TÜRKİYE’DE HİSSE SENETLERİ PİYASASI İLE EKONOMİK BÜYÜME İLİŞKİSİNE ARDL YAKLAŞIMI

Yıl 2017, Cilt: 12 Sayı: 4, 185 - 198, 20.10.2017

Nihal Yayla , Reşat Ceylan , İsmail Çeviş

Öz

Hisse senedi piyasası ile reel ekonomi
arasında çeşitli kanallardan gerçekleşen çok yakın bir etkileşim olduğu bilinen
bir gerçektir. Hisse senedi piyasaları, hem yurtiçi tasarrufları hem de
yatırımların miktar ve kalitesini artırarak ekonomik büyümeye ivme
kazandırmaktadır.  Ancak teori, bu iki değişken arasındaki ilişkinin
yönünü kesin olarak tanımlayamamaktadır. Bu çalışmada, 2006:1-2016:10 dönemi
için Türkiye’de hisse senedi piyasası ile ekonomik büyüme arasındaki ilişki
ARDL (Auto-Regressive Distributed Lag)  yaklaşımı ile analiz edilmiştir.
Hisse senedi piyasası ile ekonomik büyümenin göstergesi olarak sırasıyla BIST
ve SÜE (sanayi üretim) endeksinin kullanıldığı analiz sonucunda değişkenler
arasında istatistiksel olarak anlamlı bir eşbütünleşme ilişkisi bulunduğu
tespit edilmiştir.  Uzun dönemde BIST endeksinden SÜE’ye doğru güçlü ve pozitif
bir nedensellik söz konusu iken kısa dönemde bu değişkenler arasında çift yönlü
bir nedensellik ilişkisi olduğu sonucuna ulaşılmıştır. Bu durum, Borsa
İstanbul’un kendisine atfedilen fonksiyonu yerine getirerek ekonomik büyümeyi
teşvik ettiğini göstermektedir. 

Anahtar Kelimeler

Hisse Senetleri Piyasası, Ekonomik Büyüme, Eşbütünleşme, ARDL, BIST

Kaynakça

• 1. Adom, P.K., Bekoe, W., and Akoena, S.K.K., (2012). Modeling Aggregate Domestic Electricity Demand in Ghana: An Autoregressive Distributed Lag Bounds Cointegration Approach, Energy Policy, 42, 530-537.
• 2. Allen, F. and Gale, D., (1996). Financial Markets, Intermediaries and Intertemporal Smoothing, the Wharton Financial Institutions Center. http://fic.wharton.upenn.edu/fic/papers/96/9633.pdf, Erişim Tarihi: 24.05.2017.
• 3. Altıntaş, H. ve Tombak, F., (2011). Türkiye’de Hisse Senedi Fiyatları ve Makro Ekonomik Değişkenler Arasındaki İlişkinin Ekonometrik Analizi: 1987-2008, Anadolu Üniversitesi Ekonomi Kongresi II, ss:1-21.
• 4. Atje, R. and Jovanovic, B., (1993). Stock Markets and Development, European Economic Review, Vol:37, No:2-3, pp:632-640.
• 5. Barro, R., (1990). The Stock Market and Investment, Review of Financial Studies 3, 115-131.
• 6. Beck, T., Levine, R., and Loayza, N., (2000). Finance and sources of Growth, Journal of Financial Economics, Vol.58, pp:261-300.
• 7. Bencivenga, V.R., Bruce, D.S., and Starr, M.R., (1996). Equity Markets, Transaction Costs, and Capital Accumulations: An Illustration. The World Bank Review 10(2):241-265.
• 8. Bossone, B., (2000). What Makes Banks Special? A study on Banking, Finance, and Economic Development, World Bank Policy Research, Working Paper No. 2408, Washington: World Bank.
• 9. Bosworth, B., (1975). The Stock Market and the Economy, Brookings Papers on Economic Activity 2, 257-300.
• 10. Boyd, J.H. and Prescott, E.C., (1986). Financial Intermediary-coalitions. Journal of Economic Theory, 38(2), 211-232.
• 11. Buffie, E.F., (1984). Financial Repression, the New Structuralists, and Stabilization Policy in Semi Industrialised Economies, Journal of Development Economics Vol:14, No:7, pp:305–322. doi:10.1016/0304-3878(84)90061-0,http://dx.doi.org/10.1016/0304-3878(84)90061-0.
• 12. Burkett, P., (1987). Financial Repression and Financial Liberalisation in the Third World: A Contribution of the Critique of Neoclassical Development Theory, Review of Radical Political Economy, Vol:19, No:1, pp:1-21. doi:10.1177/048661348701900101, http://dx.doi.org/10.1177/ 048661348701900101.
• 13. Demirgüç-Kunt, A. and Levine, R., (1996). Stock Market, Corporate Finance and Economic Growth: An Overview, The World Bank Review 10(2):223-239.
• 14. Duasa, J., (2007). Determinants of Malaysia Trade Balance: An ARDL bound testing approach, Global Economic Review, 36(1):89–102.
• 15. Elmas, B., Göçer, İ. ve Aksu, H., (2011). İMKB Performansı- Ekonomik Büyüme Oranı Arasındaki İlişki: 1998:Ç1-2010:Ç3 Dönemi, Kocaeli Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, Vol:22, ss:152-167.
• 16. Engle, R.F. and Granger, C.W.J., (1987). Co-integration and Error Correction: Representation, Estimation, and Testing, Econometrica, 55, 391-407.
• 17. Ezeabasili, V.N. and Alajekwe, U.B., (2012). Stock Market Liquidity and Economic Growth, Economic Journal of A 2 Z, Vol:1, No:2, pp:11-17.
• 18. Fama, E.F., (1981). Stock Returns, Real Activity, Inflation, and Money. In: The American Economic Review, vol:71, no:4, pp:545-565. ISSN 0022-8282.
• 19. Fama, E.F., (1990). Stock Returns, Expected Returns, and Real Activity. In: The Journal of Finance, vol:45, no:4, pp:1089-1108. ISSN 0022-1082.
• 20. Filler, R.K., Hanousek, J. and Campos, N.F., (1999). Do Stock Market Promote Economic Growth? The William Davidson Institute (University of Michigan Business School) Working Paper Series No. 267 September.
• 21. Fry, M.J., (1988). Money, Interest and Banking in Economic Development, Baltimore: The Johns Hopkins University Press.
• 22. Gertler, M., (1988). Financial Structure and Aggregate Economic Activity: An Overview, Journal of Money, Credit and Banking, Vol:20, pp:559-88.
• 23. Goldsmith, R.W., (1969). Financial Structure and Development. New Haven, CT: Yale University Press.
• 24. Greenwood, J. and Boyan, J., (1990). Financial Development, Growth and the Distribution of Income. Journal of Political Economy, 98(5), 1076-1107.
• 25. Inanga, I.L. and Emenuga, C., (1997). Institutional, Traditional and Asset Pricing Characteristics of the Nigerian Stock Exchange. African Economic Research Consortium Research paper, 60, march 1997.
• 26. Johansen, S., (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551–1580.
• 27. Kaplan, M., (2008). The impact of Stock Market on Real Economic Activity: Evidence from Turkey. In: Journal of Applied Sciences, Vol:8, no:2, pp:374-378. ISSN 1812-5654.
• 28. Kargi, N. and Terzi, H., (1997). Causal Relations among the ISE, Inflation, Interest Rates and Real Activity in Turkey: A VAR Analysis, ISE Review, 1, 27-38.
• 29. Khan, A., (2000). The Finance and Growth Nexus, Federal Reserve Bank of Philadelphia Business Review, Vol:1, No.2, pp:3-14.
• 30. King, R.G. and Levine, R., (1993). Finance and Growth: Schmpeter might be right, Quarterly Journal of Economics, 108(3), 717-737.
• 31. Korajczyk, R.A., (1996). A Measure of Stock Market Integration for Developed and Emerging Markets, World Bank Economic Review, World Bank Group, 10(2), 267-89.
• 32. Levine, R., (1997). Financial Development and Economic Growth: Views and Agenda, Journal of Economic Literature, 35(2), 688-726.
• 33. Levine, R. and Zervos, S., (1998). Stock Markets, Banks, and Economic Growth, the American Economic Review, 88(3), 537-558.
• 34. Luintel, K.B., Khan, M., Arestis, P., and Theodoridis, K., (2008). Financial structure and economic growth, Journal of Development Economics, 86(1), 181-200.
• 35. Mckinnon, R., (1973). Money and Capital in Economic Development, The Brookings Institution, Washington DC.
• 36. Mishkin, F.S., (2001). Financial Policies and the Prevention of Financial Crises in Emerging Market Countries, NBER Working Paper Series, 8087, January, Cambridge.
• 37. Nyong, M.O., (1997). Capital Market Development and Long-Run Economic Growth: Theory, Evidence and Analysis,. First Bank Review, December 1997:13-38.
• 38. Obstfeld, M., (1994). Risk-taking, Global Diversification, and Growth, American Economic Review 84(5, December) 1310-1329.
• 39. Olweny, T.O. ve Kimani, D., (2011). Stock Market Performance and Economic Growth Empirical Evidence from Kenya using Causality Test Approach, Advances in Management & Applied Economics, 1(3), 153-196.
• 40. Owolabi, A. and Ajayi, N.O., (2013). Econometric Analysis of Impact of Capital Market on Economıc Growth in Nigeria (1971-2010), Asian Economic and Financial Review, 2013, 3(1):99-110.
• 41. Pesaran, M.H. and Shin, Y., (1998). An Autoregressive Distributed-lag Modelling Approach to Cointegration Analysis, Econometric Society Monographs, 31, 371-413.
• 42. Pesaran, M.H, Shin, Y., and Smith, R., (2001). Bounds Testing Approaches to the Analysis of Level Relationship, Journal of Applied Econometrics, 16(3), 289-326.
• 43. Shaw, E.S., (1973). Financial Deepening in Economic Development. New York: Oxford University Press.
• 44. Schwert, W., (1990). Stock returns and real activity: A Century of Evidence, Journal of Finance 45, 1237-1257.
• 45. Singh, A., (1997). Stock Markets, Financial Liberalisation and Economic Development, Economic Journal, 107(442), (1997), 771-782.
• 46. Stiglitz, J.E., (1985). Credit Markets and the Control of Capital. Journal of Money, Credit and Banking, Vol:17, No:1, pp:241-250.
• 47. Tsuru, K., (2000). Finance and Growth: Some Theoretical Considerations and a Review of the Empirical Literature, Working Paper No. 228, Paris: Organisation for Economic Co-operation and Development.
• 48. Yay, G. and Oktayer, A., (2009). Financial Development and Economic Growth: A Comparative Analysis. Journal for Economic Forecasting, 6(3), 56–74.