Türkiye'de hisse senedi fiyat balonları ve para politikası ilişkisi

Abstract

With stability programme which applied on December 1999, stock prices have shown floating characteristic and therefore volatility in the prices has been high in Turkish stock market. On this study, effects of monetary policy changes on stock prices have been examined during the period of 1996:01-2001:07 in Turkey. Methodology on this process has turn toward to determination of stock price bubbles.In order to test the relationship between monetary policy changes and stock price bubbles we applied the cointegration analysis which has been extensively used in the literature and than we discessed the results obtained. To draw this conclusion, definition and types of financial markets have been exposed. In this context, capital markets have been examined in detail and the importance of financial markets in developing countries has been discussed. After that, risk, return and efficient markets hypothesis, which are the basis for organizing an optimum portfolio in order for the maximum satisfaction of the investor, have been investigated. Two of the general equilibrium models, namely the Capital Asset Pricing Model and the Arbitrage Pricing Model, that explain the determination of asset prices considering the relationship between risk and return, have been analyzed. Finally we tried to explain positive and negative stock price bubbles with their existing reasons.