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Gosterge Faiz Orani Dalgalanmalari Ve Bist Endeksleri Arasindaki Iliskinin Esanli Kantil Regresyon Ile Analizi

Author

Listed:
  • Umut UYAR

    (Pamukkale Universitesi)

  • Sinem KANGALLI UYAR

    (Pamukkale Universitesi)

  • Altan GOKCE

    (TCMB, Izmir Subesi)

Abstract

Iktisat teorisinde, yatirimcilar acisindan birbirine ikame olarak ifade edilebilecek faiz orani ile sermaye piyasalari arasinda negatif bir korelasyon beklenmektedir. Gosterge Faiz Orani ise, vadesi 5 yil olan ve yillik kupon odemesi yapilan Devlet Tahvili faizini ifade eden faiz oranidir. Ikincil piyasalarda en fazla islem goren tahvil cesitlerinden biri oldugu icin gosterge faiz orani, piyasalar tarafindan referans olarak kullanilmaktadir. Bu calismanin amaci, gosterge faiz orani ile Borsa Istanbul endeksleri (XU100, XU30, XUTUM, XUMAL ve XBANK) arasindaki iliskiyi endekslerin farkli kantilleri icin analiz etmektir. Analiz bulgularina gore, endekslerin yuksek ya da dusuk oldugu donemlerde gosterge faiz orani hareketleri sermaye piyasalarini negatif ve farkli siddetlerde etkilemektedir. Etkinin siddeti mali ve bankacilik endekslerinde daha da artmaktadir. Ayrica, ekonomide olusan ani bir faiz sokuna da endeksler farkli sekilde tepki vermektedir. Bu acidan yatirimcilara, gosterge faiz orani tahminlerine gore yatirimlarini yonlendirirken endekslerin dusuk ya da yuksek oldugu donemlerde stratejilerini revize etmeleri onerilmektedir.

Suggested Citation

  • Umut UYAR & Sinem KANGALLI UYAR & Altan GOKCE, 2016. "Gosterge Faiz Orani Dalgalanmalari Ve Bist Endeksleri Arasindaki Iliskinin Esanli Kantil Regresyon Ile Analizi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 16(4), pages 587-598.
    • Handle: RePEc:ege:journl:v:16:y:2016:i:4:p:587-598
    DOI: 10.21121/eab.2015119947
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