Yatırım Araçları Arasındaki Eşbütünleşme (Bist100, Altın, Reel Döviz Kuru)
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2015
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info:eu-repo/semantics/openAccess
Özet
Bu çalışmanın amacı, hisse senedi endeks değeri, altın ve döviz arasındaki ilişkiyi incelemektir. Bu amaçla çalışmada Borsa İstanbul 100 Endeksi (BIST100), altın (Altın) ve Reel Döviz Kuru (Amerikan doları) değişkenleri kullanılmıştır. Veri seti Ocak 2002- Kasım 2013 dönemi arasında 2296 günlük gözlemlerden oluşmaktadır. Hisse senedi getirileri ile altın ve döviz arasındaki ilişkiyi belirlemeye yönelik olarak iki ayrı model oluşturulmuş ve iki aşamalı EngleGranger Eşbütünleşme analizi uygulanmıştır. Bununla beraber Granger Nedensellik analizi de uygulanmıştır. Analizler sonucunda Reel Döviz Kurunun ve Altının, Borsa İstanbul 100 Endeksinin Granger nedeni olduğu tespit edilmiştir. Ayrıca Altının, Reel Döviz Kurunun Granger nedeni olduğu sonucuna ulaşılmıştır
The purpose of this study is to examine the relationship between stocks, gold and foreign exchange. To achieve this goal, Istanbul Stock Exchange 100 Index (Bist100), gold (Gold) and Real Effective Exchange Rate (USD) variables were used. Data set consist of 2296 daily observations between the period January 2002 and November 2013. To determine the relationship between stock, gold and foreign exchange, two separate models were developed and two-stage EngleGranger cointegration analysis was applied. In addition, Granger causality analysis was implemented. As a result of the analysis, real exchange rate and Gold were determined to be the Granger cause of Borsa Istanbul 100 Index. Finally, it was concluded that gold is the Granger cause of real exchange
The purpose of this study is to examine the relationship between stocks, gold and foreign exchange. To achieve this goal, Istanbul Stock Exchange 100 Index (Bist100), gold (Gold) and Real Effective Exchange Rate (USD) variables were used. Data set consist of 2296 daily observations between the period January 2002 and November 2013. To determine the relationship between stock, gold and foreign exchange, two separate models were developed and two-stage EngleGranger cointegration analysis was applied. In addition, Granger causality analysis was implemented. As a result of the analysis, real exchange rate and Gold were determined to be the Granger cause of Borsa Istanbul 100 Index. Finally, it was concluded that gold is the Granger cause of real exchange
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15
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1