ASYMMETRIC CAUSALTY RELATIONSHIP BETWEEN ALTERNATIVE INVESTMENT INSTRUMENTS AND STOCK PRICES: THE TÜRKİYE SAMPLE

Lütfü Sizer

Makale detayları

ASYMMETRIC CAUSALTY RELATIONSHIP BETWEEN ALTERNATIVE INVESTMENT INSTRUMENTS AND STOCK PRICES: THE TÜRKİYE SAMPLE

Yazarlar:

Lütfü Sizer

Yayıncı:

Nevsehir Haci Bektas Veli University

Ana Başlıklar:

Uygulamalı Makro Ekonometri

Dergi:

Nevşehir Hacı Bektaş Veli Üniversitesi SBE Dergisi Vol.14 Issue 1, pp.219-234

Belge Tipi:

Makale

Yayın Tarihi:

3/2024

Belge Dili:

İngilizce

Document ID (Org No.):

2001312867

pISSN:

2149-3871

Anahtar kelimeler:

Özet:

 In economic theory, many economic and financial variables exhibit different behaviors. Therefore, nonlinear techniques can be used to accurately model the relationship between these variables. In the real world, peoples responses to shocks also vary. Especially in financial markets, investors may differ from homogeneous behavior. That is, when a random shock occurs in financial markets, each investor may react differently. While some investors prefer to take risks by holding their positions, believing that shocks are temporary, others may be risk averse and change their positions immediately. This means that shocks can have different effects on the market. Therefore, positive and negative shocks may need to be analyzed separately. It may make more sense to use non-linear techniques to understand asymmetric effects. The aim of this study is to examine the relationship between stock prices and other investment instruments using the Hatemi-J 2012 asymmetric causality test for Türkiye using quarterly data for the period from 2003 to 2023. The results show that there is an asymmetric causality relationship between the variables.

 In economic theory, many economic and financial variables exhibit different behaviors. Therefore, nonlinear techniques can be used to accurately model the relationship between these variables. In the real world, peoples responses to shocks also vary. Especially in financial markets, investors may differ from homogeneous behavior. That is, when a random shock occurs in financial markets, each investor may react differently. While some investors prefer to take risks by holding their positions, believing that shocks are temporary, others may be risk averse and change their positions immediately. This means that shocks can have different effects on the market. Therefore, positive and negative shocks may need to be analyzed separately. It may make more sense to use non-linear techniques to understand asymmetric effects. The aim of this study is to examine the relationship between stock prices and other investment instruments using the Hatemi-J 2012 asymmetric causality test for Türkiye using quarterly data for the period from 2003 to 2023. The results show that there is an asymmetric causality relationship between the variables.

 In economic theory, many economic and financial variables exhibit different behaviors. Therefore, nonlinear techniques can be used to accurately model the relationship between these variables. In the real world, peoples responses to shocks also vary. Especially in financial markets, investors may differ from homogeneous behavior. That is, when a random shock occurs in financial markets, each investor may react differently. While some investors prefer to take risks by holding their positions, believing that shocks are temporary, others may be risk averse and change their positions immediately. This means that shocks can have different effects on the market. Therefore, positive and negative shocks may need to be analyzed separately. It may make more sense to use non-linear techniques to understand asymmetric effects. The aim of this study is to examine the relationship between stock prices and other investment instruments using the Hatemi-J 2012 asymmetric causality test for Türkiye using quarterly data for the period from 2003 to 2023. The results show that there is an asymmetric causality relationship between the variables.

 Ekonomi teorisinde, birçok ekonomik ve finansal değişkenlerin farklı davranışlar sergilediği görülmektedir. Bu nedenle, bu değişkenlerin birbirleri ile olan ilişkilerini doğru bir şekilde modellenmesinin yolu, doğrusal olmayan teknikler kullanılarak mümkün olabilir. Gerçek dünyada, yaşanılan şoklara insanların verdikleri tepkiler de çeşitlilik gösterir. Özellikle finansal piyasalarda, yatırımcılar homojen bir davranış göstermek yerine farklılık gösterebilir. Yani finansal piyasalarda rastgele bir şok olduğunda, her bir yatırımcı farklı tepkiler verebilir. Bazı yatırımcılar, şokların geçici olduğuna inanarak pozisyonlarını koruyarak risk almayı tercih ederken, bazıları riskten kaçınarak hemen pozisyonlarını değiştirebilir. Bu durum, şokların piyasaya farklı etkiler yapabileceği anlamına gelir. Bu sebeple, pozitif ve negatif şokların ayrı ayrı incelenmesi gerekebilir. Asimetrik etkileri anlamak için doğrusal olmayan teknikler kullanmak daha mantıklı olabilir. Bu çalışmanın amacı, Türkiye için 2003ten 2023e kadar olan döneme ait üç aylık verileri kullanarak, hisse senedi fiyatları ile diğer yatırım araçları arasındaki ilişkiyi Hatemi-J 2012 asimetrik nedensellik testiyle incelemektir. Elde edilen sonuçlar, değişkenler arasında asimetrik nedensellik ilişkisi olduğunu göstermiştir.

Makale detayları

ASYMMETRIC CAUSALTY RELATIONSHIP BETWEEN ALTERNATIVE INVESTMENT INSTRUMENTS AND STOCK PRICES: THE TÜRKİYE SAMPLE

Yazarlar:

Lütfü Sizer

Yayıncı:

Nevsehir Haci Bektas Veli University

Ana Başlıklar:

Uygulamalı Makro Ekonometri

Dergi:

Nevşehir Hacı Bektaş Veli Üniversitesi SBE Dergisi Vol.14 Issue 1, pp.219-234

Belge Tipi:

Makale

Yayın Tarihi:

3/2024

Belge Dili:

İngilizce

Document ID (Org No.):

2001312867

pISSN:

2149-3871

Stock

Gold Price

Exchange Rate

Interest Rate

Asymmetric CausalityAltın Fiyatı

Döviz Kuru

Faiz Oranı

Asimetrik Nedensellik

Sayı

Makale detayları

Yazarlar: Lütfü Sizer

Yayıncı: Nevsehir Haci Bektas Veli University

Ana Başlıklar: Uygulamalı Makro Ekonometri

Dergi: Nevşehir Hacı Bektaş Veli Üniversitesi SBE Dergisi Vol.14 Issue 1, pp.219-234

Belge Tipi: Makale

Yayın Tarihi: 3/2024

Belge Dili: İngilizce

Document ID (Org No.): 2001312867

pISSN: 2149-3871

Sayı

Yazarlar:

Lütfü Sizer

Yayıncı:

Nevsehir Haci Bektas Veli University

Ana Başlıklar:

Uygulamalı Makro Ekonometri

Dergi:

Nevşehir Hacı Bektaş Veli Üniversitesi SBE Dergisi Vol.14 Issue 1, pp.219-234

Belge Tipi:

Makale

Yayın Tarihi:

3/2024

Belge Dili:

İngilizce

Document ID (Org No.):

2001312867

pISSN:

2149-3871