Bi̇leşi̇k Öncü Göstergeler İle Borsa İstanbul Sektör Endeksleri̇ Arasindaki̇ İli̇şki̇ni̇n İncelenmesi̇

Abstract

Ekonomik faaliyetlerde yaşanabilecek dalgalanmalar tüm piyasaları olduğu gibi hisse senedi piyasalarını da etkilemektedir. Bileşik öncü göstergeler ise ekonomiye ilişkin beklentileri ortaya koymaktadır. Bu çalışmada 2006:01-2016:10 dönemi için bileşik öncü göstergeler endeksi ile 12 borsa sektör endeksi getirileri arasında ilişki olup olmadığı test edilmiştir. Eşbütünleşme ilişkisi değişkenler farklı seviyede durağan olduklarından Sınır Testi ile araştırılmıştır. Yapılan analizler sonucunda bileşik öncü göstergeler ile çalışmada yer alan tüm sektör endeksleri arasında uzun ve kısa dönemde ilişki olduğu belirlenmiştir. İlaveten bileşik öncü göstergelerdeki artışın tüm sektör endekslerini kısa dönemde olumlu yönde etkilediği tespit edilmiştir. Nedensellik sonuçları ise çoğunlukla bileşik öncü göstergelerin endekslerin nedeni olduğunu ortaya koymuştur.

Forecasting Stock Market Indices with the Composite Leading Indicators: Evidence from Turkey

“…When the findings are examined, we see that CLIs are found to be in causality relationship with the stock market indices for Turkey in the relevant period, implying that CLIs do have impacts on stock market indices including BIST100, BIST Financial and BIST Industrial stock market indices in the short-run. Our findings are consistent with the earlier evidence provided by Hacihasanoglu and Soytas (2011), Gulhan et al (2012), Topcu and Unlu (2013) and Topcu (2014) and Eyuboglu and Eyuboglu (2019), suggesting that CLIs should be taken more seriously by both investors and researchers who are interested in the subject. The analysis results reveal that the CLIs index, which carry information regarding economic expectations and is expected to be sensitive to the macroeconomic performance and fluctuations, are captured by stock prices in Turkey.…”

“…However, it is seen that there are few studies on the subject in developing countries especially for Turkey. For instance, it is seen that some studies including of Murutoglu (1999), Alper (2000), Altug and Uluceviz (2011) and Atabek et al (2014) focus on creating of composite leading indicators, while Hacihasanoglu and Soytas (2011), Gulhan et al (2012), Topcu and Unlu (2013), Topcu (2014) and Eyuboglu and Eyuboglu (2019) try to analyze the relationship between composite leading indicators and stock market indices. In this section, we give information about the studies which examine the relationship between macroeconomic factors and stock markets at first and then deal with the studies the impacts of composite leading indicators on stock market indices in Turkey.…”

“…In another study, Topcu (2014), test the long-run and causality relationship between ISE-100 and composite leading indicators in the period of 2011:01-2014:02 and again find out that there is no long-run relationship between variables while there is a oneway causality relationship from CLIs to stock prices. Finally, in their study, Eyuboglu and Eyuboglu (2019) analyze the short-run and long-run relationships between the CLIs and 12 stock market indices for Turkey in the period of 2006:01-2016:01. On the contrary to the results of Topcu (2014), their findings support the evidence of both long-run and short-run impacts of CLIs' on stock market indices implying that investors take into account the CLIs in their decision-making processes in Turkey.…”

Borsa Istanbul Sectoral Connectedness Analysis

“…In the context of the Turkish stock exchange, Borsa Istanbul (BIST), the existing literature predominantly employs the Granger causality test, cointegration, and variants of GARCH-based methods to investigate interactions among BIST subindices. Noteworthy contributions to this body of research include studies by Berument et al (2005), Duran and Şahin (2006), Eyüboğlu and Eyüboğlu (2019), Kamışlı and Sevil (2018), Kocaarslan (2020), Şenol (2020), andTopaloğlu (2020). The only paper that we are aware, which uses DYCI methodology is Ekinci and Gençyürek (2019).…”