Makroekonomik faktörlerin BİST100 endeksine etkisi ve ekonometrik analizi
Abstract
Borsalar yatırımcılar tarafından tasarrufların dönüştürebilmeleri için çeşitli finansal araçlar sunmaktadır. Bu bakımdan borsalar orta ve uzun vadede firmalara büyük finansal kaynaklar sağlamalar, yatırımı çeşitlendirir ve ekonomik büyümeye hızlandırmaktadır. Yatırımcıların finansal davranışlarını belirlemede borsanın büyük bir rolü vardır. Bu tez çalışmasında ise faiz oranı, döviz kuru, sanayi üretim endeksi, devlet iç borçlanma senetleri(DİBS), enflasyon, altın gibi makroekonomik faktörler ile Borsa İstanbul BİST100 endeksi çalışmaya dâhil edilmiştir. Bu çalışmada 2006 Ocak – 2021 Ekim dönemleri arasındaki aylık veriler kullanılarak Borsa İstanbul ile makroekonomik faktörler arasındaki ilişkiye bakılmıştır. Çalışmada ARDL Sınır testi, Toda Yamamoto Nedensellik Analizi ve ECM'ye dayalı Granger nedensellik testi kullanılmıştır. Yapılan testler sonucunda değişkenler farklı seviyede durağanlık tespit edilmiş, uzun dönem ilişkisini incelemek için ARDL Sınır testi uygulanmış, tüm değişkenlerde uzun dönem ilişkisine rastlanmıştır. Ancak yapılan test sonucu bazı değişkenler istatistiksel olarak anlamsız olduğu tespit edilmiş ve analize en anlamsız olan değişken modelden çıkarılarak Model 1'den 5'e kadar modellemeler kurulmuş ve her model için analiz yapılmıştır. Daha sonra her model için kısa dönem ilişkiler incelenmiş olup ECM'ye dayalı Granger nedensellik testi ve Toda Yamamoto nedensellik testi uygulanmıştır. Nedensellik testi sonucunda da ECM'ye dayalı nedensellik testinde faiz oranı ve döviz kurundan BİST100'e nedensellik tespit edilirken, Toda Yamamoto nedensellik testinde yalnızca döviz kurundan BİST100'e nedensellik ilişkisi elde edilmiştir. Anahtar Kelimeler: BİST100, Makroekonomik Değişkenler, Döviz Kuru, Eşbütünleşme
Exchanges offer a variety of financial instruments for investors to convert their savings. In this respect, stock markets provide large financial resources to companies in the medium and long term, diversify investment and accelerate economic growth. In this thesis, macroeconomic factors such as interest rate, exchange rate, industrial production index, government domestic debt securities (GDDS), inflation, gold and Borsa Istanbul BIST100 index were included in the study. The stock market plays a major role in determining the financial behavior of investors. In this study, the relationship between Borsa Istanbul and macroeconomic factors was examined by using monthly data between January 2006 and October 2021. ARDL Boundary test, Toda Yamamoto Causality Analysis and Granger causality test based on ECM were used in the study. As a result of the tests performed, the variables were determined to be stationary at different levels, the ARDL Boundary test was applied to examine the long-term relationship, and the long-term relationship was found in all variables. However, as a result of the test, some variables were found to be statistically insignificant and the most meaningless variable was removed from the model, and models from Model 1 to 5 were established and analysis was made for each model. Then, short-term relationships were examined for each model and Granger causality test based on ECM and Toda Yamamoto causality test were applied. As a result of the causality test, causality was determined from the interest rate and exchange rate to BIST100 in the causality test based on ECM, while a causality relationship was obtained only from the exchange rate to BIST100 in the Toda Yamamoto causality test. Keywords: BIST100, Macroeconomic Variables, Exchange Rate, Cointegration
Exchanges offer a variety of financial instruments for investors to convert their savings. In this respect, stock markets provide large financial resources to companies in the medium and long term, diversify investment and accelerate economic growth. In this thesis, macroeconomic factors such as interest rate, exchange rate, industrial production index, government domestic debt securities (GDDS), inflation, gold and Borsa Istanbul BIST100 index were included in the study. The stock market plays a major role in determining the financial behavior of investors. In this study, the relationship between Borsa Istanbul and macroeconomic factors was examined by using monthly data between January 2006 and October 2021. ARDL Boundary test, Toda Yamamoto Causality Analysis and Granger causality test based on ECM were used in the study. As a result of the tests performed, the variables were determined to be stationary at different levels, the ARDL Boundary test was applied to examine the long-term relationship, and the long-term relationship was found in all variables. However, as a result of the test, some variables were found to be statistically insignificant and the most meaningless variable was removed from the model, and models from Model 1 to 5 were established and analysis was made for each model. Then, short-term relationships were examined for each model and Granger causality test based on ECM and Toda Yamamoto causality test were applied. As a result of the causality test, causality was determined from the interest rate and exchange rate to BIST100 in the causality test based on ECM, while a causality relationship was obtained only from the exchange rate to BIST100 in the Toda Yamamoto causality test. Keywords: BIST100, Macroeconomic Variables, Exchange Rate, Cointegration
Description
Keywords
Maliye, Finance