THE IMPACT OF MACROECONOMIC VARIABLES ON STOCK RETURNS IN TURKEY: AN ARDL BOUNDS TESTING APPROACH

Year 2010, Volume: 12 Issue: 1, 111 - 122, 01.06.2010

Bilal Savasa . . Famil Samiloglub

Abstract

This paper aims to investigate both the long-run and short-run
relationships between stock returns and broad money supply,
industrial production, real effective exchange rates, long term
domestic interest rates, and foreign interest rates. Using the ARDL
approach to cointegration, we find evidence of long-run cointegrating
relationship between stock return and various macro variables. Results
of the parameter stability tests indicate that the structure of the
parameters has not diverged abnormally over the period of the
analysis.

Keywords

Stock market, cointegration, error-correction modelling, Turkey

THE IMPACT OF MACROECONOMIC VARIABLES ON STOCK RETURNS IN TURKEY: AN ARDL BOUNDS TESTING APPROACH

Abstract

Bu makalenin amacı hisse senedi getirileri ile geniş para arzı , endüstriyel üretim , reel efektif döviz kuru oranları,uzun dönem yerel faiz oranları ve yabancı faiz oranları arasındaki uzun ve kısa dönemli ilişkileri araştırmaktır. Eş bütünleşme için ARDL yönetimi kullanılmıştır. Birçok makro değişken ile hisse senedi getirileri arasında uzun dönemli eş bütünleşme kanıtı bulunmuştur.

Keywords

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