Para Politikasının Boğa ve Ayı Piyasalarında Hisse Senedi Getirilerine Etkisi: Türkiye Örneği

Year 2018, Volume: 18 Issue: 4, 699 - 710, 23.10.2018

Aydanur Gacener Atış , Deniz Erer

Abstract

Bu çalışmanın amacı, 2002:1-2016:12 döneminde Türkiye’de ayı ve boğa piyasaları açısından hisse senedi getirilerinin ve oynaklığının para politikasına asimetrik tepkisini analiz etmektir. Ayı ve boğa piyasalarını tanımlamak amacıyla Markov rejim değişim modeli kullanılmıştır. Para politikası aracı olarak ise politika faiz oranı kullanılmıştır. Çalışmanın sonucunda, para politikasının boğa piyasasında daha etkin olduğu sonucuna ulaşılmıştır.

Keywords

Para Politikası, Hisse Senedi Piyasası, Markov Rejim Değişim Modeli

The Impact of Monetary Policy on Stock Returns During Bull and Bear Markets: The Evidence From Turkey

Abstract

Purpose of this study is to analyze the asymmetric response of stock market returns and volatility to monetary policy in bull and bear markets in Turkey over the period of 2002:1-2016:12. We used Markov switching model in order to identify bull and bear markets. We used policy rate as monetary policy instrument. From the empirical results, we deduced that monetary policy is more effective in bull market periods.

Keywords

Monetary Policy, Stock Market, Markov Regime Switching Model

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