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MAKROEKONOMİK FAKTÖRLERİN HİSSE SENEDİ PİYASALARI ÜZERİNDEKİ ETKİSİ: BORSA İSTANBUL ÜZERİNE BİR UYGULAMA

Yıl 2015, Cilt: 4 Sayı: 2, 30 - 49, 01.12.2015

Öz

Çalışmada enflasyon, faiz oranı, döviz kuru, sanayi üretim endeksi ve petrol fiyatları faktörlerinin BİST-100 endeksi üzerindeki etkisi çok faktörlü regresyon modeli ile araştırılmış; endeks ile faktörler arasındaki karşılıklı nedensellik ilişkisinin tespitine yönelik Johansen eş bütünleşme testi, vektör hata düzeltme modeli ve Granger nedensellik testi uygulanmıştır. Sonuçta döviz kuru değişkeni BİST-100 üzerinde açıklayıcılığa sahip tek faktör olarak bulunmuştur. Sanayi ve döviz kurunun BİST-100’deki değişimlerin tahmin edilmesinde kullanılabileceği ancak tersinin geçerli olmadığı, BİST-100’ün yalnızca petrol değişkeni için Granger nedenselliğine sahip olduğu görülmüştür.

Kaynakça

  • Alam, M. ve Uddin, G. S. (2009), Relationship Between Interest Rate and Stock Price: Empirical Evidence from Developed and Developing Countries. International Journal of Business and Management, 4 (3), 43–51.
  • Ali, I., Rehman, K. U., Yilmaz, A. K., Khan, M. A. ve Afzal, H. (2010), Causal Relationship Between Macro-Economic Indicators and Stock Exchange Prices in Pakistan. African Journal of Business Management, 4 (3), 312–319.
  • Aydemir, O. ve Demirhan, E. (2009), The Relationship Between Stock Prices and Exchange Rates: Evidence from Turkey, International Research Journal of Finance and Economics, 23 (23), 207–215.
  • Bilson, C. M., Brailsford, T. J. ve Hooper, V. J. (2001), Selecting Macroeconomic Variables as Explanatory Factors of Emerging Stock Market Returns, Pacific- Basin Finance Journal, 9, 401–426.
  • Buyuksalvarci, A. (2010), The Effects of Macroeconomics Variables on Stock Returns: Evidence from Turkey, European Journal of Social Sciences, 14 (3), 404–416.
  • Chen, N.-F., Roll, R. ve Ross, S. A. (1986), Economic Forces and The Stock Market, Journal of business, 59 (3), 383–403.
  • Dickey, D. A. ve Fuller, W. A. (1979), Distribution of the Estimators for Autoregressive Time Series with a Unit Root, Journal of the American Statistical Association, 74 (366), 427–431.
  • Eita, J. H. (2012), Modelling Macroeconomic Determinants Of Stock Market Prices: Evidence From Namibia, Journal of Applied Business Research (JABR), 28 (5), 871–884.
  • Faff, R. W. ve Brailsford, T. J. (1999), Oil Price Risk and The Australian Stock Market, Journal of Energy Finance & Development, 4 (1), 69–87.
  • Fedorova, E. A. ve Pankratov, K. A. (2010), Influence of Macroeconomic Factors on The Russian Stock Market, Studies on Russian Economic Development, 21 (2), 165–168.
  • Granger, C. W. J. (1969), Investigating Causal Relations by Econometric Models and Cross-Spectral Methods, Econometrica: Journal of the Econometric Society, 37 (3), 424–439.
  • Gutierrez, C. E. C., Souza, R. C. ve Guillén, O. T. de C. (2009), Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features, Brazilian Review of Econometrics, 29 (1), 24.
  • Hess, M. K. (2003), Sector Specific Impacts of Macroeconomic Fundamentals on The Swiss Stock Market, Financial Markets and Portfolio Management, 17 (2), 234–245.
  • Hondroyiannis, G. ve Papapetrou, E. (2001), Macroeconomic Influences on the Stock Market, Journal of Economics and Finance, 25 (1), 33–49.
  • Humpe, A. ve 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.
  • Johansen, S. (1991), Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models, Econometrica: Journal of the Econometric Society, 59 (6), 1551–1580.
  • Kadılar, C. ve Erdemir, C. (2002), Comparison of Performance Among Information Criteria in VAR and Seasonal Models, Hacettepe Journal of Mathematics and Statistics, 31, 127–137.
  • Kalra, R. (2012), Impact of Macroeconomic Variables on Indian Stock Market, The IUP Journal of Financial Risk Management, 9 (1), 43–54.
  • Kapusuzoglu, A. (2011), Relationships Between Oil Price and Stock Market: An Empirical Analysis from Istanbul Stock Exchange (ISE), International Journal of Economics and Finance, 3 (6), 99–106.
  • Kilian, L. ve Park, C. (2009), The Impact of Oil Price Shocks on the U.S. Stock Market, International Economic Review, 50 (4), 1267–1287.
  • Kwiatkowski, D., Phillips, P. C. B., Schmidt, P. ve Shin, Y. (1992), Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?, Journal of Econometrics, 54, 159–178.
  • Kwon, C. S., Shin, T. S. ve Bacon, F. W. (1997), The Effect of Macroeconomic Variables on Stock Market Returns in Developing Markets, Multinational Business Review, 5 (2), 63–70.
  • Lintner, J. (1969), The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets: A Reply, The Review of Economics and Statistics, 51 (2), 222–224.
  • Markowitz, H. (1952), Portfolio Selection*, The Journal of Finance, 7 (1), 77– 91.
  • Maysami, R. C., Lee, C. H. ve Hamzah, M. A. (2005), Relationship Between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence from Stock Exchange of Singapore’s All-S Sector Indices, Jurnal Pengurusan, 24, 47–77.
  • Mossin, J. (1966), Equilibrium in a Capital Asset Market, Econometrica: Journal of the Econometric Society, 34 (4), 768–783.
  • Ozbay, E. (2009), The Relationship Between Stock Returns and Macroeconomic Factors: Evidence from Turkey, Financial Analysis and Fund Management, University of Exeter.
  • Özcicek, Ö. ve McMillin, W. D. (1999), Lag Length Selection in Vector Autoregressive Models: Symmetric and Asymmetric Lags, Applied Economics, 31 (4), 517–524.
  • Pal, K. ve Mittal, R. (2011), Impact of Macroeconomic Indicators on Indian Capital Markets, The Journal of Risk Finance, 12 (2), 84–97.
  • Rapach, D. E., Wohar, M. E. ve Rangvid, J. (2005), Macro Variables and International Stock Return Predictability, International Journal of Forecasting, 21 (1), 137–166.
  • Roll, R. ve Ross, S. A. (1980), An Empirical Investigation of the Arbitrage Pricing Theory, The Journal of Finance, 35 (5), 1073–1103.
  • Sayılgan, G., Süslü, C. (2011), Makroekonomik Faktörlerin Hisse Senedi Getirilerine Etkisi: Türkiye ve Gelişmekte Olan Piyasalar Üzerine Bir İnceleme, BDDK Bankacılık ve Finansal Piyasalar, 5 (1), 73-96.
  • Sharpe, W. F. (1964), Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk*, The Journal of Finance, 19 (3), 425–442.
  • Singh, T., Mehta, S. ve Varsha, M. (2011), Macroeconomic factors and stock returns: Evidence from Taiwan, Journal of Economics and International Finance, 2 (4), 217–227.
  • Suvanujasiri, A., Boriboon, N. ve Ahmadi, H. Z. (2010), The Influence of Economc Factors on the Performance of Thailand Major Stocks Equity Market by Multi-Factor Model, Journal of International Finance and Economics, 10 (2), 32–53.
  • Tangjitprom, N. (2012), Macroeconomic Factors of Emerging Stock Market: The Evidence from Thailand, International Journal of Financial Research, 3 (2), 105–115.

THE EFFECTS OF MACROECONOMIC FACTORS ON STOCK MARKETS: AN APPLICATION IN BORSA ISTANBUL

Yıl 2015, Cilt: 4 Sayı: 2, 30 - 49, 01.12.2015

Öz

In this study, the effects of factors on BIST-100 index that are inflation, interest rate, exchange rate, industrial production index and oil prices are investigated by a multifactor regression model; Johansen co integration test, vector error correction model and Granger causality test are performed in order to determine the mutual causality relation between factors and stock market index. As a result, exchange rate is found as the only factor that explains BIST-100. Industry production index and exchange rate can be used to predict changes in BIST-100 but opposite is not valid; BIST-100 Granger causes only oil price factor

Kaynakça

  • Alam, M. ve Uddin, G. S. (2009), Relationship Between Interest Rate and Stock Price: Empirical Evidence from Developed and Developing Countries. International Journal of Business and Management, 4 (3), 43–51.
  • Ali, I., Rehman, K. U., Yilmaz, A. K., Khan, M. A. ve Afzal, H. (2010), Causal Relationship Between Macro-Economic Indicators and Stock Exchange Prices in Pakistan. African Journal of Business Management, 4 (3), 312–319.
  • Aydemir, O. ve Demirhan, E. (2009), The Relationship Between Stock Prices and Exchange Rates: Evidence from Turkey, International Research Journal of Finance and Economics, 23 (23), 207–215.
  • Bilson, C. M., Brailsford, T. J. ve Hooper, V. J. (2001), Selecting Macroeconomic Variables as Explanatory Factors of Emerging Stock Market Returns, Pacific- Basin Finance Journal, 9, 401–426.
  • Buyuksalvarci, A. (2010), The Effects of Macroeconomics Variables on Stock Returns: Evidence from Turkey, European Journal of Social Sciences, 14 (3), 404–416.
  • Chen, N.-F., Roll, R. ve Ross, S. A. (1986), Economic Forces and The Stock Market, Journal of business, 59 (3), 383–403.
  • Dickey, D. A. ve Fuller, W. A. (1979), Distribution of the Estimators for Autoregressive Time Series with a Unit Root, Journal of the American Statistical Association, 74 (366), 427–431.
  • Eita, J. H. (2012), Modelling Macroeconomic Determinants Of Stock Market Prices: Evidence From Namibia, Journal of Applied Business Research (JABR), 28 (5), 871–884.
  • Faff, R. W. ve Brailsford, T. J. (1999), Oil Price Risk and The Australian Stock Market, Journal of Energy Finance & Development, 4 (1), 69–87.
  • Fedorova, E. A. ve Pankratov, K. A. (2010), Influence of Macroeconomic Factors on The Russian Stock Market, Studies on Russian Economic Development, 21 (2), 165–168.
  • Granger, C. W. J. (1969), Investigating Causal Relations by Econometric Models and Cross-Spectral Methods, Econometrica: Journal of the Econometric Society, 37 (3), 424–439.
  • Gutierrez, C. E. C., Souza, R. C. ve Guillén, O. T. de C. (2009), Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features, Brazilian Review of Econometrics, 29 (1), 24.
  • Hess, M. K. (2003), Sector Specific Impacts of Macroeconomic Fundamentals on The Swiss Stock Market, Financial Markets and Portfolio Management, 17 (2), 234–245.
  • Hondroyiannis, G. ve Papapetrou, E. (2001), Macroeconomic Influences on the Stock Market, Journal of Economics and Finance, 25 (1), 33–49.
  • Humpe, A. ve 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.
  • Johansen, S. (1991), Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models, Econometrica: Journal of the Econometric Society, 59 (6), 1551–1580.
  • Kadılar, C. ve Erdemir, C. (2002), Comparison of Performance Among Information Criteria in VAR and Seasonal Models, Hacettepe Journal of Mathematics and Statistics, 31, 127–137.
  • Kalra, R. (2012), Impact of Macroeconomic Variables on Indian Stock Market, The IUP Journal of Financial Risk Management, 9 (1), 43–54.
  • Kapusuzoglu, A. (2011), Relationships Between Oil Price and Stock Market: An Empirical Analysis from Istanbul Stock Exchange (ISE), International Journal of Economics and Finance, 3 (6), 99–106.
  • Kilian, L. ve Park, C. (2009), The Impact of Oil Price Shocks on the U.S. Stock Market, International Economic Review, 50 (4), 1267–1287.
  • Kwiatkowski, D., Phillips, P. C. B., Schmidt, P. ve Shin, Y. (1992), Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?, Journal of Econometrics, 54, 159–178.
  • Kwon, C. S., Shin, T. S. ve Bacon, F. W. (1997), The Effect of Macroeconomic Variables on Stock Market Returns in Developing Markets, Multinational Business Review, 5 (2), 63–70.
  • Lintner, J. (1969), The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets: A Reply, The Review of Economics and Statistics, 51 (2), 222–224.
  • Markowitz, H. (1952), Portfolio Selection*, The Journal of Finance, 7 (1), 77– 91.
  • Maysami, R. C., Lee, C. H. ve Hamzah, M. A. (2005), Relationship Between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence from Stock Exchange of Singapore’s All-S Sector Indices, Jurnal Pengurusan, 24, 47–77.
  • Mossin, J. (1966), Equilibrium in a Capital Asset Market, Econometrica: Journal of the Econometric Society, 34 (4), 768–783.
  • Ozbay, E. (2009), The Relationship Between Stock Returns and Macroeconomic Factors: Evidence from Turkey, Financial Analysis and Fund Management, University of Exeter.
  • Özcicek, Ö. ve McMillin, W. D. (1999), Lag Length Selection in Vector Autoregressive Models: Symmetric and Asymmetric Lags, Applied Economics, 31 (4), 517–524.
  • Pal, K. ve Mittal, R. (2011), Impact of Macroeconomic Indicators on Indian Capital Markets, The Journal of Risk Finance, 12 (2), 84–97.
  • Rapach, D. E., Wohar, M. E. ve Rangvid, J. (2005), Macro Variables and International Stock Return Predictability, International Journal of Forecasting, 21 (1), 137–166.
  • Roll, R. ve Ross, S. A. (1980), An Empirical Investigation of the Arbitrage Pricing Theory, The Journal of Finance, 35 (5), 1073–1103.
  • Sayılgan, G., Süslü, C. (2011), Makroekonomik Faktörlerin Hisse Senedi Getirilerine Etkisi: Türkiye ve Gelişmekte Olan Piyasalar Üzerine Bir İnceleme, BDDK Bankacılık ve Finansal Piyasalar, 5 (1), 73-96.
  • Sharpe, W. F. (1964), Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk*, The Journal of Finance, 19 (3), 425–442.
  • Singh, T., Mehta, S. ve Varsha, M. (2011), Macroeconomic factors and stock returns: Evidence from Taiwan, Journal of Economics and International Finance, 2 (4), 217–227.
  • Suvanujasiri, A., Boriboon, N. ve Ahmadi, H. Z. (2010), The Influence of Economc Factors on the Performance of Thailand Major Stocks Equity Market by Multi-Factor Model, Journal of International Finance and Economics, 10 (2), 32–53.
  • Tangjitprom, N. (2012), Macroeconomic Factors of Emerging Stock Market: The Evidence from Thailand, International Journal of Financial Research, 3 (2), 105–115.
Toplam 36 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Research Article
Yazarlar

Hazar Altınbaş

Nilgün Kutay Bu kişi benim

Cenk Akkaya Bu kişi benim

Yayımlanma Tarihi 1 Aralık 2015
Yayımlandığı Sayı Yıl 2015 Cilt: 4 Sayı: 2

Kaynak Göster

APA Altınbaş, H., Kutay, N., & Akkaya, C. (2015). MAKROEKONOMİK FAKTÖRLERİN HİSSE SENEDİ PİYASALARI ÜZERİNDEKİ ETKİSİ: BORSA İSTANBUL ÜZERİNE BİR UYGULAMA. Ekonomi Ve Yönetim Araştırmaları Dergisi, 4(2), 30-49.