Cilt 9 Sayı 4 (2021): Business & Management Studies: An International Journal
Makaleler

Ulusal ve küresel makroekonomik faktörlerin gelişen borsalar üzerindeki etkileri: Türkiye ve BRICS ülkeleri üzerine ampirik bir araştırma

İsmail Karataş
Dr. Öğr. Üyesi, Bayburt Üniversitesi, Bayburt, Türkiye
Mehmet İslamoğlu
Doç. Dr., Karabük Üniversitesi, Karabük, Türkiye

Yayınlanmış 2021-12-25

Nasıl Atıf Yapılır

Karataş, İsmail, & İslamoğlu, M. (2021). Ulusal ve küresel makroekonomik faktörlerin gelişen borsalar üzerindeki etkileri: Türkiye ve BRICS ülkeleri üzerine ampirik bir araştırma. Business & Management Studies: An International Journal, 9(4), 1611–1639. https://doi.org/10.15295/bmij.v9i4.1959

Özet

Bu çalışma, ulusal ve küresel makroekonomik faktörlerin Türkiye ve BRICS (Brezilya, Rusya, Hindistan, Çin ve Güney Afrika) ülkelerine ait hisse senedi endeksleri üzerindeki etkilerinin belirlenmesi amacıyla ele alınmış ve hazırlanmıştır. Bu amaç doğrultusunda çalışmanın analizlerinde Ocak 2003 – Aralık 2016 dönemine ait aylık veriler kullanılmıştır. Federal fon oranları, küresel emtia fiyat endeksi, MSCI gelişmiş ülkeler için sermaye piyasası endeksi, tüketici fiyat endeksi, sanayi üretim endeksi, dar tanımlı para arzı ve ABD Doları bazlı reel döviz kuru çalışmanın açıklayıcı değişkenleridir. Araştırmanın açıklanan değişkenleri ise bu ülkelerin borsa endeksi kapanış fiyatlarıdır. Bu bağlamda her ülkeye ilişkin bir model oluşturulmuş olup ilgili sonuçlara ulaşılması amacıyla Doğrusal Otoregresif Dağıtılmış Gecikme (ARDL) yaklaşımı uygulanmıştır. Ayrıca çalışmada Doğrusal Olmayan Otoregresif Dağıtılmış Gecikme (NARDL) yaklaşımı da kullanılmıştır. Bu kapsamda küresel emtia fiyat endeksi, dar tanımlı para arzı ve ABD Doları bazlı reel döviz kuru açıklayıcı değişkenler; bu ülkelerin borsa kapanış fiyatları ise açıklanan değişkenler olarak modellere dahil edilmiştir. ARDL yaklaşımı analizi sonuçlarına göre değişkenler bağlamında istatistiksel olarak anlamlı etkilerin olduğu görülmüştür. NARDL yaklaşımı analiz sonuçlarına göre değişkenler bağlamında kısa dönem ve uzun dönem asimetrik etkilerin olduğu tespit edilmiştir.

İndirmeler

İndirme verileri henüz mevcut değil.

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