PETROL FİYATLARI, DÖVİZ KURLARI VE ENFLASYONUN HİSSE SENEDİ GETİRİLERİ ÜZERİNDEKİ ASİMETRİK ETKİSİNİN TESPİTİ: NARDL YAKLAŞIMI

Yıl 2020, Cilt: 9 Sayı: 2, 411 - 423, 31.12.2020

Hikmet Akyol

Öz

Bu araştırmada petrol fiyatları, döviz kurları ve enflasyon oranlarıyla hisse senedi getirileri arasındaki ilişki hem teoriksel olarak hem de ampirik olarak sınanmıştır. Aynı zamanda değişkenler arasındaki asimetrik ilişkinin boyutu ortaya konulmaya çalışılmıştır. Bu amaç doğrultusunda petrol fiyatları, döviz kurları ve enflasyon ile Borsa İstanbul 100 endeks getirilerinin 2006: Q1 ile 2019: Q4 arasındaki dönemi Shin vd. (2014), NARDL yöntemiyle analiz edilmiştir. Sonuçlar petrol fiyatlarının hisse senedi getirileri üzerinde, kısa ve uzun dönemde herhangi bir asimetrik etkisi olmadığını göstermiştir. Efektif döviz kurlarındaki pozitif yönlü değişimlerin hisse senedi getirilerini negatif yönlü etkilediği gösterilmiştir. Efektif döviz kurlarındaki gerilemelerin (yerel paranın değer yitirmesi) ise hisse senedi getirilerini pozitif yönlü etkilediği tespit edilmiştir. Bu bulgu, yerel paranın değer kaybetmesinin, ihracat üzerinden firmaların rekabetini ve karlılığını arttıracağını ileri süren akım odaklı hipotezi doğrulamaktadır. TUFE’deki pozitif değişimlerin hisse senedi getirilerini pozitif yönlü etkilediği, negatif yönlü değişimlerin ise negatif yönlü etkilediği gösterilmiştir. Bu bulgu, enflasyon ile hisse senedi getirileri arasında pozitif yönlü ilişki ima eden Genelleştirilmiş Fisher (1930) hipotezini doğrulamıştır.

Anahtar Kelimeler

Petrol Fiyatları, Döviz Kurları, Enflasyon, Hisse Senedi Getirileri, NARDL Yöntemi

DETERMINING THE ASYMMETRIC EFFECT OF OIL PRICES, EXCHANGE RATES AND INFLATION ON STOCK RETURNS: THE NARDL APPROACH

Öz

In this study, the relationship between oil prices, exchange rates and inflation rates and stock returns has been tested both theoretically and empirically. At the same time, the size of the asymmetric relationship between variables is tried to be revealed. For this purpose, for the relationship between oil prices, exchange rates and inflation and Borsa İstanbul 100 index returns, the period between 2006: Q1 and 2019: Q4 is determined by Shin et al. (2014) analyzed with the NARDL method.The results show that oil prices do not have any asymmetric effects on stock returns in the short and long run. It has been shown that positive changes in effective exchange rates affect stock returns negatively. It has been determined that the declines in effective exchange rates (depreciation of the local currency) positively affect stock returns. This finding confirms the flow-oriented hypothesis that the depreciation of the local currency will increase the competitiveness and profitability of firms through exports.It has been shown that positive changes in CPI (Consumer Price Inflation) have a positive effect on stock returns, while negative changes have a negative effect. This finding confirmed the Generalized Fisher (1930) hypothesis, which implies a positive relationship between inflation and stock returns.

Anahtar Kelimeler

Oil Prices, Exchange Rates, Inflation Rates, Stock Returns, NARDL Approach

Kaynakça

• Alagidede, P. (2009). Relationship between Stock Returns and Inflation, Applied Economics Letters, 16(14), 1403-1408, DOI: 10.1080/13504850701537682
• Algia, H. ve Abdelfatteh, B. (2018). The Conditional Relationship between Oil Price Risk and Return Stock Market: a Comparative Study of Advanced and Emerging Countries. J Knowl Econ, 9,1321–1347. DOI 10.1007/s13132-016-0421-5
• Apergis, N. ve Miller, S. M. (2009). Do structural oil-market shocks affect stock prices? Energy Economics, 31, 569–575. doi:10.1016/j.eneco.2009.03.001
• Baig, M. M., Shahbaz, M., Imran, M., Jabbar, M. ve Ain, Q. U. (2013). Relationship between Gold and Oil Prices and Stock Market Returns. Acta Universıtatis Danubius, 9 (5), 28-39.
• Chkili, W., Aloui, C. ve Nguyen, D. K. (2012). Asymmetric Effects and Long Memory in Dynamic Volatility Relationships between Stock Returns And Exchange Rates. Int. Fin. Markets, Inst. and Money, 22, 738– 757.
• Cuestas, J. C. ve Tang, B. (2019). A Markov switching SVAR Analysis on The Relationship between Exchange Rate Changes and Stock Returns in China. International Journal of Emerging Markets, 1-18. DOI 10.1108/IJOEM-06-2019-0463
• Dornbusch, R. ve Fisher, S. (1980). Exchange Rates and The Current Account. American Economic Review, 70, 960–971.
• Fisher, I. (1930). The Theory of Interest, Macmillan: New York.
• Fowowe, B. (2013). Jump Dynamics İn The Relationship between Oil Prices and The Stock Market: Evidence From Nigeria. Energy, 56, 31-37.
• Hamilton, J. D. (1983). Oil and the Macroeconomy since World War II. Journal of Political Economy, 91(2), 228-248.
• Jacob, T. ve Kattookaran, T. P. (2017). Dynamic Relationship between Exchange Rate and Stock Returns:Empirical Evidence from Indian Stock Exchange. Anvesha, 10 (4), 23-31.
• Kang, W., Ratti, R. A. ve Yoon, K. H. (2015). The Impact of Oil Price Shocks on The Stock Market Return and Volatility Relationship. Int. Fin. Markets, Inst. and Money, 34, 41–54. http://dx.doi.org/10.1016/j.intfin.2014.11.002
• Karagianni, S. ve Kyrtsou, C. (2011). Analysing the Dynamics between U.S. Inflation and Dow Jones Index Using Non-Linear Methods. Studies in Nonlinear Dynamics & Econometrics, 15(2), 1-23.
• Kim, S. ve In, F. (2005). The Relationship between Stock Returns and Inflation:New Evidence From Wavelet Analysis. Journal of Empirical Finance, 12, 435– 444. doi:10.1016/j.jempfin.2004.04.008
• Krishnamurthy, P., Balasubramanian, P. ve Mohan, D. (2017). Study On Relationship between Exchange Rate Return and Various Stock Indices Returns. 2017 International Conference on Data Management, Analytics and Innovation (ICDMAI), Zeal Education Society, Pune, India, Feb 24-26, 316-320.
• Lee, U. (2016). Inflation Targeting Regime and the Relationship between Stock Returns and Inflation: New Evidence using the VAR Approach. Journal of Applied Business and Economics, 18(7), 79-92.
• Madsen, J. B. (2004). Pitfalls in Estimates of The Relationship between Stock Returns and İnflation. Empirical Economics,33, 1–21. DOI 10.1007/s00181-006-0080-7
• Miller, J. I. ve Ratti, R. A. (2009). Crude Oil And Stock Markets: Stability, İnstability, And Bubbles. Energy Economics, 31, 559–568. doi:10.1016/j.eneco.2009.01.009
• Mohanty, S. K., Nandha, M., Turkistani, A. Q. ve Alaitani, M. Y. (2011). Oil Price Movements and Stock Market Returns: Evidence From Gulf Cooperation Council (GCC) Countries. Global Finance Journal, 22, 42–55.
• Oxman, J. (2012). Price Inflation and Stock Returns. Economics Letters, 116, 385–388. doi:10.1016/j.econlet.2012.04.024
• Pinho, C. ve Madaleno, M. (2016). Oil Prices and Stock Returns: Nonlinear Links Across Sectors. Port Econ J, 15, 79–97. DOI 10.1007/s10258-016-0117-6
• Sathyanarayana, S.ve Gargesa, S. (2018). IRA-International Journal of Management & Social Sciences, 13 (02), 48-64. DOI: http://dx.doi.org/10.21013/jmss.v13.n2.p3
• Shin, Y., Yu, B. ve Greenwood-Nimmo, M. (2014). Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework. R.C. Sickles and W.C. Horrace (eds.), Festschrift in Honor of Peter Schmidt:Econometric Methods and Applications, 281-314. DOI 10.1007/978-1-4899-8008-3__9
• TCMB, https://www.tcmb.gov.tr/, Erişim:15.09.2020
• Tsagkanos, A. ve Siriopoulos, C. (2013). A Long-Run Relationship between Stock Price İndex and Exchange Rate: A Structural Nonparametric Cointegrating Regression Approach. Int. Fin. Markets, Inst. and Money, 25, 106– 118.