LINKAGES BETWEEN STOCK PRICE AND SELECTED ECONOMIC VARIABLES IN TURKEY: EVIDENCE FROM COINTEGRATION IN STAR
Yıl: 2022 Cilt: Sayı: 62 Sayfa Aralığı: 185 - 204 Metin Dili: İngilizce DOI: 10.18070/erciyesiibd.1015405 İndeks Tarihi: 02-09-2022
LINKAGES BETWEEN STOCK PRICE AND SELECTED ECONOMIC VARIABLES IN TURKEY: EVIDENCE FROM COINTEGRATION IN STAR
Öz: After globalization, all the markets in the world are known as competitive fields, and accordingly, economic interactions emerge more strongly. Similarly, national and international economic variables can affect the Istanbul stock market. This study analyses the relationship between stock price and some selected economic variables using cointegration in STAR, Maki (2010), and KSS (2006) in Turkey from January 2000 to June 2019. Because of the difference between the results of the Maki (2010) and KSS (2006) test, it has been tried to find the model that has less constraint, and then this model has been used to analyze these relationships. Our findings support the long-run relationship between stock price and other economic variables with STAR adjustment. Findings also show that adjusting the relationship between stock price, gold price, and exchange rate take much time, while adjusting the relationship between stock price, interest rate, and inflation does not take much time. Moreover, there is a long-run causality between stock price and other variables except for interest rate. Estimating the adjustment speed of the relationship can be helpful for portfolio management and also financial risk management.
Anahtar Kelime: TÜRKİYE'DE HİSSE SENEDİ FİYATLARI İLE SEÇİLMİŞ EKONOMİK DEĞİŞKENLER ARASINDAKİ İLİŞKİLER: STAR EŞBÜTÜNLEŞME TESTİ BULGULARI
Öz: Küreselleşme sonrasında dünyadaki tüm piyasalar rekabet alanı olarak bilinmekte ve buna bağlı olarak ekonomik etkileşimler daha güçlü bir şekilde ortaya çıkmaktadır. Benzer şekilde, Borsa İstanbul da hem ulusal hem de uluslararası ekonomik değişkenlerden etkilenebilmektedir. Bu çalışma, Türkiye ekonomisi Ocak 2000-Haziran 2019 dönemi hisse senedi fiyatları ile bazı seçilmiş ekonomik değişkenler arasındaki ilişkiyi STAR tipi eşbütünleşme testi, Maki (2010) and KSS (2006) ile analiz etmektedir. Maki (2010) ve KSS (2006) test sonuçları arasındaki farklılıktan dolayı daha az kısıta sahip olan model bulunmaya çalışılmış ve seçilmiş olan model bu ilişkilerin analizinde kullanılmıştır. Bulgularımız, hisse senedi fiyatları ile diğer ekonomik değişkenler arasında STAR düzeltme ile uzun dönemli bir ilişkinin varlığını desteklemektedir. Ayrıca bulgular hisse senedi fiyatları ile altın fiyatı ve döviz kuru arasındaki ilişki düzeltmesinin çok zaman aldığını ve hisse senedi fiyatı ile faiz oranı ve enflasyon arasındaki ilişki düzeltmesinin çok zaman almadığını göstermektedir. Faiz oranı dışında, hisse senedi fiyatı ile diğer ekonomik değişkenler arasında uzun dönemli nedensellik bulunmaktadır. Dengeye dönme hızının tahmin edilmesi, Portföy Yönetimi ve ayrıca Finansal Risk Yönetimi için yararlı olabilir.
Anahtar Kelime: Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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| APA | Rahmani E, GÜRİŞ B (2022). LINKAGES BETWEEN STOCK PRICE AND SELECTED ECONOMIC VARIABLES IN TURKEY: EVIDENCE FROM COINTEGRATION IN STAR. , 185 - 204. 10.18070/erciyesiibd.1015405 |
| Chicago | Rahmani Elaheh,GÜRİŞ Burak LINKAGES BETWEEN STOCK PRICE AND SELECTED ECONOMIC VARIABLES IN TURKEY: EVIDENCE FROM COINTEGRATION IN STAR. (2022): 185 - 204. 10.18070/erciyesiibd.1015405 |
| MLA | Rahmani Elaheh,GÜRİŞ Burak LINKAGES BETWEEN STOCK PRICE AND SELECTED ECONOMIC VARIABLES IN TURKEY: EVIDENCE FROM COINTEGRATION IN STAR. , 2022, ss.185 - 204. 10.18070/erciyesiibd.1015405 |
| AMA | Rahmani E,GÜRİŞ B LINKAGES BETWEEN STOCK PRICE AND SELECTED ECONOMIC VARIABLES IN TURKEY: EVIDENCE FROM COINTEGRATION IN STAR. . 2022; 185 - 204. 10.18070/erciyesiibd.1015405 |
| Vancouver | Rahmani E,GÜRİŞ B LINKAGES BETWEEN STOCK PRICE AND SELECTED ECONOMIC VARIABLES IN TURKEY: EVIDENCE FROM COINTEGRATION IN STAR. . 2022; 185 - 204. 10.18070/erciyesiibd.1015405 |
| IEEE | Rahmani E,GÜRİŞ B "LINKAGES BETWEEN STOCK PRICE AND SELECTED ECONOMIC VARIABLES IN TURKEY: EVIDENCE FROM COINTEGRATION IN STAR." , ss.185 - 204, 2022. 10.18070/erciyesiibd.1015405 |
| ISNAD | Rahmani, Elaheh - GÜRİŞ, Burak. "LINKAGES BETWEEN STOCK PRICE AND SELECTED ECONOMIC VARIABLES IN TURKEY: EVIDENCE FROM COINTEGRATION IN STAR". (2022), 185-204. https://doi.org/10.18070/erciyesiibd.1015405 |
| APA | Rahmani E, GÜRİŞ B (2022). LINKAGES BETWEEN STOCK PRICE AND SELECTED ECONOMIC VARIABLES IN TURKEY: EVIDENCE FROM COINTEGRATION IN STAR. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, (62), 185 - 204. 10.18070/erciyesiibd.1015405 |
| Chicago | Rahmani Elaheh,GÜRİŞ Burak LINKAGES BETWEEN STOCK PRICE AND SELECTED ECONOMIC VARIABLES IN TURKEY: EVIDENCE FROM COINTEGRATION IN STAR. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi , no.62 (2022): 185 - 204. 10.18070/erciyesiibd.1015405 |
| MLA | Rahmani Elaheh,GÜRİŞ Burak LINKAGES BETWEEN STOCK PRICE AND SELECTED ECONOMIC VARIABLES IN TURKEY: EVIDENCE FROM COINTEGRATION IN STAR. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, vol., no.62, 2022, ss.185 - 204. 10.18070/erciyesiibd.1015405 |
| AMA | Rahmani E,GÜRİŞ B LINKAGES BETWEEN STOCK PRICE AND SELECTED ECONOMIC VARIABLES IN TURKEY: EVIDENCE FROM COINTEGRATION IN STAR. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2022; (62): 185 - 204. 10.18070/erciyesiibd.1015405 |
| Vancouver | Rahmani E,GÜRİŞ B LINKAGES BETWEEN STOCK PRICE AND SELECTED ECONOMIC VARIABLES IN TURKEY: EVIDENCE FROM COINTEGRATION IN STAR. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2022; (62): 185 - 204. 10.18070/erciyesiibd.1015405 |
| IEEE | Rahmani E,GÜRİŞ B "LINKAGES BETWEEN STOCK PRICE AND SELECTED ECONOMIC VARIABLES IN TURKEY: EVIDENCE FROM COINTEGRATION IN STAR." Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, , ss.185 - 204, 2022. 10.18070/erciyesiibd.1015405 |
| ISNAD | Rahmani, Elaheh - GÜRİŞ, Burak. "LINKAGES BETWEEN STOCK PRICE AND SELECTED ECONOMIC VARIABLES IN TURKEY: EVIDENCE FROM COINTEGRATION IN STAR". Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 62 (2022), 185-204. https://doi.org/10.18070/erciyesiibd.1015405 |
