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Journals / Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi / 2025 / Sayı: 72

Time-varying causality between purchasing managers and economic outlook indices and Borsa Istanbul

Satın alma yöneticileri ve ekonomik görünüm endeksleri ile Borsa İstanbul arasındaki zamanla değişen nedensellik

Zekai Şenol(SİVAS CUMHURİYET ÜNİVERSİTESİ, İKTİSADİ VE İDARİ BİLİMLER FAKÜLTESİ, FİNANS VE BANKACILIK BÖLÜMÜ)0000-0001-8818-0752
Ayşegül Han(İNÖNÜ ÜNİVERSİTESİ)0000-0002-3390-2129
Tuba Gülcemal(SİVAS CUMHURİYET ÜNİVERSİTESİ, İKTİSADİ VE İDARİ BİLİMLER FAKÜLTESİ, FİNANS VE BANKACILIK BÖLÜMÜ)0000-0003-4806-8568
Pages
241–250
Publication Date
2025-12-31
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

These results suggest that the PMI and EOI serve as leading indicators, while the BIST 100 indices act as forward-looking indicators.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This study investigates the relationships between the Purchasing Managers’ Index (PMI), the Economic Outlook Index (EOI), and the Borsa Istanbul (BIST) indices.
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Key Findings & Data:The analysis utilizes monthly data from August 2015 to June 2025 and applies the Hatemi-J (2012) asymmetric causality and time-varying asymmetric causality tests.
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Conclusion & Impact:These results suggest that the PMI and EOI serve as leading indicators, while the BIST 100 indices act as forward-looking indicators.
🔬Design:Araştırma Makalesi
📍Scope:2015 Verileri
⚙️Variables:Borsa İstanbul · Ekonomik Görünüm Endeksi · PMI

Abstract

This study investigates the relationships between the Purchasing Managers’ Index (PMI), the Economic Outlook Index (EOI), and the Borsa Istanbul (BIST) indices. The analysis utilizes monthly data from August 2015 to June 2025 and applies the Hatemi-J (2012) asymmetric causality and time-varying asymmetric causality tests. The main findings of the study are as follows: There are mutual asymmetric and time-varying asymmetric causalities between the BIST 100 indices and both PMI and EOI. The time-varying asymmetric relationship between the EOI and BIST 100 indices is stronger than that between the PMI and BIST 100 indices. Positive shocks generally occurred during recovery periods following negative shocks. The COVID-19 pandemic, the 2018 currency crisis, the high inflation period of 2022–2023, and the monetary tightening measures put in place after 2023 were all considered negative shocks. In this regard, it has been understood that factors such as the 2018 currency shock, the COVID-19 pandemic, expansionary monetary policy, Currency Protected Deposits, monetary tightening policy, which were observed in the Turkish economy and financial markets, were effective in the shock spillover between the PMI and EOI and BIST 100 indices. The EOI displays stronger time-varying causality toward the BIST 100 index in the presence of negative shocks, whereas the PMI demonstrates more pronounced time-varying causality under positive shocks. These results suggest that the PMI and EOI serve as leading indicators, while the BIST 100 indices act as forward-looking indicators. The findings provide valuable implications for investors, portfolio managers, financial analysts, and economic policymakers.

Özet

Bu çalışmada Satın Alma Yöneticileri Endeksi (PMI) ve Ekonomik Görünüm Endeksi (EGE) ile Borsa İstanbul (BİST) endeksleri arasındaki ilişkiler araştırılmıştır. Çalışmada, Ağustos 2015 ve Haziran 2025 dönemine ait aylık veriler kullanılmış, Hatemi-J (2012) asimetrik nedensellik ve zamanla değişen asimetrik nedensellik testleri uygulanmıştır. Çalışmada elde edilen başlıca sonuçlar şu şekildedir: BİST 100 endeksleri ile PMI ve EGE arasında karşılıklı asimetrik ve zamanla değişen asimetrik nedensellikler görülmüştür. EGE’nin BİST 100 endeksleri ile olan zamanla değişen asimetrik ilişkisi, PMI ile olan ilişkisinden daha güçlüdür. Genellikle negatif şokların ardından ortaya çıkan toparlanma dönemlerinde pozitif şoklar meydana gelmiştir. Negatif şoklar 2018 kur şoku, COVID-19 pandemisi, 2022-2023 yüksek enflasyon dönemi, 2023 yılı sonrasında uygulanan parasal daralma dönemlerinde görülmüştür. Bu bakımdan Türkiye ekonomisi ve finansal piyasalarında görülen 2018 kur şoku, COVID-19 pandemisi, düşük faiz ve genişleyici para politikasıyla enflasyonla mücadele, Kur Korumalı Mevduat (KKM), yüksek faiz ve sıkı para politikasıyla enflasyonla mücadele gibi faktörlerin PMI ve EGE ile BİST 100 endeksleri arasındaki şok yayılımında etkili olduğu anlaşılmıştır. EGE’den BİST 100 endekslerine negatif şoklara dayanan zamanla değişen nedensellik fazlayken PMI de ise, pozitif şoklara dayanan zamanla değişen nedensellik daha fazladır. Bu sonuçlar PMI ve EGE’nin öncü gösterge, BİST 100 endekslerinin ise geleceği fiyatlayan bir gösterge olduğunu göstermektedir. Elde edilen sonuçlar, yatırımcılar, portföy yöneticileri, f inansal analistler, ekonomi yönetimleri açısından önem taşımaktadır.

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Cite This Article

Şenol, Z., Han, A., Gülcemal, T., *, Z. Ş. (2025). Time-varying causality between purchasing managers and economic outlook indices and Borsa Istanbul. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Sayı: 72, 241–250. https://doi.org/10.18070/erciyesiibd.1780893

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