Euro ve ABD Doları Kurları ile Pay Senedi Endeksleri Arasındaki İlişkinin İncelenmesi: Borsa İstanbul Verileri Üzerine Ampirik Bir Çalışma (Examining the Relationship between Euro/TL, USD/TL and Equity Indexes: An Empirical Study on Borsa İstanbul)

Econometric Modeling: International Financial Markets - Emerging Markets eJournal Pub Date : 2016-03-01 DOI:10.20525/IJFBS.V5I2.269

Ayben Koy, Hicabi Ersoy

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引用次数: 1

Abstract

Bu calismada Turkiye’de pay senetleri fiyatlari ile doviz kurlari arasindaki iliski, VAR metodu (vektor oto regresyon modeli) kullanilarak arastirilmistir. Doviz kurlari ve pay senedi fiyatlarindan olusan degiskenler arasinda dogrusal bir baginti olup olmadiginin tespiti amaciyla bu model kullanilmistir. Bu amacla, doviz kurlari, BIST Banka ve BIST Sinai endeksleri ele alinmistir. Veriler Ocak 2011’den Aralik 2014’e kadar olan doneme ait gunluk degismeleri icermektedir. Turkiye’de en fazla islem yapilan doviz kurlari ABD dolari ve Euro oldugu icin, bu kurlar tercih edilmistir. This paper examines the linkages between the exchange rates and equity indexes including the diversity of sector. We use VAR model (the vector auto regression model) which is an econometric model used to capture the linear interdependencies among variables, exchange rates and equity indexes. The sample of the study consists of USD/TL, Euro/TL, BIST Bank and BIST Industry. The data of the study includes the January 2011 and December 2014with daily data range.

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土耳其的工资支付系统（Pay Senetleri fiyatlari ile doviz kurlari arasindaki iliski）、VAR 方法（vektor oto regresyon modeli）已被广泛应用。该模型的优点是可视化和可支付性。目前，BIST Banka 和 BIST Sinai 已成为全球最大的银行。2011年10月至2014年1月的数据显示，BIST银行已成为全球最大的银行之一。土耳其对 ABD 和 Euro oldugu icin（欧洲老龄化问题专家）的研究结果表明，土耳其对 ABD 和 Euro oldugu icin（欧洲老龄化问题专家）的研究取得了重大进展。本文研究了汇率与股票指数（包括行业多样性）之间的联系。我们使用了 VAR 模型（向量自动回归模型），这是一种计量经济学模型，用于捕捉变量、汇率和股票指数之间的线性相互依存关系。研究样本包括美元/土耳其里拉、欧元/土耳其里拉、BIST 银行和 BIST 工业。研究数据包括 2011 年 1 月至 2014 年 12 月的每日数据。

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Econometric Modeling: International Financial Markets - Emerging Markets eJournal

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