Investigation of the Relationship Between Stock, Commodity, Foreign Exchange and Digital Money Markets

Namıka Boyacıoğlu; Arife Özdemir Höl; Nazlıgül Gülcan

Makale detayları

Investigation of the Relationship Between Stock, Commodity, Foreign Exchange and Digital Money Markets

Yazarlar:

Namıka Boyacıoğlu | Arife Özdemir Höl | Nazlıgül Gülcan

Yayıncı:

İstanbul Gelisim University

Ana Başlıklar:

Para-Bankacılık | Para Politikası

Dergi:

İstanbul Gelişim Üniversitesi Sosyal Bilimler Dergisi Vol.10 Issue 1, pp.73-92

Belge Tipi:

Makale

Yayın Tarihi:

3/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001287166

pISSN:

2148-4287

Anahtar kelimeler:

Özet:

 In the study, the relationship between stock, commodity, foreign exchange and digital money markets is analyzed in a way that takes into account the structural breaks in the countrys economy, and a large literature study is included. Analysis used daily price data for the period 19.07.2010-19.03.2020, Carrion-i Silvestre, Kim and Perron 2009 unit root with multiple structural break, Maki 2012 cointegration with multiple structural break and Hatemi-J 2012 asymmetric causality tests. As a result of the cointegration test, it was revealed that the BIST 100 Index and the Bitcoin price, the US Dollar rate, and the Brent oil price moved together in the long term in equilibrium. According to the results of the asymmetric causality test of Hatemi-J 2012, it is seen that there is a causality from negative shocks in BIST 100 Index to positive shocks in oil prices, dollar rate and Bitcoin and from negative shocks in oil prices to positive shocks in BIST 100 Index. In addition, from positive shocks in BIST 100 Index to negative shocks in the dollar rate, from in BIST 100 Index negative shocks to dollar rate negative shocks, from dollar rate positive shocks to BIST 100 Index positive shocks.

 In the study, the relationship between stock, commodity, foreign exchange and digital money markets is analyzed in a way that takes into account the structural breaks in the countrys economy, and a large literature study is included. Analysis used daily price data for the period 19.07.2010-19.03.2020, Carrion-i Silvestre, Kim and Perron 2009 unit root with multiple structural break, Maki 2012 cointegration with multiple structural break and Hatemi-J 2012 asymmetric causality tests. As a result of the cointegration test, it was revealed that the BIST 100 Index and the Bitcoin price, the US Dollar rate, and the Brent oil price moved together in the long term in equilibrium. According to the results of the asymmetric causality test of Hatemi-J 2012, it is seen that there is a causality from negative shocks in BIST 100 Index to positive shocks in oil prices, dollar rate and Bitcoin and from negative shocks in oil prices to positive shocks in BIST 100 Index. In addition, from positive shocks in BIST 100 Index to negative shocks in the dollar rate, from in BIST 100 Index negative shocks to dollar rate negative shocks, from dollar rate positive shocks to BIST 100 Index positive shocks.

 In the study, the relationship between stock, commodity, foreign exchange and digital money markets is analyzed in a way that takes into account the structural breaks in the countrys economy, and a large literature study is included. Analysis used daily price data for the period 19.07.2010-19.03.2020, Carrion-i Silvestre, Kim and Perron 2009 unit root with multiple structural break, Maki 2012 cointegration with multiple structural break and Hatemi-J 2012 asymmetric causality tests. As a result of the cointegration test, it was revealed that the BIST 100 Index and the Bitcoin price, the US Dollar rate, and the Brent oil price moved together in the long term in equilibrium. According to the results of the asymmetric causality test of Hatemi-J 2012, it is seen that there is a causality from negative shocks in BIST 100 Index to positive shocks in oil prices, dollar rate and Bitcoin and from negative shocks in oil prices to positive shocks in BIST 100 Index. In addition, from positive shocks in BIST 100 Index to negative shocks in the dollar rate, from in BIST 100 Index negative shocks to dollar rate negative shocks, from dollar rate positive shocks to BIST 100 Index positive shocks.

 Çalışmada pay senedi, emtia, döviz ve dijital para piyasası arasındaki ilişki ülke ekonomisinde meydana gelen yapısal kırılmaları da dikkate alarak analiz edilmiş ve geniş bir literatür çalışmasına yer verilmiştir. Analiz 19.07.2010-19.03.2020 dönemi günlük fiyat verileri kullanılarak Carrion-i Silvestre, Kim ve Perron 2009 çoklu yapısal kırılmalı birim kök, Maki 2012 çoklu yapısal kırılmalı eşbütünleşme ve Hatemi-J 2012 asimetrik nedensellik testleri ile yapılmıştır. Yapılan eşbütünleşme testi sonucunda BİST 100 Endeksi ile Bitcoin fiyatı, ABD Dolar kuru, Brent petrol fiyatının uzun dönemde denge içerisinde birlikte hareket ettikleri ortaya çıkmıştır. Hatemi-J 2012 asimetrik nedensellik testi sonuçlarına göre BİST 100 Endeksindeki negatif şoklardan petrol fiyatları, dolar kuru ve Bitcoin pozitif şoklarına doğru, petrol fiyatlarındaki negatif şoklardan BİST 100 Endeksi pozitif şoklarına doğru bir nedensellik olduğu görülmektedir. Ayrıca BİST 100 Endeksi pozitif şoklarından dolar kuru negatif şoklarına, BİST 100 Endeksi negatif şoklarından dolar kuru negatif şoklarına, dolar kuru pozitif şoklarından BİST 100 Endeksi pozitif şoklarına, dolar kuru negatif şoklarından BİST 100 Endeksi pozitif ve negatif şoklarına doğru nedensellik olduğu ortaya çıkmıştır.

Makale detayları

Investigation of the Relationship Between Stock, Commodity, Foreign Exchange and Digital Money Markets

Yazarlar:

Namıka Boyacıoğlu | Arife Özdemir Höl | Nazlıgül Gülcan

Yayıncı:

İstanbul Gelisim University

Ana Başlıklar:

Para-Bankacılık | Para Politikası

Dergi:

İstanbul Gelişim Üniversitesi Sosyal Bilimler Dergisi Vol.10 Issue 1, pp.73-92

Belge Tipi:

Makale

Yayın Tarihi:

3/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001287166

pISSN:

2148-4287

Financial Market

Structural Break

Unit Root

Cointegration

Causality

Finansal Piyasa

Yapısal Kırılma

Birim Kök

Eşbütünleşme

Nedensellik

Sayı

Makale detayları

Yazarlar: Namıka Boyacıoğlu | Arife Özdemir Höl | Nazlıgül Gülcan

Yayıncı: İstanbul Gelisim University

Ana Başlıklar: Para-Bankacılık | Para Politikası

Dergi: İstanbul Gelişim Üniversitesi Sosyal Bilimler Dergisi Vol.10 Issue 1, pp.73-92

Belge Tipi: Makale

Yayın Tarihi: 3/2023

Belge Dili: Türkçe

Document ID (Org No.): 2001287166

pISSN: 2148-4287

Sayı

Yazarlar:

Namıka Boyacıoğlu | Arife Özdemir Höl | Nazlıgül Gülcan

Yayıncı:

İstanbul Gelisim University

Ana Başlıklar:

Para-Bankacılık | Para Politikası

Dergi:

İstanbul Gelişim Üniversitesi Sosyal Bilimler Dergisi Vol.10 Issue 1, pp.73-92

Belge Tipi:

Makale

Yayın Tarihi:

3/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001287166

pISSN:

2148-4287