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DÖVİZ KURU VE ENFLASYONUN HİSSE SENEDİ GETİRİLERİ ÜZERİNDEKİ ETKİSİ

Effect of Exchange Rate and Inflation on Stock Returns

Journal Name:

  • EKEV Akademi Dergisi

Publication Year:

  • 2012

Key Words:

Keywords (Original Language):

Author NameUniversity of AuthorFaculty of Author
Abstract (2. Language): 
The purpose of this study is to investigate whether inflation and exchange rate have any effect on stock returns using the data of exchange rate, the consumer price index (CPI) and stocks variables for Turkey between the period of 1994:1-2010:12, with econometric analysis methods. In this context, various time series analysis and Granger causality test were applied. According to the results of the analysis, it is concluded that in that period, inflation was very high and positive effect on ISE index, while exchange rates were low and have negative effect in Turkey. Assessment of the results of the study indicates the conformity and consistency of existing structures of Turkey and ISE.
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Abstract (Original Language): 
Bu çalışmanın amacı, Türkiye için 1994:1-2010:12 dönemi döviz kuru, tüketici fiyatları endeksi (TÜFE) ve hisse senedi değişkenlerine ait veriler kullanılarak hisse senedi getirileri üzerinde enflasyonun ve döviz kurlarının etkili olup olmadığının ekonometrik analiz yöntemleriyle araştırılmasıdır. Bu kapsamda çalışmada çeşitli zaman serisi analizleri ve Granger nedensellik testi uygulaması yapılmıştır. Analiz sonuçlarına göre Türkiye’de söz konusu dönemde İMKB endeksi üzerinde enflasyonun oldukça yüksek düzeyde ve pozitif yönlü bir etkisi olduğu buna karşılık döviz kurlarının ise düşük düzeyli ve negatif yönlü bir etkisi olduğu sonucuna ulaşılmıştır. Elde edilen sonuçlar değerlendirildiğinde Türkiye’nin ve İMKB’nin mevcut yapısı ile uyumlu ve tutarlıdır.
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  • 51
393-410
  • Turkish

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