The Effects of Macroeconomic Variables on the BIST 100 Index: ARDL and NARDL Approaches

Year 2024, Volume: 9 Issue: 1, 83 - 104, 30.06.2024

Mohammed Algoni , Mehmet Ivrendi

https://doi.org/10.30927/ijpf.1390392

Abstract

The objective of this research is to analyze the signal, magnitude, and significance of both symmetric and asymmetric effects of interest rate, taxes, exchange rate, oil price, and gold price on the Turkish stock market (BIST100). The autoregressive distributed lag (ARDL) technique was used in both linear and non-linear formats. The F-Bounds test of the linear ARDL test suggests that the variables do not exhibit long-term integration. Nevertheless, the F-bounds test of the nonlinear ARDL (NARDL) test confirms the presence of cointegration among the variables. Therefore, the research heavily relies on the NARDL model. The empirical evidence indicates the long-term influence of the exchange rates rate, gold price, and interest rate on the BIST100 index is asymmetric. Additionally, the asymmetrical effects of interest rates, taxes, exchange rates, oil prices, and gold prices in the short term have an impact on the BIST100.

Keywords

Interest rate, Oil price, Nonlinear ARDL, Stock price, Exchange rate

The Effects of Macroeconomic Variables on the BIST 100 Index: ARDL and NARDL Approaches

Abstract

The objective of this research is to analyse the signal, magnitude, and significance of both symmetric and asymmetric effects of interest rate, taxes, exchange rate, oil price, and gold price on the Turkish stock market (BIST100). The autoregressive distributed lag (ARDL) technique was used in both linear and non-linear formats. The F-Bounds test of the linear ARDL test suggests that the variables do not exhibit long-term integration. Nevertheless, the F-bounds test of the nonlinear ARDL (NARDL) test confirms the presence of cointegration among the variables. Therefore, the research heavily relies on the NARDL model. The empirical evidence indicates the long-term influence of the exchange rates rate, gold price, and interest rate on the BIST100 index is asymmetric. Additionally, the asymmetrical effects of interest rates, taxes, exchange rates, oil prices, and gold prices in the short term have an impact on the BIST100.

Keywords

Stock price, Interest rate, Exchange rate, Oil price, Nonlinear ARDL

Ethical Statement

Ethics Statement for "The Effects of Two Rates and Two Prices on the BIST100: ARDL and NARDL Approaches" Commitment to Ethical Research Practices: Our study adheres to the highest ethical standards in economic research, with a specific focus on financial markets. We have conducted our research with integrity, ensuring accuracy and honesty in every phase of our work. Data Integrity and Transparency: The data used in our analysis, particularly about the BIST100 index, interest rates, and price levels, have been collected, processed, and utilized with strict adherence to ethical standards. We ensure transparency in data sourcing, and all data sources are duly acknowledged. Our methodology, including the ARDL (Autoregressive Distributed Lag) and NARDL (Nonlinear Autoregressive Distributed Lag) approaches, is described in detail to facilitate reproducibility and scrutiny. Conflict of Interest Disclosure: The authors declare no financial or other conflicts of interest that could have influenced the outcomes of this study. This research is conducted objectively, and our findings are presented impartially, free from any bias or influence from external parties. Compliance with Ethical Guidelines: This research complies with the ethical guidelines and standards set forth by the "International Journal of Public Finance." We have adhered to all institutional and national guidelines pertinent to economic research in Turkey, particularly in financial market analysis. Ethical Considerations in Reporting: Our findings and conclusions are reported with the utmost responsibility and integrity. We have avoided misrepresentation or exaggeration of our research outcomes. The limitations of our study are transparently discussed, ensuring that our contributions to the field are presented with academic honesty. Responsibility Towards Stakeholders: Recognizing the potential impact of our research on stakeholders, including policymakers, investors, and academicians, we have conducted our study with a deep sense of responsibility. Our aim is to contribute constructively and accurately to the understanding of monetary policies' and gold and petrol prices effects on financial markets, particularly the BIST100 index.

Thanks

This Paper has been presented at The Sixth International Conference on Economics (EconAnadolu2022) held at Anadolu University, Eskişehir, Turkey, May 13-15, 2022. We want to thank the participants of the conference for their insightful suggestions.

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