HİSSE SENEDİ PİYASASI OYNAKLIĞI KONJONKTÜR DALGALANMALARINI NASIL ETKİLER? TÜRKİYE’DEN ASİMETRİK KANITLAR
Yıl: 2023 Cilt: 8 Sayı: 3 Sayfa Aralığı: 467 - 481 Metin Dili: Türkçe DOI: 10.30784/epfad.1303396 İndeks Tarihi: 06-10-2023
HİSSE SENEDİ PİYASASI OYNAKLIĞI KONJONKTÜR DALGALANMALARINI NASIL ETKİLER? TÜRKİYE’DEN ASİMETRİK KANITLAR
Öz: Bu çalışmanın amacı, 1998-2022 çeyreklik dönemi için, Türkiye’de hisse senedi piyasası oynaklığının konjonktür dalgalanmalarını nasıl etkilediğini araştırmaktır. Hisse senedi piyasası oynaklığını ve konjonktür dalgalanmalarını temsilen, sırasıyla, Borsa İstanbul 100 endeksi getiri serisi (RBIST) ve trendden arındırılmış reel Gayri Safi Yurtiçi Hasıla (BC) değişkenleri kullanılmıştır. Bu oynaklığın, konjonktür dalgalanmalarının genişleme ve daralma aşamalarındaki etkilerini ayrıştırabilmek adına asimetrik yöntemlerden yararlanılmıştır. İlk olarak Markov rejim değişim GARCH (MS-GARCH) yöntemiyle konjonktür dalgalanmaları, genişleme ve daralma rejimleri altında incelenmiştir. MS-GARCH yönteminin bulgularına göre, RBIST, BC’yi her iki aşamada da negatif etkilemektedir. Ancak 2000’li yılların başında yaşanan Bankacılık Krizi, Küresel Finansal Kriz, 2016 ve 2018 Döviz krizleri ile son yaşanan Covid-19 Pandemisi gibi daralma aşamalarında söz konusu etki nispeten daha büyüktür. İkinci olarak ise bulguları daha güçlü kılmak adına, doğrusal olmayan ARDL (NARDL) yöntemi uygulanmıştır. NARDL yönteminin bulguları, kısa dönemde, MS-GARCH yönteminden elde edilen bulguları desteklemektedir. Kısa dönemde RBIST’in pozitif ve negatif bileşenlerinin, BC üzerindeki etkisi negatif, ancak uzun dönemde pozitif ve simetriktir. Genel olarak çalışmanın bulguları, politika yapıcıların, hisse senedi piyasasındaki oynaklık ile konjonktür dalgalanmaları arasındaki ilişkinin doğrusal olmayan özelliklerini dikkate alması gerektiğini göstermektedir.
Anahtar Kelime: How Does Stock Market Volatility Affect Business Cycles? Asymmetric Evidence from Türkiye
Öz: This study aims to investigate how stock market volatility affects business cycles in Turkey for the quarterly period 1998-2022. Borsa Istanbul 100 index return series (RBIST) and detrended real Gross Domestic Product (BC) are employed to proxy stock market volatility and business cycles, respectively. Asymmetric methods are used to decompose the effects of this volatility in the expansion and contraction phases of business cycles. First, business cycles are examined under the expansion and contraction regimes by the Markov regime-switching GARCH (MS-GARCH) method. According to the findings of the MS-GARCH method, RBIST negatively affects BC in both phases. However, this effect is relatively greater during contraction phases such as the Banking Crisis in the early 2000s, the Global Financial Crisis, the 2016 and 2018 Currency Crises, and the recent Covid-19 Pandemic. Second, the non-linear ARDL (NARDL) method is applied to robust the findings. The findings of the NARDL method in the short run corroborate the findings obtained from the MS-GARCH method. The positive and negative components of RBIST have a negative effect on BC in the short run, but it is positive and symmetric in the long run. Overall, the findings of the study suggest that policymakers should consider the non-linear characteristics of the relationship between stock market volatility and business cycles.
Anahtar Kelime: Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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| APA | KARAGOL V (2023). HİSSE SENEDİ PİYASASI OYNAKLIĞI KONJONKTÜR DALGALANMALARINI NASIL ETKİLER? TÜRKİYE’DEN ASİMETRİK KANITLAR. , 467 - 481. 10.30784/epfad.1303396 |
| Chicago | KARAGOL VEYSEL HİSSE SENEDİ PİYASASI OYNAKLIĞI KONJONKTÜR DALGALANMALARINI NASIL ETKİLER? TÜRKİYE’DEN ASİMETRİK KANITLAR. (2023): 467 - 481. 10.30784/epfad.1303396 |
| MLA | KARAGOL VEYSEL HİSSE SENEDİ PİYASASI OYNAKLIĞI KONJONKTÜR DALGALANMALARINI NASIL ETKİLER? TÜRKİYE’DEN ASİMETRİK KANITLAR. , 2023, ss.467 - 481. 10.30784/epfad.1303396 |
| AMA | KARAGOL V HİSSE SENEDİ PİYASASI OYNAKLIĞI KONJONKTÜR DALGALANMALARINI NASIL ETKİLER? TÜRKİYE’DEN ASİMETRİK KANITLAR. . 2023; 467 - 481. 10.30784/epfad.1303396 |
| Vancouver | KARAGOL V HİSSE SENEDİ PİYASASI OYNAKLIĞI KONJONKTÜR DALGALANMALARINI NASIL ETKİLER? TÜRKİYE’DEN ASİMETRİK KANITLAR. . 2023; 467 - 481. 10.30784/epfad.1303396 |
| IEEE | KARAGOL V "HİSSE SENEDİ PİYASASI OYNAKLIĞI KONJONKTÜR DALGALANMALARINI NASIL ETKİLER? TÜRKİYE’DEN ASİMETRİK KANITLAR." , ss.467 - 481, 2023. 10.30784/epfad.1303396 |
| ISNAD | KARAGOL, VEYSEL. "HİSSE SENEDİ PİYASASI OYNAKLIĞI KONJONKTÜR DALGALANMALARINI NASIL ETKİLER? TÜRKİYE’DEN ASİMETRİK KANITLAR". (2023), 467-481. https://doi.org/10.30784/epfad.1303396 |
| APA | KARAGOL V (2023). HİSSE SENEDİ PİYASASI OYNAKLIĞI KONJONKTÜR DALGALANMALARINI NASIL ETKİLER? TÜRKİYE’DEN ASİMETRİK KANITLAR. Ekonomi, Politika & Finans Araştırmaları Dergisi, 8(3), 467 - 481. 10.30784/epfad.1303396 |
| Chicago | KARAGOL VEYSEL HİSSE SENEDİ PİYASASI OYNAKLIĞI KONJONKTÜR DALGALANMALARINI NASIL ETKİLER? TÜRKİYE’DEN ASİMETRİK KANITLAR. Ekonomi, Politika & Finans Araştırmaları Dergisi 8, no.3 (2023): 467 - 481. 10.30784/epfad.1303396 |
| MLA | KARAGOL VEYSEL HİSSE SENEDİ PİYASASI OYNAKLIĞI KONJONKTÜR DALGALANMALARINI NASIL ETKİLER? TÜRKİYE’DEN ASİMETRİK KANITLAR. Ekonomi, Politika & Finans Araştırmaları Dergisi, vol.8, no.3, 2023, ss.467 - 481. 10.30784/epfad.1303396 |
| AMA | KARAGOL V HİSSE SENEDİ PİYASASI OYNAKLIĞI KONJONKTÜR DALGALANMALARINI NASIL ETKİLER? TÜRKİYE’DEN ASİMETRİK KANITLAR. Ekonomi, Politika & Finans Araştırmaları Dergisi. 2023; 8(3): 467 - 481. 10.30784/epfad.1303396 |
| Vancouver | KARAGOL V HİSSE SENEDİ PİYASASI OYNAKLIĞI KONJONKTÜR DALGALANMALARINI NASIL ETKİLER? TÜRKİYE’DEN ASİMETRİK KANITLAR. Ekonomi, Politika & Finans Araştırmaları Dergisi. 2023; 8(3): 467 - 481. 10.30784/epfad.1303396 |
| IEEE | KARAGOL V "HİSSE SENEDİ PİYASASI OYNAKLIĞI KONJONKTÜR DALGALANMALARINI NASIL ETKİLER? TÜRKİYE’DEN ASİMETRİK KANITLAR." Ekonomi, Politika & Finans Araştırmaları Dergisi, 8, ss.467 - 481, 2023. 10.30784/epfad.1303396 |
| ISNAD | KARAGOL, VEYSEL. "HİSSE SENEDİ PİYASASI OYNAKLIĞI KONJONKTÜR DALGALANMALARINI NASIL ETKİLER? TÜRKİYE’DEN ASİMETRİK KANITLAR". Ekonomi, Politika & Finans Araştırmaları Dergisi 8/3 (2023), 467-481. https://doi.org/10.30784/epfad.1303396 |
