FAİZ ORANI - DÖVİZ KURU VE BİST100 ETKİLEŞİMİ: MAKI EŞ - BÜTÜNLEŞME ANALİZİ

Yıl 2017, Cilt: 8 Sayı: 16, 503 - 523, 29.12.2017

Abdulkadir Barut , Sadık Karaoğlan Mehmet Emin Karabayır

Öz

Bu çalışmada, 2004:M1-2016:M10 dönemi için
faiz ve döviz kurunun BİST100 Ulusal Endeksi üzerindeki etkileri
araştırılmıştır. Çalışmada yapılan analizlerde; birim kök testleri için
Carrion-i-Silvestre vd. (2009) Çoklu Yapısal Kırılmalı Birim Kök Testi, uzun
dönem ilişkisi için Maki (2012) Çoklu Yapısal Kırılmalı Eş-bütünleşme Testi,
eş-bütünleşme katsayılarının tahmini için Dinamik En Küçük Kareler Yöntemi ve
son olarak uzun dönem hata düzeltmeleri için ise Hata Düzetme Modeli
kullanılmıştır. Ampirik çalışma sonucunda elde edilen bulgulara göre, faiz
oranındaki artışlar BİST100 Ulusal Endeksi’ni negatif etkilemektedir ve bu
bulgu literatürle de desteklenmektedir. Döviz kurlarındaki artışın ise BİST100
Ulusal Endeksi’ni pozitif yönde etkilediği tespit edilmiştir.

Anahtar Kelimeler

Faiz, Döviz Kuru, BİST100, Eş-bütünleşme.

Kaynakça

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