LINEAR AND NONLINEAR GRANGER CAUSALITY RELATIONSHIP BETWEEN STOCK INDICES AND FINANCIAL VARIABLES

Gök, Remzi

LINEAR AND NONLINEAR GRANGER CAUSALITY RELATIONSHIP BETWEEN STOCK INDICES AND FINANCIAL VARIABLES

Remzi GÖK (Dicle Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümü, Diyarbakır, Türkiye)

Finans Politik ve Ekonomik Yorumlar Dergisi

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Yıl: 2021 Cilt: 58 Sayı: 655 Sayfa Aralığı: 9 - 38 Metin Dili: İngilizce İndeks Tarihi: 12-12-2021

LINEAR AND NONLINEAR GRANGER CAUSALITY RELATIONSHIP BETWEEN STOCK INDICES AND FINANCIAL VARIABLES

Öz:

This paper examines the relationship between the daily observations of stock prices and the selected financial variables over the period September 20, 2010 to August 2, 2019. Our variables are found to be nonlinear at any reasonable significance level. Seven out of eleven stock indices and all financial factors are nonlinearly level stationary, while five stock indices are integrated of the first order. The findings of the linear causality test present evidence of a bidirectional causal association between the changes in bond yields and some equity returns, CDS fluctuations and BIST Sport index returns; and BIST Industrials index returns with copper prices in TRY. These results are supported by nonlinear causality tests at different lag levels. Besides, there seems to appear two-way nonlinear causal associations in mean and in the second moment between our variables, denoting the contribution of the short, medium, and long-run nonlinear causalities to the overall causal relationship. We also find a significantly negative linkage between the financial factor growths and equity returns, which is scale-dependent. Our findings have significant implications for risk and portfolio management and economic policy decisions.

Anahtar Kelime:

BORSA ENDEKSLERI VE MAKRO EKONOMIK DEĞIŞKENLER ARASINDA DOĞRUSAL VE DOĞRUSAL DIŞI NEDENSELLİK İLİŞKİSİ

Öz:

Bu çalıŞmada borsa endeksleri ve makro değiŞkenlere ait 2010-09-20 ve 2019-08-02 arası günlük kapanıŞ fiyatları kullanılarak bu değiŞkenler arasındaki olası doğrusal ve doğrusal dıŞı nedensellik iliŞkisi incelenmiŞtir. Test sonuçlarına göre tüm değiŞkenlerin doğrusal dıŞılık özelliklerini taŞıdıkları tespit edilmiŞtir. Yedi borsa endeksinin ve makroekonomik faktörlerin düzeyde, kalan beŞ endeksin ise birinci farkında durağan olduğu saptanmıŞtır. Doğrusal nedensellik testine göre tahvil faizi değiŞmeleri ile bazı borsa endeks getirileri arasında; CDS ile BIST Spor endeksi fiyat değiŞimleri arasında; bakır fiyatları ile BIST Sınaî endeks getirileri arasında çift yönlü nedensellik iliŞkisi olduğu bulgusuna rastlanmıŞtır. Elde edilen bu sonuçlar, farklı seviyelerdeki doğrusal dıŞı nedensellik test sonuçlarıyla uyum sağlamaktadır. Ayrıca değiŞkenler arasında ortalamada ve varyansta kısa, orta ve uzun dönemde geçerli çift yönlü doğrusal dıŞı nedensellik iliŞkisi olduğu belirlenmiŞtir. Bu sonuç, değiŞkenler arasındaki nedensellik iliŞkisinin her bir frekanstan destek aldığını ortaya koymaktadır. Son olarak, borsa endeks getirileri ile makroekonomik değiŞkenlerin fiyat değiŞimleri arasında istatistiksel olarak anlamlı ve ölçeğe göre derecesi değiŞen zıt yönlü bir iliŞki olduğu sonucuna ulaŞılmıŞtır. Bu sonuçlar risk ve portföy yönetimi ve iktisadi kararlar için büyük önem arz etmektedir.

Anahtar Kelime:

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık

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APA	Gök R (2021). LINEAR AND NONLINEAR GRANGER CAUSALITY RELATIONSHIP BETWEEN STOCK INDICES AND FINANCIAL VARIABLES. , 9 - 38.
Chicago	Gök Remzi LINEAR AND NONLINEAR GRANGER CAUSALITY RELATIONSHIP BETWEEN STOCK INDICES AND FINANCIAL VARIABLES. (2021): 9 - 38.
MLA	Gök Remzi LINEAR AND NONLINEAR GRANGER CAUSALITY RELATIONSHIP BETWEEN STOCK INDICES AND FINANCIAL VARIABLES. , 2021, ss.9 - 38.
AMA	Gök R LINEAR AND NONLINEAR GRANGER CAUSALITY RELATIONSHIP BETWEEN STOCK INDICES AND FINANCIAL VARIABLES. . 2021; 9 - 38.
Vancouver	Gök R LINEAR AND NONLINEAR GRANGER CAUSALITY RELATIONSHIP BETWEEN STOCK INDICES AND FINANCIAL VARIABLES. . 2021; 9 - 38.
IEEE	Gök R "LINEAR AND NONLINEAR GRANGER CAUSALITY RELATIONSHIP BETWEEN STOCK INDICES AND FINANCIAL VARIABLES." , ss.9 - 38, 2021.
ISNAD	Gök, Remzi. "LINEAR AND NONLINEAR GRANGER CAUSALITY RELATIONSHIP BETWEEN STOCK INDICES AND FINANCIAL VARIABLES". (2021), 9-38.

APA	Gök R (2021). LINEAR AND NONLINEAR GRANGER CAUSALITY RELATIONSHIP BETWEEN STOCK INDICES AND FINANCIAL VARIABLES. Finans Politik ve Ekonomik Yorumlar Dergisi, 58(655), 9 - 38.
Chicago	Gök Remzi LINEAR AND NONLINEAR GRANGER CAUSALITY RELATIONSHIP BETWEEN STOCK INDICES AND FINANCIAL VARIABLES. Finans Politik ve Ekonomik Yorumlar Dergisi 58, no.655 (2021): 9 - 38.
MLA	Gök Remzi LINEAR AND NONLINEAR GRANGER CAUSALITY RELATIONSHIP BETWEEN STOCK INDICES AND FINANCIAL VARIABLES. Finans Politik ve Ekonomik Yorumlar Dergisi, vol.58, no.655, 2021, ss.9 - 38.
AMA	Gök R LINEAR AND NONLINEAR GRANGER CAUSALITY RELATIONSHIP BETWEEN STOCK INDICES AND FINANCIAL VARIABLES. Finans Politik ve Ekonomik Yorumlar Dergisi. 2021; 58(655): 9 - 38.
Vancouver	Gök R LINEAR AND NONLINEAR GRANGER CAUSALITY RELATIONSHIP BETWEEN STOCK INDICES AND FINANCIAL VARIABLES. Finans Politik ve Ekonomik Yorumlar Dergisi. 2021; 58(655): 9 - 38.
IEEE	Gök R "LINEAR AND NONLINEAR GRANGER CAUSALITY RELATIONSHIP BETWEEN STOCK INDICES AND FINANCIAL VARIABLES." Finans Politik ve Ekonomik Yorumlar Dergisi, 58, ss.9 - 38, 2021.
ISNAD	Gök, Remzi. "LINEAR AND NONLINEAR GRANGER CAUSALITY RELATIONSHIP BETWEEN STOCK INDICES AND FINANCIAL VARIABLES". Finans Politik ve Ekonomik Yorumlar Dergisi 58/655 (2021), 9-38.