Asymmetric Causalty Relationship Between Alternative Investment Instruments and Stock Prices: The Türki̇ye Sample

Abstract

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, people's 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.