The Relationship between the composite index and industrial stock indexes

Date

2011-07-01

Author

Hacıhasanoğlu, Erk
Soytaş, Uğur

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Makroekonomi ile hisse senedi piyasalarındaki ilişki yazında çok sayıda çalışma tarafından ele alınmıştır. Yazındaki çalışmalarda kullanılan değişik makroekonomik değişkenler arasında yüksek korelasyon olduğundan, istatistiksel modellerde çoklukolineerlik problemi ortaya çıkabilmektedir. Ayrıca yazında çoğunlukla hisse senedi piyasalarına genel olarak bakılmış ve makroekonomik dinamiklerin sektörel endekslere etkileri ayrıntılı olarak incelenmemiştir. Bu çalışmada TCMB’nin yayınladığı bileşik öncü gösterge makroekonomide yaşanılan değişimler için kullanılırken, bu değişimlerin sektörel finansal performanslara etkisi incelenmiştir. Uzun dönem dengesinde, bileşik öncü göstergede meydana gelen pozitif değişimlerin, savunma ve hizmet sektörleri dışında, tüm sektörel endekslere olumlu ve istatistiksel olarak anlamlı etkisi gözlenmiştir. Makroekonomide meydana gelen kısa vadeli şokların ise istisnasız tüm endeksleri başta pozitif etkilediği ama bu etkinin bir yıl içinde öldüğü saptanmıştır

Subject Keywords

Industrial indexes, Composite index, Toda-Yamamoto procedure, Sektörel endeksler, Bileşik öncü gösterge, Toda-Yamamoto prosedürü

URI

https://dergipark.org.tr/tr/pub/deuiibfd/issue/22731/242597
https://hdl.handle.net/11511/86935

Journal

Dokuz Eylul University Faculty of Economics and Administrative Sciences Journal

Collections

Department of Business Administration, Article

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Citation Formats

E. Hacıhasanoğlu and U. Soytaş, “The Relationship between the composite index and industrial stock indexes,” Dokuz Eylul University Faculty of Economics and Administrative Sciences Journal, pp. 79–91, 2011, Accessed: 00, 2021. [Online]. Available: https://dergipark.org.tr/tr/pub/deuiibfd/issue/22731/242597.