VOLATILITY STRUCTURE OF STOCK PRICE INDEX AND EXCHANGE RATES: CASUALITY ANALYSIS FOR TURKEY

Çağatay BAŞARIR (Bandırma Onyedi Eylül Üniversitesi, Ömer Seyfettin Uygulamalı Bilimler Fakültesi, Uluslararası Ticaret ve Lojistik Bölümü, Balıkesir, Türkiye)
Gümüşhane Üniversitesi Sosyal Bilimler Dergisi
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Yıl: 2018 Cilt: 9 Sayı: 24 Sayfa Aralığı: 330 - 349 Metin Dili: İngilizce İndeks Tarihi: 01-10-2019

VOLATILITY STRUCTURE OF STOCK PRICE INDEX AND EXCHANGE RATES: CASUALITY ANALYSIS FOR TURKEY

Öz:
Volatility in finance is used as a concept of uncertainty, change and fluctuation as well as a measure of risk.Recently, rapid rises and falls of exchange rates and BIST Stock Index unfold the concept of volatility. The purposeof the study is to reveal the volatility structure of Turkish stock exchange market and exchange rates and also todetermine the relationship between the stock exchange index and exchange rates. In the studies conducted in thefield of finance, there is usually a one-way or two-way relationship between stock markets and exchange rates.However, there is no consensus on the structure of this relationship. The aim of this study is to determine therelationship between stock price index and exchange rates. Two hypothesis will be tested in the study: Is there acointegration relationship (long‐term equilibrium) and causality between the exchange rate and stock prices inTurkey? ARCH family models which are widely used in literature are tested using BIST 100 index, EURO/TLselling rate and USD/TL selling rate. Results of the study show that there is volatility in all of the series.Furthermore, causality test show that the value of the variables are linked each other.
Anahtar Kelime:

Konular: Tarih

DÖVİZ KURU VE BORSA ENDEKSİ VOLATİLİTE YAPISI: TÜRKİYE İÇİN NEDENSELLİK ANALİZİ

Öz:
Finans alanında volatilite genellikle risk ölçü birimi olarak kullanılmakla birlikte aynı zamanda belirsizlik, değişim, oynaklık anlamlarına da gelmektedir. Özellikle son zamanlarda Türkiye’de döviz kurları ve borsa İstanbul’da yaşanan hızlı artış ve düşüşler volatilite kavramının önemini bir kez daha gözler önüne sermiştir. Bu çalışmanın amacı, Türkiye’de hisse senedi piyasaları ve döviz kurlarının volatilite yapısını ortaya koymaktır. Finans alanında yapılan çalışmalarda genellikle, hisse senedi piyasaları ile döviz kurları arasında tek yönlü ya da çift yönlü olabilecek bir ilişki tepit edilmiştir. Ancak, bu ilişkinin yapısı hakkında tam bir fikir birliği bulunmamaktadır. Bu çalışmada hisse senedi endeksi ve döviz kurları arasındaki ilişkinin belirlenmesi amaçlanmaktadır. Çalışmada iki hipotez test edilmektedir: Türkiye’de döviz kurları ve hisse senedi fiyatları arasında bir eşbütünleşme (uzun dönemli denge) ve nedensellik ilişkisi var mıdır? Çalışmada volatilitenin tespit edilebilmesi için literatürde yaygın bir şekilde kullanılan ARCH ailesi modelleri kullanılarak, BIST 100 endeksi ve EURO/TL Satış Kuru ile USD/TL satış kurlarına ait veriler kullanılmıştır. Çalışmanın sonucunda tüm serilerde volatilite tespit edilmiştir. Nedensellik analizi sonuçlarında tüm serilerin birbirlerinin Granger anlamda nedeni olduğu görülmüştür.
Anahtar Kelime:

Konular: Tarih
Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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APA BAŞARIR Ç (2018). VOLATILITY STRUCTURE OF STOCK PRICE INDEX AND EXCHANGE RATES: CASUALITY ANALYSIS FOR TURKEY. , 330 - 349.
Chicago BAŞARIR ÇAĞATAY VOLATILITY STRUCTURE OF STOCK PRICE INDEX AND EXCHANGE RATES: CASUALITY ANALYSIS FOR TURKEY. (2018): 330 - 349.
MLA BAŞARIR ÇAĞATAY VOLATILITY STRUCTURE OF STOCK PRICE INDEX AND EXCHANGE RATES: CASUALITY ANALYSIS FOR TURKEY. , 2018, ss.330 - 349.
AMA BAŞARIR Ç VOLATILITY STRUCTURE OF STOCK PRICE INDEX AND EXCHANGE RATES: CASUALITY ANALYSIS FOR TURKEY. . 2018; 330 - 349.
Vancouver BAŞARIR Ç VOLATILITY STRUCTURE OF STOCK PRICE INDEX AND EXCHANGE RATES: CASUALITY ANALYSIS FOR TURKEY. . 2018; 330 - 349.
IEEE BAŞARIR Ç "VOLATILITY STRUCTURE OF STOCK PRICE INDEX AND EXCHANGE RATES: CASUALITY ANALYSIS FOR TURKEY." , ss.330 - 349, 2018.
ISNAD BAŞARIR, ÇAĞATAY. "VOLATILITY STRUCTURE OF STOCK PRICE INDEX AND EXCHANGE RATES: CASUALITY ANALYSIS FOR TURKEY". (2018), 330-349.
APA BAŞARIR Ç (2018). VOLATILITY STRUCTURE OF STOCK PRICE INDEX AND EXCHANGE RATES: CASUALITY ANALYSIS FOR TURKEY. Gümüşhane Üniversitesi Sosyal Bilimler Dergisi, 9(24), 330 - 349.
Chicago BAŞARIR ÇAĞATAY VOLATILITY STRUCTURE OF STOCK PRICE INDEX AND EXCHANGE RATES: CASUALITY ANALYSIS FOR TURKEY. Gümüşhane Üniversitesi Sosyal Bilimler Dergisi 9, no.24 (2018): 330 - 349.
MLA BAŞARIR ÇAĞATAY VOLATILITY STRUCTURE OF STOCK PRICE INDEX AND EXCHANGE RATES: CASUALITY ANALYSIS FOR TURKEY. Gümüşhane Üniversitesi Sosyal Bilimler Dergisi, vol.9, no.24, 2018, ss.330 - 349.
AMA BAŞARIR Ç VOLATILITY STRUCTURE OF STOCK PRICE INDEX AND EXCHANGE RATES: CASUALITY ANALYSIS FOR TURKEY. Gümüşhane Üniversitesi Sosyal Bilimler Dergisi. 2018; 9(24): 330 - 349.
Vancouver BAŞARIR Ç VOLATILITY STRUCTURE OF STOCK PRICE INDEX AND EXCHANGE RATES: CASUALITY ANALYSIS FOR TURKEY. Gümüşhane Üniversitesi Sosyal Bilimler Dergisi. 2018; 9(24): 330 - 349.
IEEE BAŞARIR Ç "VOLATILITY STRUCTURE OF STOCK PRICE INDEX AND EXCHANGE RATES: CASUALITY ANALYSIS FOR TURKEY." Gümüşhane Üniversitesi Sosyal Bilimler Dergisi, 9, ss.330 - 349, 2018.
ISNAD BAŞARIR, ÇAĞATAY. "VOLATILITY STRUCTURE OF STOCK PRICE INDEX AND EXCHANGE RATES: CASUALITY ANALYSIS FOR TURKEY". Gümüşhane Üniversitesi Sosyal Bilimler Dergisi 9/24 (2018), 330-349.
Sayfa Oluşturulma Tarihi
23-04-2024 8:55

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