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Doviz Kurunun Hisse Senedi Endeksi Uzerine Kisa ve Uzun Donemde Etkileri: Kirilgan Besli Ulkeleri Uzerine Yumusak Gecisli Esik Hata Duzeltme Modeli Uygulamasi

Author

Listed:
  • Afsin SAHIN

    (Gazi Universitesi)

Abstract

Bu calismada, hisse senedi piyasasinin onemli bir kisminin yabancilar tarafindan tutuldugu ve Kirilgan Besli olarak adlandirilan ulkelerde, doviz kurunun hisse senedi piyasasi uzerindeki kisa ve uzun vadeli etkileri tahmin edilmistir. Uzun donemli etkiler Engle Granger ve Johansen esbutunlesme yontemleri ile tahmin edilirken, kisa donem etkiler En Kucuk Kareler (EKK) ve Yumusak Geçisli Regresyon (STR) modelleri ile tahmin edilmistir. Uzun ve kisa donem etkileri ayni esitlik icinde hesaba katmaya imkân taniyan Dogrusal Olmayan Yumusak Gecisli Hata Duzeltme (LSTRECM) modeli ile de parametreler tahmin edilmistir. Duragan olmayan iki serinin uzun donemli etkilesiminin kisa donemde, rejimler arasinda farklilasabildigi gorulmustur. Calismada Turkiye’ye iliskin bulgular su sekilde ozetlenebilir: Uzun donemde doviz kurundaki esanli bir artis, Engle Granger ve Johansen testlerine gore hisse senedi fiyatlarini yukseltmekte ve iki degisken arasinda esbutunlesme iliskisine isaret etmektedir. Kisa donemde ise LSTRECM birinci rejim, EKK ve STR belirtimlerine gore doviz kurunun hisse senedi fiyatlarina esanli etkisi negatif iken; LSTRECM ikinci rejimde ise etki pozitife donmektedir.

Suggested Citation

  • Afsin SAHIN, 2016. "Doviz Kurunun Hisse Senedi Endeksi Uzerine Kisa ve Uzun Donemde Etkileri: Kirilgan Besli Ulkeleri Uzerine Yumusak Gecisli Esik Hata Duzeltme Modeli Uygulamasi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 16(2), pages 319-350.
    • Handle: RePEc:ege:journl:v:16:y:2016:i:2:p:319-350
    DOI: 10.21121/eab.2016219983
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