Bekir ELMAS
(Atatürk Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, Erzurum, Türkiye)
ÖMER ESEN
(Atatürk Üniversitesi, Sosyal Bilimleri Enstitüsü, Erzurum, Türkiye)
Yıl: 2011Cilt: 0Sayı: 52ISSN: 2146-3042Sayfa Aralığı: 153 - 170Türkçe

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Hisse senedi fiyatları ile döviz kuru arasındaki dinamik ilişkinin belirlenmesi; Farklı ülke piyasaları için bir araştırma
Hisse senedi fiyatları bir takım makro ekonomik değişkenlerle yakın bir ilişki içerisindedir. Bu makro ekonomik değişkenlere; döviz kuru, enflasyon, faiz oranları, büyüme oranları örnek olarak verilebilir. Bu çalışmada Türkiye, Almanya, Fransa, Hollanda, Rusya ve Hindistan olmak üzere 6 Avrupa/Asya ülkesinde yerel hisse senedi piyasa endeksleri ile döviz kurunun (USD) nasıl bir ilişki içerisinde olduğu araştırılmaktadır. Çalışmada değişkenler arasındaki uzun dönemli bir ilişkinin olup olmadığı Engle-Granger (1987) ve Johansen (1988, 1995) ve Johansen-Juselius (1990) eş-bütünleşme testleri ile araştırılmıştır. Engle-Granger eş-bütünleşme testinde 1 ülke için ve Johansen eş-bütünleşme testinde ise 2 ülke için uzun dönemli bir ilişki tespit edilmiştir. VAR (Vector Autoregressive) ve VEC (Vector Eror Correction - Vektör Hata Düzeltme) modellerine göre yapılan Granger nedensellik testlerinde ise, 6 ülkenin her birinde değişken çiftleri arasında tek yönlü bir Granger nedensellik ilişkisi tespit edilmiştir. Bu nedensellik ilişkisi 4 ülkede döviz kurundan piyasa endeksine doğru iken, 2 ülkede ise piyasa endeksinden döviz kuruna doğrudur. Bu sonuçlar; hisse senedi fiyatları ile döviz kuru arasında 4 ülkede “Geleneksel Yaklaşım”ın geçerli olduğunu desteklerken, 2 ülkede ise “Portföy Yaklaşımı”nın geçerli olduğunu desteklemektedir
Sosyal > İktisat
Sosyal > İşletme
DergiAraştırma MakalesiErişime Açık
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