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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

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.

References

  • Bilson, C. M., Brailsford, T. J. and Hooper, V. J., 2001, Selecting macroeconomic variables as explanatory factors of emerging stock market returns, Pacific-Basin Finance Journal, 9, pp. 401-426.
  • Brown, R.L., J. Durbin and J.M. Evans, 1975, Techniques for testing the constancy of regression relations over time, Journal of the Royal Statistical Society. Series B, Statistical Methodology, 37, pp. 149– 192.
  • Chen, N. F., 1991, Financial Investment Opportunities and the Macroeconomy, Journal of Finance, 46, pp. 529-554 . Chen, N. F., Roll, R. and Ross, S., 1986, Economics forces and the stock market, Journal of Business, 59 (3), pp. 383-403.
  • Claessens, S., Dasgupta, S. and Glen, J., 1993, Return behaviour in emerging stock markets, World Bank Economic Review, 9, pp. 131- 152.
  • Errunza, V., 1983, Emerging markets: a new opportunity for improving global portfolio performance, Financial Analysis Journal, 39, pp. 51-58.
  • Fama, E. F., 1981, Stock Returns, Real Activity, Inflation, and Money. The American Economic Review, 71 (4), pp. 545-565.
  • Geske, R. and Roll, R., 1983, The fiscal and monetary linkage between stock returns and inflation, Journal of Finance, 38, pp. 7-33.
  • Gjerde, Ø. and Sættem, F., 1999, Causal relations among stock returns and macroeconomic variables in a small, open economy, Journal of
  • International Financial Markets, Institutions & Money, 9, pp. 61-74. Goetzmann, W. N. and Jorion, P., 1999, Re-emerging markets, Journal of Financial and Quantitative Analysis, 34, pp. 1-32.

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

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.

References

  • Bilson, C. M., Brailsford, T. J. and Hooper, V. J., 2001, Selecting macroeconomic variables as explanatory factors of emerging stock market returns, Pacific-Basin Finance Journal, 9, pp. 401-426.
  • Brown, R.L., J. Durbin and J.M. Evans, 1975, Techniques for testing the constancy of regression relations over time, Journal of the Royal Statistical Society. Series B, Statistical Methodology, 37, pp. 149– 192.
  • Chen, N. F., 1991, Financial Investment Opportunities and the Macroeconomy, Journal of Finance, 46, pp. 529-554 . Chen, N. F., Roll, R. and Ross, S., 1986, Economics forces and the stock market, Journal of Business, 59 (3), pp. 383-403.
  • Claessens, S., Dasgupta, S. and Glen, J., 1993, Return behaviour in emerging stock markets, World Bank Economic Review, 9, pp. 131- 152.
  • Errunza, V., 1983, Emerging markets: a new opportunity for improving global portfolio performance, Financial Analysis Journal, 39, pp. 51-58.
  • Fama, E. F., 1981, Stock Returns, Real Activity, Inflation, and Money. The American Economic Review, 71 (4), pp. 545-565.
  • Geske, R. and Roll, R., 1983, The fiscal and monetary linkage between stock returns and inflation, Journal of Finance, 38, pp. 7-33.
  • Gjerde, Ø. and Sættem, F., 1999, Causal relations among stock returns and macroeconomic variables in a small, open economy, Journal of
  • International Financial Markets, Institutions & Money, 9, pp. 61-74. Goetzmann, W. N. and Jorion, P., 1999, Re-emerging markets, Journal of Financial and Quantitative Analysis, 34, pp. 1-32.
There are 9 citations in total.

Details

Primary Language English
Journal Section Research Articles
Authors

Bilal Savasa This is me

. . This is me

Famil Samiloglub This is me

Publication Date June 1, 2010
Submission Date September 8, 2015
Published in Issue Year 2010 Volume: 12 Issue: 1

Cite

APA Savasa, B., ., .., & Samiloglub, F. (2010). THE IMPACT OF MACROECONOMIC VARIABLES ON STOCK RETURNS IN TURKEY: AN ARDL BOUNDS TESTING APPROACH. Afyon Kocatepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 12(1), 111-122.

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