DOĞRUSAL OLMAYAN EŞBÜTÜNLEŞME TESTLERİ İLE TÜRKİYE EKONOMİSİNDE HİSSE SENEDİ FİYATI VE SEÇİLEN EKONOMİK DEĞİŞKENLER ARASINDAKİ İLİŞKİNİN ANALİZİ

Abstract

After globalization, all the markets in the world are known as a competitive field and accordingly the economic interactions emerge more strongly. Similarly, Turkey stock market can be affected by both national and international economic variables. This study analyses nonlinear cointegration between stock price and some selected economic variables in Turkey for the period January 2000 to June 2019. It particularly compares the result of KSS (2006) and Maki (2010) cointegration tests. The results of these two tests are different because of using different processes. Our findings support the presence of long run relationship with STAR adjustment between stock price and other economic variables. Findings also shows that the adjustment of equilibrium between stock price, gold price and exchange rate take much time while the adjustment of equilibrium between stock price, interest rate and inflation don’t take much time. Moreover, there are the long run causality between stock price and other variables except interest rate. The findings of this study can be helpful for Turkish portfolio management, as well as the financial risk management