SavedAdd your journal

Journals / Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi / 2019 / Cilt: 7 - Sayı: 6

The Relationship Between İnternational Trade and Financial Markets in the Scope of Socionomics Approach: The Analysis of Cointegration and Causality

Sosyonomik Yaklaşım Kapsamında Uluslararası Ticaret ve Finansal Piyasalar Arasındaki İlişki: Eşbütünleşme ve Nedensellik Analizi

Ayberk ŞEKER
Pages
229–239
Publication Date
2022-10-11
DOI
—
🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.
DergiPark Record ↗
✨

AI Summary & Key Takeaways

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

Another unidirectional causality takes place between Turkish export and financial market of United Kingdom.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This study examines the relationship between Turkish export to USA, Germany, United Kingdom, France and financial marketswhich is an indicator of socionomics of these countriesexamined within the scope of socionomic approach.
📊
Key Findings & Data:Turkish export to USA, Germany, United Kingdom, France and returns of financial markets (Dow Jones, Dax, FTSE100, CAC40) of these countries are used as variables within the period of 1995-2018.
💡
Conclusion & Impact:Another unidirectional causality takes place between Turkish export and financial market of United Kingdom.
🔬Design:Research Article
📍Scope:2018 Verileri
⚙️Variables:Domain Parameters

Abstract

This study examines the relationship between Turkish export to USA, Germany, United Kingdom, France and financial marketswhich is an indicator of socionomics of these countriesexamined within the scope of socionomic approach. Turkish export to USA, Germany, United Kingdom, France and returns of financial markets (Dow Jones, Dax, FTSE100, CAC40) of these countries are used as variables within the period of 1995-2018. In this study, ARDL Bound Test show that there are co-integration relationships between series. The result of Granger causality analysis demonstrates that there is an unidirectional causality between series. These unidirectional causality occurs from financial markets of USA (Dow Jones) and Germany (Dax) to Turkis export. Another unidirectional causality takes place between Turkish export and financial market of United Kingdom.

Özet

Bu çalışma ile sosyonomik yaklaşım kapsamında Türkiye’nin ABD, Almanya, İngiltere veFransa’ya gerçekleştirdiği ihracat ile aynı ülkelerin ekonomik olarak sosyal ruh halleriningöstergesi olan finansal piyasaları arasındaki ilişki analiz edilmektedir. Çalışmada, 1996 ve 2018yılları arasındaki dönemi kapsayan aylık ihracat verileri ile aylık finansal piyasa getirilerikullanılmıştır. ARDL sınır testi sonucunda, Türkiye’nin ABD, Almanya, İngiltere ve Fransa’yagerçekleştirdiği ihracat ile bu ülkelerin finansal piyasaları arasında eşbütünleşme ilişkisi olduğugörülmüştür. Granger Nedensellik analizi sonucunda, ABD ve Almanya finansal piyasalarından(Dow Jones-Dax) Türkiye’nin ABD’ye ve Almanya’ya gerçekleştirdiği ihracata doğru veTürkiye’nin İngiltere’ye gerçekleştirdiği ihracattan İngiltere finansal piyasalarına (FTSE100)doğru tek yönlü bir nedensellik ilişkisi tespit edilmiştir.

🔖

Cite This Article

ŞEKER, A. (2022). The Relationship Between İnternational Trade and Financial Markets in the Scope of Socionomics Approach: The Analysis of Cointegration and Causality. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, Cilt: 7 - Sayı: 6, 229–239. https://ajindex.com/articles/440064

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (5)

  1. Atwater, P. (2013).Moods and Markets. New Jersey: FT Press.
  2. Can Kamber, S. (2018). Davranışsal İktisat Ve Rasyonellik Varsayımı: Literatür İncelemesi. Ekonomi ve Yönetim Araştırmaları Dergisi, 7(1), 168-198.
  3. Casti, J. L. (2010).Mood Matters. New York: Copernicus Books. Balkanlı, A. O. (2002). Küresel Ekonominin Belirleyici Faktörleri Üzerine.Uludağ Üniversitesi İİBF Dergisi,21(1), 13 – 26. Dickey, D. A. & Fuller, W. A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root.Econometrica,49, 1057 – 1063. Engle, R. F. & Granger, C. W. J. (1987). Co-Integration and Error Correction: Representation, Estimation and Testing.Econometrica, 55(1), 251-276.
  4. Fama, E. F. (1965). Random Walks in Stock Market Prices.Financial Analysts Journal, 21(5), 55 – 59. Fama, E. F. (1969). Efficient Capital Markets: A Review of Theory and Empirical Work.The Journal of Finance,25(2), 383 – 417. Galeotti, F. & Karakostas, A. (2010). The Promise of Behavioural Economics. Norwich Economic Papers, University of East Anglia, UK. Green, M. K. (2002). R.N. Elliott’s Fundamental Challenge to Mechanistic Social Models. Editör: Robert R. Prechter, In Market Analysis for the New Millennium, 9 – 19. Gujarati, D. N. (2004).Economics Basic Econometrics, Mcgraw Hill. He, F., Hu, Z.,Zhang, W.,Chai, L.,Cai, G.&Aoyagi, K. (2017). Construction and Evaluation of Two Computational Models for Predicting the Incidence of Infuenza in Nagasaki Prefecture, Japan.Scientific Reports,7(1), 1 – 9. Just, D. R. (2013).Introduction to Behavioral Economics, USA: Wiley. Kwiatkowski, D., Phillips, P.C.B., Schmidt, P.& Shin, Y.(1992). Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root.Journal of Econometrics, 54, 159 – 178. Mitroi, A. &Oproiu, A. (2014). Behavioral Finance: New Research Trends, Socionomics and Investor Emotions.Theoretical and Applied Economics, 21(4), 153 – 166. Nofsinger, J. R. (2005). Social Mood and Financial Economics.Journal of Behavioral Finance, 6(3), 144 – 160. Olson, K. R. (2006).A Literature Review of Social Mood.Journal of Behavioral Finance, 7(4), 193 – 203. Parker, W. D. &Prechter, R. R. (2005). Herding: An Interdisciplinary Integrative Review from a Socionomic Perspective.International Conference on Cognitive Economics, August 5-8,
  5. Sofia, Bulgaria. Parker, W. D. & Prechter, R. R. (2006). The Socionomic Theory of Finance and the Institution of Social Mood: Pareto and the Sociology of Instinct and Rationalization.Conference of th