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Journals / Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi / 2019 / Cilt: 10 - Sayı: 19

RELATIONSHIP BETWEEN INVESTMENT IN THE STOCK AND CONFIDENCE INDICES: BREAKING COINTEGRATION ANALYSIS ON DEVELOPED COUNTRIES

BORSADA YATIRIM VE GÜVEN ENDEKSLERİ İLİŞKİSİ: GELİŞMİŞ ÜLKELER ÜZERİNE KIRILMALI EŞBÜTÜNLEŞME ANALİZİ

MÜSLÜM POLAT
HALİM TATLI
Pages
1–21
DOI
—
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AI Summary & Key Takeaways

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

However, as in the previous test, it was found out that there is no cointegration relationship between confidence indices and the stock market.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:The purpose of this study is to demonstrate the relationship between the consumer confidence index and the business confidence index with the stock exchange.
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Key Findings & Data:Panel data analysis was used as a method in the study conducted by means of the monthly data of the period of January 2004 - June 2017 of the 18 developed countries.
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Conclusion & Impact:However, as in the previous test, it was found out that there is no cointegration relationship between confidence indices and the stock market.
🔬Design:Modeling & Simulation
📍Scope:2004 Verileri
⚙️Variables:Menkul kıymetler borsası · Güven endeksi · Eşbütünleşme analizi

Abstract

The purpose of this study is to demonstrate the relationship between the consumer confidence index and the business confidence index with the stock exchange. Panel data analysis was used as a method in the study conducted by means of the monthly data of the period of January 2004 - June 2017 of the 18 developed countries. One model was prepared for each indices and through these models; the cointegration relationship between confidence indices and the stock exchange was determined. First, the Durbin-Hausman panel cointegration test used in many studies was used and it was determined confirmed that neither index was cointegrated with the stock exchange. It was re-estimated through the Westerlund-Edgerton panel break-through cointegration test, which takes into account the structural breaks in the models, as the 2008 global crisis took place during the period of the study. However, as in the previous test, it was found out that there is no cointegration relationship between confidence indices and the stock market. Besides, it was determined that September 2008 generally became the break period for these countries.

Özet

Bu çalışmanın amacı, tüketici güven endeksi ile iş dünyası güven endeksinin menkul kıymetler borsasıyla ilişkisini ortaya koymaktır. Gelişmiş 18 ülkenin Ocak 2004- Haziran 2017 dönemine ait aylık verisiyle yapılan çalışmada, yöntem olarak panel veri analiz yöntemi kullanılmıştır. Her iki endeks için birer model hazırlanmış ve bu modellerle güven endeksleri ile menkul kıymetler borsası arasındaki eşbütünleşme ilişkisi incelenmiştir. Öncelikle birçok çalışmada kullanılan Durbin-Hausman panel eşbütünleşme testi kullanılmış ve iki endeksin de menkul kıymetler borsası ile eşbütünleşik olmadığı saptanmıştır. Çalışmanın yapıldığı dönemde 2008 küresel krizi meydana geldiğinden modellerdeki yapısal kırılmaları dikkate alan Westerlund-Edgerton panel kırılmalı eşbütünleşme testi ile yeniden tahminde bulunulmuştur. Ancak bir önceki testte olduğu gibi, güven endeksleri ile menkul kıymetler borsası arasında eşbütünleşme ilişkisinin olmadığı tespit edilmiştir. Bununla birlikte ülkeler için kırılma döneminin genel olarak Eylül 2008 olduğu belirlenmiştir.

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Cite This Article

POLAT, M., TATLI, H. (2019). RELATIONSHIP BETWEEN INVESTMENT IN THE STOCK AND CONFIDENCE INDICES: BREAKING COINTEGRATION ANALYSIS ON DEVELOPED COUNTRIES. Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt: 10 - Sayı: 19, 1–21. https://ajindex.com/articles/180536

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