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The analysis of the relationship between stock price index and the macroeconomic variables: Turkey example

Year 2017, , 1774 - 1786, 24.10.2017
https://doi.org/10.24289/ijsser.336971

Abstract

In this study, whether
there is a relationship between the stock prices in Turkey and the
macroeconomic variables for the period between 2000M1-2016M12 was analysed. For
the analysis, unit root and co-integration tests that take structural breaks
into account were used.  As a result of
the unit root test, all series were found to be I(1). As a result of the
co-integration test, it was determined that there is a long-term relationship
among the series. Finally, as a result of the FMOLS and DOLS tests, a positive
and significant relationship from M1,
consumer
prices index
, industrial production index towards stock
prices was found while the relationship from foreign currency towards stock
prices was found to be negative but still significant.

References

  • Adam, A.M., & Tweneboah, G. (2008). “Macroeconomic Factors & Stock Market Move-ment: Evidences from Ghana”, MPRA Paper112556, University library of Munich, Germany.
  • Altınbaş, H., Kutay, N., & Akkaya., G. C. (2015). «Makroekonomik Faktörlerin Hisse Senedi Piyasalari Üzerindeki Etkisi: Borsa İstanbul Üzerine Bir Uygulama. Ekonomi ve Yönetim Araştırmaları Dergisi 2015, 30-49.
  • Al-Sharkas, A. A. (2004). Dynamic Relations Between Macroeconomic Factors and Jor-danian Stock Market. International Journal of Applied Econometrics and Quantitative Studies, 1 (1), 97-114.
  • Asaolu, T. O.& Ogunmuyiwa, M.S. (2011). An Econometric Analysis of the Impact of Macroecomomic Variables on Stock Market Movement in Nigeria, Asian Journal of Business Management, 3 (1): 72-78.
  • Barbic, T., & Condic-Jurkic, I. (2011). Relationship Between Macroeconomic Fundamentals And Stock Market Indices In Selected Cee Countries. Ekonomski Pregled , 62(3-4), 113-133.
  • Enders, W. (1995), Applied Econometric Time Series, Iowa State University, John Wiley and Sons Inc.
  • Dizdarlar, H. I., & Derindere, S. (2008). Hisse Senedi Endeksini Etkileyen Faktörler:İmkb 100 Endeksini Etkileyen Makro Ekonomik Göstergeler Üzerine Bir Araştirma. Yönetim, 19(61), 113-124.
  • Fama, E. F. (1981). Stock returns, real activity, inflation and money. American Economic Review, 71 (4), 545–565.
  • Fung,H.C. Lee(1990) Stock market and economic activities :A causal analysis in S.G. Rhee and R.P. Chang(eds),Pacific-Basin capital markets, Elsevier Science publishers, North Holland.
  • Granger, C.W.J., Huang, B. and Yang, C. (2000), “A bivariate causality between stock prices and exchange rates: evidence from recent Asian flu”, Quarterly Review of Eco-nomics and Finance, Vol. 40 No. 3, pp. 337-54.
  • Gençtürk, M. (2009). Finansal Kıriz Dönemlerinde Makro ekonomik Faktörlerin Hisse Senedi Fiyatlarına Etkisi. Süleyman Demirel Üniversitesi İİBF Dergisi, 14(1), 127-136.
  • Göçer, İ. ve Hepkarşı, N. (2013) “İhracat-Büyüme İlişkisi: Yapısal Kırılmalı Bir Analiz” Siyaset, Ekonomi ve Yönetim Araştırmalar Dergisi, Yıl:1, Cilt:1, Sayı:4, 57-87
  • Gujarati, D.N (1999). Temel ekonometri, (Çev. Ü. ŞENESEN & G.G. ŞENESEN). İstan-bul, Literatür Yayınları.
  • Gregory, A. W. ve Hansen, B. E. (1996). Residual-Based Tests for Cointegration in Mod-els With Regime Shifts. Journal of Econometrics, 70(1): 99-126
  • Hatemi-J, A. (2012). Asymmetric causality tests with an application. Empirical Economics, 43(1), 447–456.
  • Hsing, Y. (2014). Impacts of Macroeconomic Factors on the Stock Market in Estonia. Journal of Economics and Development Studies, 2(2), 23-31.
  • Karan, M. B. (2001). Yatırım Analizi ve Portföy Yatırımı. Ankara: Gazi Kitabev
  • Kaur, H., Singh, J., & Gupta, N. (2016). Impact Of Macroeconomic Variables On Stock Market: A Review Of Literature. I J A B E R , 14(14), 167-196.
  • Kaya, V., Çömlekçi, İ., & Kara, O. (2013). Hisse Senedi Getirilerini Etkileyen Makroekonomik Değişkenler 2002-2012 Türkiye Örneği. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi (35), 167-175.
  • King. B. (1966).Market and industry factors in stock price behaviour. Journal of business, Uni-versity of Chicago Press. January Vol. 39. Page 139.
  • Maki, D. (2012), “Tests For Cointegration Allowing For an Unknown Number of Breaks”, Economic Modelling, 29(5), 2011-2015.
  • Maku, O.E. and Atanda, A.A. (2009), “ Does macroeconomic variables exert shock on the Nigerian Stock Exchange”, Munich Personal RePEc Archive, Paper No. 17917.
  • Maysami, R. C., Howe, L. C., & Hamzah, M. A. (2004). Relationship between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence from Stock Exchange of Singapore’s All-S Sector Indices. Jurnal Pengurusan (24), 44-77.
  • Mishkin, S. F. (1995). Symposium On The Monetary Transmission Mechanism,. Journal Of Economic Perspectives(9), 3-10.
  • Özer, A., Kaya, A., & Özer, N. (2011). Hisse Senedi Fiyatları Ile Makroekonomik Değişkenlerin Etkileşimi. Dokuz Eylül Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 26(1), 163-182.
  • Sardar, M.N. I., Watanapalachaikul, S., & Billington, N. (2004). A Time Series Analysis and Modelling of Thai Stock Market. Paper presented at UNITEN International Busi-ness Management Conference. Selangor: Universiti Tenaga Nasional.
  • Sieng, C. C., & Leng, G. K. (2003). Linkages Of Economic Activity, Stock Price And Monetary Policy: The Case Of Malaysia. Faculty Of Economics & Administration University Of Malaya. Http://Cmsad.Um.Edu.My/Images/Fep/Doc/2004%20pdf/Fea-Wp-2004-004.Pdf Adresinden Alındı
  • Zivot, E. & D. W. K. Andrews (1992), “Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis” Journal of Business and Economic Statistics, 10(3):251-270.
  • Zügül, M., & Şahin, C. (2009). İmkb 100 Endeksi İle Bazi Makroekonomik Değişkenler Arasindaki İlişkiyi İncelemeye Yönelik Bir Uygulama. Akademik Bakiş, 16(4), 1-16.

Hisse senedi fiyat endeksi ile makroekonomik değişkenler arasındaki ilişkinin analizi: Türkiye örneği

Year 2017, , 1774 - 1786, 24.10.2017
https://doi.org/10.24289/ijsser.336971

Abstract

Bu
çalışmada, 2000M1-2016M12 döneminde Türkiye’de hisse senedi fiyatı ile
makroekonomik değişkenler arasında ilişki olup olmadığı analiz edilmiştir.
Analiz için yapısal kırılmayı dikkate alan birim kök ve eş-bütünleşme testleri
kullanılmıştır. Birim kök testi sonucunda, bütün seriler I(1) olarak
bulunmuştur. Eş-bütünleşme testi sonucunda ise seriler arasında uzun dönemli
ilişki olduğu belirlenmiştir. Son olarak, FMOLS ve DOLS testleri sonucunda M1, tüketici
fiyatlari endeksi, sanayi üretim endeksinden hisse senedi fiyatlarına doğru
anlamlı ve pozitif ilişki, döviz kurundan hisse senedi fiyatlarına doğru ise
anlamlı ve negatif ilişki bulunmuştur. 

References

  • Adam, A.M., & Tweneboah, G. (2008). “Macroeconomic Factors & Stock Market Move-ment: Evidences from Ghana”, MPRA Paper112556, University library of Munich, Germany.
  • Altınbaş, H., Kutay, N., & Akkaya., G. C. (2015). «Makroekonomik Faktörlerin Hisse Senedi Piyasalari Üzerindeki Etkisi: Borsa İstanbul Üzerine Bir Uygulama. Ekonomi ve Yönetim Araştırmaları Dergisi 2015, 30-49.
  • Al-Sharkas, A. A. (2004). Dynamic Relations Between Macroeconomic Factors and Jor-danian Stock Market. International Journal of Applied Econometrics and Quantitative Studies, 1 (1), 97-114.
  • Asaolu, T. O.& Ogunmuyiwa, M.S. (2011). An Econometric Analysis of the Impact of Macroecomomic Variables on Stock Market Movement in Nigeria, Asian Journal of Business Management, 3 (1): 72-78.
  • Barbic, T., & Condic-Jurkic, I. (2011). Relationship Between Macroeconomic Fundamentals And Stock Market Indices In Selected Cee Countries. Ekonomski Pregled , 62(3-4), 113-133.
  • Enders, W. (1995), Applied Econometric Time Series, Iowa State University, John Wiley and Sons Inc.
  • Dizdarlar, H. I., & Derindere, S. (2008). Hisse Senedi Endeksini Etkileyen Faktörler:İmkb 100 Endeksini Etkileyen Makro Ekonomik Göstergeler Üzerine Bir Araştirma. Yönetim, 19(61), 113-124.
  • Fama, E. F. (1981). Stock returns, real activity, inflation and money. American Economic Review, 71 (4), 545–565.
  • Fung,H.C. Lee(1990) Stock market and economic activities :A causal analysis in S.G. Rhee and R.P. Chang(eds),Pacific-Basin capital markets, Elsevier Science publishers, North Holland.
  • Granger, C.W.J., Huang, B. and Yang, C. (2000), “A bivariate causality between stock prices and exchange rates: evidence from recent Asian flu”, Quarterly Review of Eco-nomics and Finance, Vol. 40 No. 3, pp. 337-54.
  • Gençtürk, M. (2009). Finansal Kıriz Dönemlerinde Makro ekonomik Faktörlerin Hisse Senedi Fiyatlarına Etkisi. Süleyman Demirel Üniversitesi İİBF Dergisi, 14(1), 127-136.
  • Göçer, İ. ve Hepkarşı, N. (2013) “İhracat-Büyüme İlişkisi: Yapısal Kırılmalı Bir Analiz” Siyaset, Ekonomi ve Yönetim Araştırmalar Dergisi, Yıl:1, Cilt:1, Sayı:4, 57-87
  • Gujarati, D.N (1999). Temel ekonometri, (Çev. Ü. ŞENESEN & G.G. ŞENESEN). İstan-bul, Literatür Yayınları.
  • Gregory, A. W. ve Hansen, B. E. (1996). Residual-Based Tests for Cointegration in Mod-els With Regime Shifts. Journal of Econometrics, 70(1): 99-126
  • Hatemi-J, A. (2012). Asymmetric causality tests with an application. Empirical Economics, 43(1), 447–456.
  • Hsing, Y. (2014). Impacts of Macroeconomic Factors on the Stock Market in Estonia. Journal of Economics and Development Studies, 2(2), 23-31.
  • Karan, M. B. (2001). Yatırım Analizi ve Portföy Yatırımı. Ankara: Gazi Kitabev
  • Kaur, H., Singh, J., & Gupta, N. (2016). Impact Of Macroeconomic Variables On Stock Market: A Review Of Literature. I J A B E R , 14(14), 167-196.
  • Kaya, V., Çömlekçi, İ., & Kara, O. (2013). Hisse Senedi Getirilerini Etkileyen Makroekonomik Değişkenler 2002-2012 Türkiye Örneği. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi (35), 167-175.
  • King. B. (1966).Market and industry factors in stock price behaviour. Journal of business, Uni-versity of Chicago Press. January Vol. 39. Page 139.
  • Maki, D. (2012), “Tests For Cointegration Allowing For an Unknown Number of Breaks”, Economic Modelling, 29(5), 2011-2015.
  • Maku, O.E. and Atanda, A.A. (2009), “ Does macroeconomic variables exert shock on the Nigerian Stock Exchange”, Munich Personal RePEc Archive, Paper No. 17917.
  • Maysami, R. C., Howe, L. C., & Hamzah, M. A. (2004). Relationship between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence from Stock Exchange of Singapore’s All-S Sector Indices. Jurnal Pengurusan (24), 44-77.
  • Mishkin, S. F. (1995). Symposium On The Monetary Transmission Mechanism,. Journal Of Economic Perspectives(9), 3-10.
  • Özer, A., Kaya, A., & Özer, N. (2011). Hisse Senedi Fiyatları Ile Makroekonomik Değişkenlerin Etkileşimi. Dokuz Eylül Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 26(1), 163-182.
  • Sardar, M.N. I., Watanapalachaikul, S., & Billington, N. (2004). A Time Series Analysis and Modelling of Thai Stock Market. Paper presented at UNITEN International Busi-ness Management Conference. Selangor: Universiti Tenaga Nasional.
  • Sieng, C. C., & Leng, G. K. (2003). Linkages Of Economic Activity, Stock Price And Monetary Policy: The Case Of Malaysia. Faculty Of Economics & Administration University Of Malaya. Http://Cmsad.Um.Edu.My/Images/Fep/Doc/2004%20pdf/Fea-Wp-2004-004.Pdf Adresinden Alındı
  • Zivot, E. & D. W. K. Andrews (1992), “Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis” Journal of Business and Economic Statistics, 10(3):251-270.
  • Zügül, M., & Şahin, C. (2009). İmkb 100 Endeksi İle Bazi Makroekonomik Değişkenler Arasindaki İlişkiyi İncelemeye Yönelik Bir Uygulama. Akademik Bakiş, 16(4), 1-16.
There are 29 citations in total.

Details

Journal Section Makaleler
Authors

Canan Sancar

Ahmet Uğur This is me

Yusuf Ekrem Akbaş This is me

Publication Date October 24, 2017
Published in Issue Year 2017

Cite

APA Sancar, C., Uğur, A., & Akbaş, Y. E. (2017). The analysis of the relationship between stock price index and the macroeconomic variables: Turkey example. International Journal of Social Sciences and Education Research, 3(5 S), 1774-1786. https://doi.org/10.24289/ijsser.336971
AMA Sancar C, Uğur A, Akbaş YE. The analysis of the relationship between stock price index and the macroeconomic variables: Turkey example. International Journal of Social Sciences and Education Research. October 2017;3(5 S):1774-1786. doi:10.24289/ijsser.336971
Chicago Sancar, Canan, Ahmet Uğur, and Yusuf Ekrem Akbaş. “The Analysis of the Relationship Between Stock Price Index and the Macroeconomic Variables: Turkey Example”. International Journal of Social Sciences and Education Research 3, no. 5 S (October 2017): 1774-86. https://doi.org/10.24289/ijsser.336971.
EndNote Sancar C, Uğur A, Akbaş YE (October 1, 2017) The analysis of the relationship between stock price index and the macroeconomic variables: Turkey example. International Journal of Social Sciences and Education Research 3 5 S 1774–1786.
IEEE C. Sancar, A. Uğur, and Y. E. Akbaş, “The analysis of the relationship between stock price index and the macroeconomic variables: Turkey example”, International Journal of Social Sciences and Education Research, vol. 3, no. 5 S, pp. 1774–1786, 2017, doi: 10.24289/ijsser.336971.
ISNAD Sancar, Canan et al. “The Analysis of the Relationship Between Stock Price Index and the Macroeconomic Variables: Turkey Example”. International Journal of Social Sciences and Education Research 3/5 S (October 2017), 1774-1786. https://doi.org/10.24289/ijsser.336971.
JAMA Sancar C, Uğur A, Akbaş YE. The analysis of the relationship between stock price index and the macroeconomic variables: Turkey example. International Journal of Social Sciences and Education Research. 2017;3:1774–1786.
MLA Sancar, Canan et al. “The Analysis of the Relationship Between Stock Price Index and the Macroeconomic Variables: Turkey Example”. International Journal of Social Sciences and Education Research, vol. 3, no. 5 S, 2017, pp. 1774-86, doi:10.24289/ijsser.336971.
Vancouver Sancar C, Uğur A, Akbaş YE. The analysis of the relationship between stock price index and the macroeconomic variables: Turkey example. International Journal of Social Sciences and Education Research. 2017;3(5 S):1774-86.

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