Yıl: 2021 Cilt: 43 Sayı: 1 Sayfa Aralığı: 42 - 56 Metin Dili: İngilizce DOI: 10.14780/muiibd.960267 İndeks Tarihi: 29-07-2022

THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANALYSIS

Öz:
This study investigates the impact of exchange rates on stock indices for Turkey and examines whether theseimpacts are asymmetric. For this purpose, the non-linear autoregressive distributed lag (NARDL) modelis used as an asymmetric cointegration method. In the study covering the period 2005-2020, BIST-100,BIST-100 All Shares and four stock sector indices are included in the models as stock indices representing.Thus, the response of the stock indices of the firms in different sectors to the movements in exchange ratesis analyzed. The findings indicate that the impacts of exchange rate movements on the BIST-100 All Sharesindex and the service, industry, and technology sector indices in the short-term are asymmetrical, and theimpacts on the technology sector index in the long-term are asymmetrical.
Anahtar Kelime: Asymmetry Cointegration Exchange Rate Sectoral Stock Indices

TÜRKİYE İÇİN DÖVİZ KURLARININ HİSSE SENEDİ FİYATLARINA ETKİSİ: ASİMETRİK DOĞRUSAL OLMAYAN EŞBÜTÜNLEŞME ANALİZİ

Öz:
Bu çalışma döviz kurlarının Türkiye için hisse senedi fiyatları üzerindeki etkisini araştırmakta ve bu etkilerin asimetrik olup olmadığını incelemektedir. Bu amaçla doğrusal olmayan otoregresif dağıtılmış gecikme (NARDL) modeli, asimetrik eşbütünleşme yöntemi olarak kullanılmıştır. 2005-2020 dönemini kapsayan çalışmada BIST-100, BIST-100 Tüm Hisse Senetleri ve dört hisse senedi sektör endeksi, hisse senedi fiyatlarını temsil eden modellerde yer almaktadır. Böylelikle farklı sektörlerdeki firmaların hisse senedi fiyatlarının döviz kurlarındaki değişimlere tepkisi analiz edilmiştir. Bulgular, döviz kuru değişimlerinin BIST-100 Tüm Hisse Senetleri endeksi ile kısa vadede hizmet, sanayi ve teknoloji sektörü endeksleri üzerindeki etkilerinin asimetrik olduğunu ve uzun vadede teknoloji sektörü endeksi üzerindeki etkilerinin asimetrik olduğunu göstermektedir.
Anahtar Kelime:

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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APA ÜRKMEZ E, BÖLÜKBAŞI Ö (2021). THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANALYSIS. , 42 - 56. 10.14780/muiibd.960267
Chicago ÜRKMEZ EMRE,BÖLÜKBAŞI Ömer Faruk THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANALYSIS. (2021): 42 - 56. 10.14780/muiibd.960267
MLA ÜRKMEZ EMRE,BÖLÜKBAŞI Ömer Faruk THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANALYSIS. , 2021, ss.42 - 56. 10.14780/muiibd.960267
AMA ÜRKMEZ E,BÖLÜKBAŞI Ö THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANALYSIS. . 2021; 42 - 56. 10.14780/muiibd.960267
Vancouver ÜRKMEZ E,BÖLÜKBAŞI Ö THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANALYSIS. . 2021; 42 - 56. 10.14780/muiibd.960267
IEEE ÜRKMEZ E,BÖLÜKBAŞI Ö "THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANALYSIS." , ss.42 - 56, 2021. 10.14780/muiibd.960267
ISNAD ÜRKMEZ, EMRE - BÖLÜKBAŞI, Ömer Faruk. "THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANALYSIS". (2021), 42-56. https://doi.org/10.14780/muiibd.960267
APA ÜRKMEZ E, BÖLÜKBAŞI Ö (2021). THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANALYSIS. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 43(1), 42 - 56. 10.14780/muiibd.960267
Chicago ÜRKMEZ EMRE,BÖLÜKBAŞI Ömer Faruk THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANALYSIS. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi 43, no.1 (2021): 42 - 56. 10.14780/muiibd.960267
MLA ÜRKMEZ EMRE,BÖLÜKBAŞI Ömer Faruk THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANALYSIS. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, vol.43, no.1, 2021, ss.42 - 56. 10.14780/muiibd.960267
AMA ÜRKMEZ E,BÖLÜKBAŞI Ö THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANALYSIS. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2021; 43(1): 42 - 56. 10.14780/muiibd.960267
Vancouver ÜRKMEZ E,BÖLÜKBAŞI Ö THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANALYSIS. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2021; 43(1): 42 - 56. 10.14780/muiibd.960267
IEEE ÜRKMEZ E,BÖLÜKBAŞI Ö "THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANALYSIS." Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 43, ss.42 - 56, 2021. 10.14780/muiibd.960267
ISNAD ÜRKMEZ, EMRE - BÖLÜKBAŞI, Ömer Faruk. "THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANALYSIS". Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi 43/1 (2021), 42-56. https://doi.org/10.14780/muiibd.960267