HİSSE SENEDİ FİYATLARI İLE FİNANSAL VARLIK FİYATLARI ARASINDAKİ İLİŞKİNİN BELİRLENMESİ: BORSA İSTANBUL 100 ENDEKSİ ÜZERİNE BİR UYGULAMA
Author :
Abstract
Bu çalışmanın amacı Borsa İstanbul’da yer alan BİST100 endeksinde işlem gören hisse senetlerinin fiyatlarıyla finansal varlık fiyatlarının temsil edildiği Brent petrol, tahvil faiz oranı, Futures sözleşme fiyatı Euro/Dolar ve altın/Dolar pariteleri arasındaki ilişkiyi incelemektir. Veri seti 01.01. 2003 – 31.03.2017 tarihleri arasındaki dönemi kapsamaktadır. Ekonometrik uygulamanın ilk aşamasında her bir verinin durağanlık sınaması yapılmıştır. İkinci aşamada temel ekonometrik problemleri gidermek için White Değişen Varyans En Küçük Kareler Yöntemi (White Heteroscedasticity Ordinary Least Squares-WHOLS) yöntemi uygulanmıştır. Üçüncü ve son aşamada Tam Düzeltilmiş En Küçük Kareler Yöntemi (Fully Modified Least Squares-FMOLS) kullanılarak değişkenler arasındaki ilişki incelenmiştir. Araştırma bulgularına göre Brent petrol, Euro/Dolar paritesi, tahvil faiz oranı ve Futures sözleşme fiyatları ile hisse senedi fiyatları arasında negatif yönlü bir ilişki, Altın/Dolar paritesi ile hisse senedi fiyatları arasında pozitif yönlü bir ilişki tespit edilmiştir.
Keywords
Abstract
The purpose of this study is to review the relationship between stock prices that quoted in BIST 100 indices stated in Borsa İstanbul, and financial asset prices that is represented by Brent oil, bond yield, Futures contract price, Euro/Dollar and Gold/Dollar parities. Dataset includes the time period between 01.01.2003-31.03.2017. In the first step of econometric implementation, stability test of each data has been done. In the second step, White Heteroscedasticity Ordinary Least Squares (WHOLS) method has been implemented to eliminate main econometric problems. In the third and final step, Fully Modified Least Squares (FMOLS) method has been implemented to review relationship between variables. According to research findings, it has been determined that Brent oil, Euro/Dollar parity, bond yield and Futures contract price have negatively associated with stock prices, Gold/Dollar has positively associated with stock prices
Keywords
- Adam, A. M., & Tweneboah G. 2008. “Macroeconomic Factors and Stock Market Movement: Evidence
- Adam, A. M., & Tweneboah G. 2008. “Macroeconomic Factors and Stock Market Movement: Evidence From Ghana”. Munich Personal RePEc Archive, 1-19.
- Altın, H. & Sahin, E. 2011. “Macroeconomic Effects on Stock Markets: An Empirical Analysis forDeveloped, Emerging and Financial Suffering Countries”. Middle Eastern Finance and Economics, 13, 71- 89.
- Chen, N. F., Roll, R., & Ross, S. A. 1986. “Economic Forces and The Stock Market”. Journal of Business, 383-403.
- Clare, A. D., & Thomas, S. H. 1994. “Macroeconomic Factors, The APT and The UK Stockmarket”. Journal of Business Finance & Accounting, 21(3), 309-330.
- El-Sharif, I. ve diğerleri (2005). “Evidence on The Nature and Extent of The Relationship between Oil Prices and Equity Values in The UK”, Energy Economics, 27, 819 – 830.
- Gan, C., ve diğerleri 2006. “Macroeconomic Variables nd Stock Market İnteractions: New Zealand Evidence”. Investment Management and Financial Innovations, 3(4), 89-101.
- Groenewold F. N. 1997. “Share Prices and Macroeconomic Factors”. Journal of Business Finance & Accounting, 24(9‐10), 1367-1383.
- Hasan, A. & Nasir, Z. M. 2008. “Macroeconomic Factors and Equity Prices: An Empirical Investigation by Using ARDL Approach”. The Pakistan Development Review, 501-513.
- Humpe, A. & Macmillan, P. 2009. “Can Macroeconomic Variables Explain Long-Term Stock Market Movements? A Comparison of The US and Japan”. Applied Financial Economics, 19(2), 111-119.
- Kawaller, I. G. ve diğerleri 1987. “The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index”. The Journal of Finance, 42/5, 1309-1329.
- Maysami, R. C., Howe, L. C., & Hamzah, M. A. 2004. “Relationship between Macroeconomic Variables andStock Market Indices: Cointegration Evidence from Stock Exchange of Singapore’s All-S Sector Indices”. Jurnal Pengurusan, 24(1), 47-77.
- Mukherjee, T. K., & Naka, A. 1995. “Dynamic Relations between Macroeconomic Variables and TheJapanese Stock Market: An Application of a Vector Error Correction Model”. Journal of Financial Research, 18(2), 223-237.
- Naik, P. K. & Padhi, P. 2012. “The Impact of Macroeconomic Fundamentals on Stock Prices Revisited: An Evidence from Indian Data”. Munich Personal RePEc Archive, 1-24.
- Rjoub, H., Türsoy, T., & Günsel, N. 2009. “The Effects of Macroeconomic Factors on Stock Returns: Istanbul Stock Market”. Studies in Economics and Finance, 26(1), 36-45.
- Ross, S. A. 1976. “The Arbitrage Theory of Capital Asset Pricing”. Journal of Economic Theory, 13, 341– 60.
- Sujit, K.S. &Kumar, B. R. 2011. “Study on Dynamic Relationship among Gold Price, Oil Price, ExchangeRate and Stock Market Returns”. International Journal of Applied Business and Economic Research, 9/2, 145-165.
