GELİŞMEKTE OLAN ÜLKELERDE BORSA İLE DÖVİZ KURLARI ARASINDAKİ İLİŞKİ: SİMETRİK ve ASİMETRİK NEDENSELLİK ANALİZİ

Year 2017, Issue: 27, 1 - 15, 30.11.2017

Mücahit Aydın

Abstract

Bu
çalışmada gelişmekte olan ülkelerden Arjantin, Brezilya, Çin, Endonezya,
Filipinler, Meksika ve Türkiye için hisse senedi fiyatları ile döviz kuru
arasındaki ilişki incelenmiştir. Kullanılan veri, ülkelerin veri uygunluklarına
göre değişim göstermektedir. Çalışmada nedensellik sonuçları üzerinde
karşılaştırma yapılabilmesi amacıyla değişkenler arasındaki ilişki simetrik ve
asimetrik nedensellik testleri kullanılarak incelenmiştir. Ampirik analiz
sonuçlarına göre, ele alınan ülkeler için değişkenler arasındaki nedensellik
ilişkilerinin farklılaştığı görülmektedir. Çalışmadan elde edilen bir diğer
sonuç ise simetrik testlerin tespit edemediği saklı ilişkilerin asimetrik
testler yardımıyla ortaya çıkarılmış olmasıdır.

Keywords

Borsa, Döviz Kurları, Simetri, Asimetrik Nedensellik

Relationship Between Stock Prices and Exchange Rates in Developing Countries: Symmetric and Asymmetric Causality Analysis

Abstract

This study
examines the relationship between stock prices and exchange rates for
developing countries from Argentina, Brazil, China, Indonesia, Philippines,
Mexico and Turkey. The data used in this study to be vary according to the data
suitability of the countries. The relationship between variables was examined
using symmetric and asymmetric causality tests in order to compare the results
of causality in this study. According to empirical analysis results, the
causality relations between the variables for the countries are different.
Finally, the hidden relations which cannot be revealed by the symmetric
causality tests are revealed by asymmetric causality tests.

Keywords

Stock Exchange, Exchange Rates, Symmetry, Asymmetric Causality

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