IDEAS home Printed from https://ideas.repec.org/a/ege/journl/v16y2016i4p587-598.html
   My bibliography  Save this article

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
    as

    Download full text from publisher

    File URL: http://www.onlinedergi.com/MakaleDosyalari/51/PDF2016_4_2.pdf
    Download Restriction: no
    File URL: http://www.onlinedergi.com/eab/arsiv/arsivDetay.aspx?yil=2016&peryot=4
    File Function: Website of the journal issue
    Download Restriction: no
    File URL: https://libkey.io/10.21121/eab.2015119947?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Junsoo Lee & Mark C. Strazicich, 2001. "Break Point Estimation and Spurious Rejections With Endogenous Unit Root Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 63(5), pages 535-558, December.
    2. Kholodilin, Konstantin & Montagnoli, Alberto & Napolitano, Oreste & Siliverstovs, Boriss, 2009. "Assessing the impact of the ECB's monetary policy on the stock markets: A sectoral view," Economics Letters, Elsevier, vol. 105(3), pages 211-213, December.
    3. Sung C. Bae, 1990. "Interest Rate Changes And Common Stock Returns Of Financial Institutions: Revisited," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(1), pages 71-79, March.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Singh, Prakash & Pandey, Manoj K., 2009. "Structural break, stability and demand for money in India," MPRA Paper 15425, University Library of Munich, Germany.
    2. Duran, Murat & Özcan, Gülserim & Özlü, Pınar & Ünalmış, Deren, 2012. "Measuring the impact of monetary policy on asset prices in Turkey," Economics Letters, Elsevier, vol. 114(1), pages 29-31.
    3. Popp, Stephan, 2007. "Identification of the true break date in innovational outlier unit root tests," IBES Diskussionsbeiträge 152, University of Duisburg-Essen, Institute of Business and Economic Studie (IBES).
    4. Xiangnan Meng & Xin Deng, 2013. "Interest Rate and Foreign Exchange Sensitivity of Bank Stock Returns: Evidence from China," Multinational Finance Journal, Multinational Finance Journal, vol. 17(1-2), pages 77-106, March - J.
    5. Acaravici, Ali, 2010. "Structural Breaks, Electricity Consumption and Economic Growth: Evidence from Turkey," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 140-154, July.
    6. Craig A. Depken & Peter A. Groothuis & Mark C. Strazicich, 2020. "Evolution Of Community Deterrence: Evidence From The National Hockey League," Contemporary Economic Policy, Western Economic Association International, vol. 38(2), pages 289-303, April.
    7. Gomes, Fábio A. R. & Franchini, Douglas de S., 2008. "The Stationarity of Consumption–Income Ratios: Evidence from South American Countries," Insper Working Papers wpe_123, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    8. Akhtaruzzaman, Md & Shamsuddin, Abul & Easton, Steve, 2014. "Dynamic correlation analysis of spill-over effects of interest rate risk and return on Australian and US financial firms," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 378-396.
    9. Sotiris K. Staikouras, 2003. "The Interest Rate Risk Exposure of Financial Intermediaries: A Review of the Theory and Empirical Evidence," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 12(4), pages 257-289, September.
    10. Jeff Madura & Martina K. Bers, 2002. "The performance persistence of foreign closed‐end funds," Review of Financial Economics, John Wiley & Sons, vol. 11(4), pages 263-285.
    11. Salvatore Perdichizzi, 2017. "The impact of ECBs conventional and unconventional monetary policies on European banking indexes returns," DISCE - Working Papers del Dipartimento di Economia e Finanza def059, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    12. E. Dinenis & S. K. Staikouras, 1998. "Interest rate changes and common stock returns of financial institutions: evidence from the UK," The European Journal of Finance, Taylor & Francis Journals, vol. 4(2), pages 113-127.
    13. Mohamed Ariff & Asjeet S. Lamba, 2006. "The Valuation Effects of Prime Rate Revisions: Is There an Advantage of Being First?," International Review of Finance, International Review of Finance Ltd., vol. 6(3‐4), pages 177-194, September.
    14. Herrerias, M.J. & Orts, Vicente, 2013. "Capital goods imports and long-run growth: Is the Chinese experience relevant to developing countries?," Journal of Policy Modeling, Elsevier, vol. 35(5), pages 781-797.
    15. Bilgili, Faik, 1999. "Yeni Klasik kurama göre bütçe politikalarının değerlendirilmesi [An evaluation of New Classical arguments on budget policies]," MPRA Paper 80771, University Library of Munich, Germany.
    16. PRITI Verma, 2016. "The Impact Of Exchange Rates And Interest Rates On Bank Stock Returns: Evidence From U.S. Banks," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 11(1), pages 124-139, April.
    17. Junsoo Lee & Mark C. Strazicich, 2013. "Minimum LM unit root test with one structural break," Economics Bulletin, AccessEcon, vol. 33(4), pages 2483-2492.
    18. Arghyrou, Michael G. & Gregoriou, Andros & Kontonikas, Alexandros, 2009. "Do real interest rates converge? Evidence from the European union," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 447-460, July.
    19. Paresh Kumar Narayan, 2006. "Are Australia's tourism markets converging?," Applied Economics, Taylor & Francis Journals, vol. 38(10), pages 1153-1162.
    20. David Greasley & Les Oxley, 2010. "Cliometrics And Time Series Econometrics: Some Theory And Applications," Journal of Economic Surveys, Wiley Blackwell, vol. 24(5), pages 970-1042, December.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ege:journl:v:16:y:2016:i:4:p:587-598. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Baris Gök (email available below). General contact details of provider: https://edirc.repec.org/data/iiegetr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.