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

Yıl 2018, Cilt: 18 Sayı: 4, 699 - 710, 23.10.2018

Aydanur Gacener Atış , Deniz Erer

Öz

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.

Anahtar Kelimeler

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

Öz

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.

Anahtar Kelimeler

Monetary Policy, Stock Market, Markov Regime Switching Model

Kaynakça

• Akay, H. and Nargeleçekenler, M. (2009). Para politikası şokları hisse senedi fiyatlarını etkiler mi? Türkiye örneği. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 27(2), 129-152.
• Aklan, N. and Nargeleçekenler, M. (2012). Hisse senedi piyasasında para politikalarının rolü: Türkiye örneği. Marmara İİBF Dergisi, 11, 103-128
• Assenmacher-Wesche, Katrin and Gerlach, Stefan (2008). Financial structure and the ımpact of monetary policy on asset prices. Swiss National Bank Working Papers, 2008-16.
• Basistha, A., & Kurov, A. (2008). Macroeconomic cycles and the stock market’s reaction to monetary policy. Journal of Banking & Finance, 32(12), 2606-2616.
• Bejaoui, A. and Karaa, A. (2016). Revisiting the bull and bear markets notions in the tunisian stock market: New evidence from multi-state duration-dependence markov switching models. Economic Modelling, 59, 529-545.
• Bernanke, B. and Gertler, M. (1999). Monetary policy and asset price volatility. Federal Reserve Bank of Kansas City Economic Review, LXXXIV, 17-51.
• Bernanke, B. and Gertler, M. (2001). Should central banks respond to mpvements in asset prices? American Economic Review Papers and Proceedings, XCI, 253-257.
• Bernanke, B.S. and Kuttner, K.N. (2005). What explains the stock market’s to federal reserve policy? The Journal of Finance, 60(3), 1221-1257.
• Bleich, Fendel and Rülke (2013). Monetary policy and stock market volatility. Deutsche Bundesbank Discussion Paper Series, 33(3) 1669-1680
• Bomfirm, A. (2003). Pre-announcment effects, news, and volatility: monetary policy and stock market. Journal of Banking and Finance, 27(1), 133-151
• Cecchetti, S.G., Genberg, H., Lipsky, J. and Wadhwani, S. (2000). Asset Prices and Central Bank Policy. London: International Center for Monetary and Banking Studies.
• Chen, S.S. (2007). Does monetary policy have asymetric effects on stock returns? Journal of Money Credit Bank. 39(2-3), 667-688.
• Chang, M. ve C. W. Lee,. 2011. Announcement Effects and Asymmetric Volatility in Industry Stock Returns: Evidence from Taiwan. Emerging Markets Finance & Trade, 47 (2): 48-69.
• Duran, Murat; Ozlu, Pınar and Unalmıs, Deren (2010). TCMB faiz kararlarının hisse senedi piyasaları üzeri ne etkisi. Central Bank Review, 10(2), 23-32.
• Edwards, S., Gomez Biscarri, J. and Perez de Gracia, F. (2003). Stock market cycles, financial liberalization and volatility. Journal of International Money and Finance, 22(7), 925-955.
• Gordon, M. J., & Shapiro, E. (1956). Capital equipment analysis: the required rate of profit. Management Science, 3(1), 102-110.
• Gospodinov, N., and Jamali, I. (2012). The effects of federal funds rate surprises on S&P 500 volatility and volatility risk premium. Journal of Empirical Finance, 19, 497-510.
• Hamilton, J.D. (1989). “A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle”. Econometrica, 57: 357-384.
• Hancock, D. (1985). Bank profitability, ınterest rates, and monetary policy. Journal of Money, Credit and Banking.17(2), 189-202.
• Jansen, D. W., & Tsai, C. L. (2010). Monetary policy and stock returns: Financing constraints and asymmetries in bull and bear markets. Journal of Empirical Finance, 17: 981-990.
• Jiang, C. (2013). The asymmetric effects of monetary policy on stock market. Job Market Paper.
• Jiang, Y. and Fang, X. (2015). Bull, bear or any other states in us stock market? Economic Modelling, 44, 54-58.
• Kurov, A. (2010). Investor sentiment and the stock market’s reaction to monetary policy. Journal of Banking & Finance, 34(1), 139-149.
• Laeven, L. and Tong, H. (2010). U.S. Monetary shocks and global stock prices. IMF Working Paper 10/278.
• Lobo, B. (2000). Asymmetric effects of ınterest rate changes on stock prices. Financial Review, 35, 125144
• Maheu, J.M. and McCurdy, T. H. (2000). Identifying bull and bear markets in stock returns. Journal of Business and Economic Statistics, 18(1), 100-112.
• Moya, P.M., Lapena, R.F. and Sotos, F.E. (2013). Relationship between ınerest rate changes and stock market returns in spain: A wavelet-based approach. Universidad De Castilla-La Mancha Working Paper
• Pagan, A.R. and Sossounov, K.A. (2003). A simple framework for analysing bull and bear markets. Journal of Applied Econometrics, 18(1), 23-46.
• Rigobon, R. and Sack, B. (2003). Measuring the reaction of monetary policy to the stock market. The Quarterly Journal of Economics, 118(2), 639-669.
• Şahin, B. C. (2011). Para politikası kararlarının hissesenedi piyasası üzerine etkisi: Türkiye uygulaması. (Uzmanlık yeterlilik tezi Ankara: TCMB).
• Thorbecke, W. (1997). On stock market returns and monetary policy, The Journal of Finance, 52(2), 635654.
• Tobin, J. (1969). A general equilibrium approach to monetary theory. Journal of Money, Credit and Banking. 1(1), 15-29.
• Zare, R., Azali, M. and Habibullah, M.S. (2013). Monetary policy and stock market volatility in the ASEAN5: Asymmetries over bull and bear markets. Procedia Economics and Finance, 7, 18-27.
• Zhang, C., Zhang, D. And Breece, J. (2011). Financial crisis, monetary policy and stock market volatility in China. Annals of Economics and Finance, 12(2), 371-388.