FINANCIAL MARKET AND ASYMMETRIC STRUCTURE: AN EMPIRICAL APPLICATION ON TURKISH STOCK MARKET

Emre Kılıç; Şevket Pazarcı; Elif Hilal Nazlıoğlu; Asim Kar

Makale detayları

FINANCIAL MARKET AND ASYMMETRIC STRUCTURE: AN EMPIRICAL APPLICATION ON TURKISH STOCK MARKET

Yazarlar:

Emre Kılıç | Şevket Pazarcı | Elif Hilal Nazlıoğlu | Asim Kar

Yayıncı:

Trakya University

Ana Başlıklar:

Finansal Piyasalar ve Kurumlar | Ekonometri (Diğer)

Dergi:

Trakya Üniversitesi Sosyal Bilimler Dergisi Vol.27 Issue IERFM 2025 Özel Sayı, pp.123-148

Belge Tipi:

Makale

Yayın Tarihi:

3/2025

Belge Dili:

İngilizce

Document ID (Org No.):

2001322363

pISSN:

1305-7766

Anahtar kelimeler:

Özet:

 In this study, the relationship between Borsa Istanbul benchmark index BIST100 and selected macroeconomic variables for the period 2014:01-2024:01 is analysed in non-linear form. In the model, BIST100 is taken as the dependent variable and deposit interest rate INT, industrial production index IPI, M2 money supply M2 and volatility index VIX are considered as explanatory variables. The relationship between BIST100 and the explanatory variables is analysed with the non-linear ARDL NARDL approach, which allows the asymmetric structure to be taken into account. According to the empirical findings, there is a long-run cointegration relationship between BIST100 index and explanatory variables INT, IPI, M2 and VIX. When the coefficient results are analysed, increases in M2 positively affect the BIST100 index. Increases in INT lead to a decrease in BIST100 index and this effect is statistically significant. Positive shocks in IPI, which shows an asymmetric effect, have a statistically significant effect on BIST100, while negative shocks have a downward effect on BIST100 but are statistically insignificant. The effect of negative shocks in VIX, another asymmetric variable, on BIST100 is statistically insignificant. Positive shocks, on the other hand, have a downward effect on BIST100 as expected. These findings make it possible for researchers who will forecast the BIST100 to make inferences about the future movements of the index by looking at macroeconomic variables.

 In this study, the relationship between Borsa Istanbul benchmark index BIST100 and selected macroeconomic variables for the period 2014:01-2024:01 is analysed in non-linear form. In the model, BIST100 is taken as the dependent variable and deposit interest rate INT, industrial production index IPI, M2 money supply M2 and volatility index VIX are considered as explanatory variables. The relationship between BIST100 and the explanatory variables is analysed with the non-linear ARDL NARDL approach, which allows the asymmetric structure to be taken into account. According to the empirical findings, there is a long-run cointegration relationship between BIST100 index and explanatory variables INT, IPI, M2 and VIX. When the coefficient results are analysed, increases in M2 positively affect the BIST100 index. Increases in INT lead to a decrease in BIST100 index and this effect is statistically significant. Positive shocks in IPI, which shows an asymmetric effect, have a statistically significant effect on BIST100, while negative shocks have a downward effect on BIST100 but are statistically insignificant. The effect of negative shocks in VIX, another asymmetric variable, on BIST100 is statistically insignificant. Positive shocks, on the other hand, have a downward effect on BIST100 as expected. These findings make it possible for researchers who will forecast the BIST100 to make inferences about the future movements of the index by looking at macroeconomic variables.

 In this study, the relationship between Borsa Istanbul benchmark index BIST100 and selected macroeconomic variables for the period 2014:01-2024:01 is analysed in non-linear form. In the model, BIST100 is taken as the dependent variable and deposit interest rate INT, industrial production index IPI, M2 money supply M2 and volatility index VIX are considered as explanatory variables. The relationship between BIST100 and the explanatory variables is analysed with the non-linear ARDL NARDL approach, which allows the asymmetric structure to be taken into account. According to the empirical findings, there is a long-run cointegration relationship between BIST100 index and explanatory variables INT, IPI, M2 and VIX. When the coefficient results are analysed, increases in M2 positively affect the BIST100 index. Increases in INT lead to a decrease in BIST100 index and this effect is statistically significant. Positive shocks in IPI, which shows an asymmetric effect, have a statistically significant effect on BIST100, while negative shocks have a downward effect on BIST100 but are statistically insignificant. The effect of negative shocks in VIX, another asymmetric variable, on BIST100 is statistically insignificant. Positive shocks, on the other hand, have a downward effect on BIST100 as expected. These findings make it possible for researchers who will forecast the BIST100 to make inferences about the future movements of the index by looking at macroeconomic variables.

 Bu çalışmada 2014:01-2024:01 dönemi için Borsa İstanbul gösterge endeksi BIST100 ile seçili makroekonomik arasındaki ilişki doğrusal olmayan formda incelenmektedir. Modelde bağımlı değişken olarak BIST100, açıklayıcı değişkenler olarak da mevduat faiz oranı INT, sanayi üretim endeksi IPI, M2 para arzı M2 ve oynaklık endeksi VIX dikkate alınmaktadır. BIST100 ve açıklayıcı değişkenler arasındaki ilişki, asimetrik yapının dikkate alınmasına olanak sağlayan doğrusal olmayan ARDL NARDL yaklaşımı ile analiz edilmektedir. Elde edilen ampirik bulgulara göre BIST100 endeksi ile açıklayıcı değişkenler INT, IPI, M2 ve VIX arasında uzun dönemde eşbütünleşme ilişkisi bulunmaktadır. Katsayı sonuçları incelendiğinde M2de meydana gelen artışlar BIST100 endeksini pozitif etkilemektedir. INTde meydana gelen artışlar ise BIST100 endeksinde azalışa yol açmakta ve bu etki istatistiksel olarak anlamlı olmaktadır. Asimetrik etki gösteren IPIda meydana gelen pozitif şoklar BIST100 üzerinde istatistiksel olarak anlamlı bir etkiye sahipken negatif şoklar ise BIST100ü düşürücü etki doğurmakla birlikte istatistiksel olarak anlamsız bulunmaktadır. Asimetrik etki gösteren bir başka değişken olan VIXdeki negatif şokların BIST100 üzerindeki etkisi istatistiksel olarak anlamsız bulunmaktadır. Pozitif şoklar ise beklentiler dahilinde BIST100ü düşürücü etkide bulunmaktadır. Bu bulgular, BIST100ü tahmin edecek araştırmacılar için makroekonomik değişkenlere bakarak, endeksin ileri dönemdeki hareketleri hakkında çıkarsamalar yapmasını mümkün kılmaktadır.

Makale detayları

FINANCIAL MARKET AND ASYMMETRIC STRUCTURE: AN EMPIRICAL APPLICATION ON TURKISH STOCK MARKET

Yazarlar:

Emre Kılıç | Şevket Pazarcı | Elif Hilal Nazlıoğlu | Asim Kar

Yayıncı:

Trakya University

Ana Başlıklar:

Finansal Piyasalar ve Kurumlar | Ekonometri (Diğer)

Dergi:

Trakya Üniversitesi Sosyal Bilimler Dergisi Vol.27 Issue IERFM 2025 Özel Sayı, pp.123-148

Belge Tipi:

Makale

Yayın Tarihi:

3/2025

Belge Dili:

İngilizce

Document ID (Org No.):

2001322363

pISSN:

1305-7766

Stock market

macroeconomic indicators

asymmetric relationship

NARDLHisse senedi piyasası

Makroekonomik göstergeler

Asimetrik ilişki

NARDL

Sayı

Makale detayları

Yazarlar: Emre Kılıç | Şevket Pazarcı | Elif Hilal Nazlıoğlu | Asim Kar

Yayıncı: Trakya University

Ana Başlıklar: Finansal Piyasalar ve Kurumlar | Ekonometri (Diğer)

Dergi: Trakya Üniversitesi Sosyal Bilimler Dergisi Vol.27 Issue IERFM 2025 Özel Sayı, pp.123-148

Belge Tipi: Makale

Yayın Tarihi: 3/2025

Belge Dili: İngilizce

Document ID (Org No.): 2001322363

pISSN: 1305-7766

Sayı

Yazarlar:

Emre Kılıç | Şevket Pazarcı | Elif Hilal Nazlıoğlu | Asim Kar

Yayıncı:

Trakya University

Ana Başlıklar:

Finansal Piyasalar ve Kurumlar | Ekonometri (Diğer)

Dergi:

Trakya Üniversitesi Sosyal Bilimler Dergisi Vol.27 Issue IERFM 2025 Özel Sayı, pp.123-148

Belge Tipi:

Makale

Yayın Tarihi:

3/2025

Belge Dili:

İngilizce

Document ID (Org No.):

2001322363

pISSN:

1305-7766