Interaction Between Stock Exchange And Interest Rate in Turkey: A Hidden Cointegration and Asymmetric Causality Analysis

Yıl 2024, Sayı: 40, 22 - 34, 26.06.2024

Onur Şeyranlıoğlu , Çağlar Sözen , Ferhat İspiroğlu

https://doi.org/10.26650/ekoist.2024.40.1261338

Öz

This study reveals the relationship between stock markets and interest rates. In this study, the Borsa Istanbul-100 Index (BIST-100) is used to represent the stock market, and the Turkish Lira Overnight Reference Rate (TLREF) is used to represent the interest rate. To investigate the relationship between the series, daily data between 28.12.2018- 20.10.2022 are discussed. In the analysis, the traditional co-integration tests of Engle and Granger (1987) and Johansen (1988) were used to determine the long-term relationships between the series. A long-term relationship could not be detected using the traditional co-integration test. Therefore, Granger and Yoon (2002) and Hatemi and Irandoust (2012) conducted hidden co-integration tests. The series is decomposed into positive and negative components to apply the hidden co-integration analysis. As a result of the Granger and Yoon (2002) test, a long-term relationship could not be determined between the series; As a result of the Hatemi and Irandoust (2012) test, it was observed that the cumulative positive shocks of the BIST-100 series and the positive and negative cumulative shocks of the TLREF series were associated in the long term. Hatemi-J (2012) investigated the causality relations between the series decomposed into positive and negative shocks with asymmetric causality analysis.

JEL Classification : C51 , C55 , C58

Anahtar Kelimeler

BIST-100, TLREF, Hidden Co-integration Test, Asymmetric Causality Test, Unit Root Test.

Kaynakça

• Akella, S. R., & Chen, S. J. (1990). Interest rate sensitivity of bank stock returns: Specification effects and structural changes. Journal of Financial Research, 13(2), 147-154. google scholar
• Akerlof, G. (1970). Quarterly Journal of Economics. Quarterly Journal of Economics, 84, 488. google scholar
• Alam, M. D., & Uddin, G. (2009). Relationship between interest rate and stock price: empirical evidence from developed and developing countries. International Journal of Business and Management (ISSN 1833-3850), 4(3), 43-51. google scholar
• Barbic, T., & CondiC-Jurkic, I. (2011). Relationship between macroeconomic fundamentals and stock market indices in selected CEE countries. Ekonomski pregled, 62(3-4), 113-133. google scholar
• Bodie, Z., Kane, A., ve Marcus, A. J. (2018). Yatırım Temelleri (9 b.). (S. Demir, Çev.) Nobel Akademik Yayıncılık. google scholar
• Brigham, E.F., & Houston, J.F. (2016). Finansal Yönetimin Temelleri, (Çev. Nevzat Aypek), 7.Basımdan Çeviri Ankara: Nobel yayın. google scholar
• Çetin, A. C., & Bıtırak, İ. A. (2015). Türkiye’deki makro ekonomik verilerin hisse senedi getirilerini etkileme gücünün arbitraj fiyatlama modeli ile analiz. Süleyman Demirel Üniversitesi Vizyoner Dergisi, 6(12), 1-19. google scholar
• Dritsaki-Bargiota, M., & Dritsaki, C. (2004). Macroeconomic determinants of stock price movements: an empirical investigation of the Greek stock market. In XI International Conference. Multinational finance Society, Istambul, July (pp. 3-8). google scholar
• Durukan, M. B. (1999). İstanbul Menkul Kıymetler Borsasında Makroekonomik Değişkenlerin Hisse Senedi Fiyatlarına Etkisi. İMKB dergisi, 3(11), 19-47. google scholar
• Engle, R. F., & Granger, C. W. J. (1987). Co-Integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55(2), 251-276. google scholar
• Eyüboğlu, S., & Eyüboğlu, K. (2018). Amerikan 10 Yıllık Tahvil Faizleri ile Gelişmekte Olan Ülke Borsaları Arasındaki İlişkinin Test Edilmesi. Yönetim Bilimleri Dergisi, 16(31), 443-459. google scholar
• Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The journal of Finance, 25(2), 383-417. google scholar
• Fama, E. F. (1981). Stock returns, real activity, inflation, and money. The American economic review, 71(4), 545-565. google scholar
• Fama, E. F., & Schwert, G. W. (1977). Asset returns and inflation. Journal of financial economics, 5(2), 115-146. google scholar
• Granger, C. W., & Yoon, G. (2002). Hidden cointegration. University of California, Economics Working Paper, No. (2002-02). google scholar
• Hatemi-J, A. (2012). Asymmetric causality tests with an application. Empirical economics, 43(1), 447-456. google scholar
• Hatemi-J, A., & Irandoust, M. (2012). Asymmetric interaction between government spending and terms of trade volatility: New evidence from hidden cointegration technique. Journal of Economic Studies. 39(3), 368-378 google scholar
• Johansen, S. (1988) Statistical Analysis of Cointegrating Vectors. Journal of Economic Dynamics and Control,12, 231-254. google scholar
• Karaca, S. V., Çütçü, İ., & Özkök, Y. (2022). Seçili Makroekonomik Değişkenler ile Borsa İstanbul Endeksi Arasındaki İlişki: Türkiye Örneği. Alanya Akademik Bakış, 6 (3) , 2913-2927. google scholar
• Kartal, M. T. (2019). Türkiye’de Referans (Gösterge) Faiz Oluşturulması: Türk Lirası Gecelik Referans Faiz Oranı (TLREF) Üzerine Bir İnceleme. Bankacılar Dergisi, 30 (111), 14-27. google scholar
• Lee, B. S. (1992). Causal relations among stock returns, interest rates, real activity, and inflation. The Journal of Finance, 47(4), 1591-1603. google scholar
• Lee, U. (1997). Stock Market and Macroeconomic Policies: New Evidence from Pacific Basin Countries. Multinational Finance Journal, 1(4), 273-289. google scholar
• Leon, N.K. (2008). The effects of interest rates volatility on stock returns and volatility: Evidence from Korea. Euro Journal of Finance and Economics, 14, 285-290. google scholar
• Lin, X., Wang, C., Wang, N., & Yang, J. (2018). Investment, Tobin’s, and interest rates. Journal of Financial Economics, 130(3), 620-640. google scholar
• Mert, M., & Çağlar, A. E. (2019). Eviews ve Gauss uygulamalı zaman serileri analizi. Ankara: Detay Yayıncılık. google scholar
• Mishkin, F. S., Gordon, R. J., & Hymans, S. H. (1977). What depressed the consumer? The household balance sheet and the 1973-75 recession. Brookings papers on economic activity, 1977(1), 123-174. google scholar
• Modigliani, F. (1971). Monetary policy and consumption: Linkages via interest rate and wealth effects in the FMP Model. In F. Modigliani, J. google scholar
• Tobin, W. C. Dolde, P. J. Taubman, G. D. Green, D. I. Meiselman et al. (Eds.), Consumer Spending and Monetary Policy: The Linkages (pp. 9-84). Conferences Series, No. 5, Boston, MA: Federal Reserve Bank of Boston. google scholar
• Mukherjee, T. K., & Naka, A. (1995). Dynamic relations between macroeconomic variables and the Japanese stock market: an application of a vector error correction model. Journal of financial Research, 18(2), 223-237. google scholar
• Muktadir-Al-Mukit, D. (2013). An econometric analysis of the impact of monetary policy on stock market performance in Bangladesh. World Review of Business Research, 3(3), 16-29. google scholar
• Omağ, A. (2009). Türkiye’de 1991-2006 döneminde makro ekonomik değişkenlerin hisse senedi fiyatlarına etkisi. Öneri Dergisi, 8 (32), 283-288. google scholar
• Onasanya, O. K., & Ayoola, F. J. (2012). Does macro economic variables have effect on stock market movement in Nigeria. Journal of Economics and Sustainable Development, 3(10), 192-202. google scholar Phillips P. C. B., & Perron, P (1988). Testing for a Unit Root in Time Series Regression. Biometrika, 75(2), 335-346. google scholar
• Pilinkus, D., & Boguslauskas, V. (2009). The short-run relationship between stock market prices and macroeconomic variables in Lithuania: an application of the impulse response function. Inzinerine ekonomika, (5), 26-34. google scholar
• Prempeh, K. B. (2016). Macroeconomic variables and stock price volatility in Ghana. Munich Personal RePEc Archive, MPRA Paper No.70545, 1-11. google scholar
• Rogers, R. M. (1998). Handbook of key economic indicators. McGraw Hill Professional. google scholar
• Roll, R., & Ross, S. A. (1995). The Arbitrage Pricing Theory Approach To Strategic Portfolio Planning. Financial Analysis Journal, 51(1), 122-131. google scholar
• Ross, S. A. (1976). The arbitrage theory of capital asset pricing, Journal of Economic Theory, 13, 341-360. google scholar
• Said E. Said, & Dickey, D. A. (1984). Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order. Biometrika, 71(3), 599-607. google scholar
• Sayılgan, G., & Süslü, C. (2011). Makroekonomik faktörlerin hisse senedi getirilerine etkisi: Türkiye ve gelişmekte olan piyasalar üzerine bir inceleme. BDDK Bankacılık ve Finansal Piyasalar Dergisi, 5(1), 73-96. google scholar
• Sevüktekin, M., & Nargeleçekenler, M. (2010). Ekonometrik zaman serileri analizi: EViews uygulamalı. Nobel Yayın Dağıtım. google scholar
• Spence, A. M. (1973). Time and communication in economic and social interaction. The Quarterly Journal of Economics, 87(4), 651-660. google scholar
• Stiglitz, J. E. (1974). Incentives and risk sharing in sharecropping. The Review of Economic Studies, 41(2), 219-255. google scholar
• Şener, S., Yılancı, V., & Tıraşoğlu, M. (2013). Petrol Fiyatları İle Borsa İstanbul’un Kapanış Fiyatları Arasındaki Saklı İlişkinin Analizi. Sosyal Ekonomik Araştırmalar Dergisi, 13(26), 231-248. google scholar
• Tarı, R. (2014). Ekonometri, 9. Baskı, İstanbul: Umuttepe Yayınları. google scholar
• Ulu, Ç., Sönmez, Y. & Hürriyet B. (2022). BİST-100 ile TLREF üzerine bir çalışma: granger nedensellik analizi. 25. Finans Sempozyumunda Sunulan Bildiri, Mehmet Akif Ersoy Üniversitesi, Burdur. google scholar
• Uyar, U., Kangallı Uyar, S. G., & Gökçe, A. (2016). Gösterge faiz oranı dalgalanmaları ve BIST endeksleri arasındaki ilişkinin eşanlı kantil regresyon ile analizi. Ege Akademik Bakış,16(4), 587-598. google scholar
• Yeşildağ, E. (2021). Altın, faiz, işsizlik, para arzı ile borsa arasındaki eşbütünleşme ilişkisinin araştırılması. Yönetim ve Ekonomi Araştırmaları Dergisi, 19(2), 130-148. google scholar
• Zivot, E., & Donald W. K. Andrews. (1992). Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis. Journal of Business; Economic Statistics, 10(3), 251-270. google scholar
• Zügül, M., & Şahin, C. (2009). İMKB 100 endeksi ile bazı makroekonomik değişkenler arasındaki ilişkiyi incelemeye yönelik bir uygulama. Akademik Bakış, 16(1), 1-16. google scholar
• https://borsaistanbul.com/tr/, Erişim Tarihi: 20.10.2022. google scholar