the country in the 2002-2019 periods, have a supportive effect on BIST 100 index in the long term. It is observed that the increases in financial fear level (VIX) negatively influence BIST 100 index returns in the post-2008 period. Error correction mechanisms of the models operate.
Field : Sosyal, Beşeri ve İdari Bilimler
Journal Type : Ulusal
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