What Determined Stock Returns in Turkey from 1990 to 2022: Evidence from Structural Break Regression

Abstract

This study reassesses the impact of key macroeconomic variables (industrial production, interest rate, inflation, money supply, trading volume, US dollar, oil, and gold prices) on Turkish stock from 1990:01 to 2022:01. The article uses a breakpoint regression model considering the possibility of a structural break in the relationship between stocks and economic variables over time. According to the model, the structural break date was determined to be May 2004. Before the structural break, only the interest rate, money supply, and trading volume statistically affected the stock market return. After May 2004, oil prices and the US dollar rate also started to have an impact on the Borsa Istanbul-100 index. The empirical results underline that the effect of economic factors on the stock market is not constant, and investors’ decisions are shaped around reforms that only affect economic policies in Turkiye.

Keywords

• Stock return
• Macroeconomic variables
• Structural break regression
• Turkiye

Türkiye’de Hisse Senedi Getirilerini Ne Belirler: 1990 - 2022 Dönemi Yapısal Kırılmalı Regresyondan Kanıtlar

Abstract

Bu çalışma, temel makroekonomik değişkenlerin (sanayi üretimi, faiz oranı, enflasyon, para arzı, ticaret hacmi, ABD doları, petrol ve altın fiyatları) 1990:01’den 2022:01’e kadar Türkiye borsası üzerindeki etkisini yeniden analiz etmektedir. Çalışma, hisse senedi getirileri ve ekonomik değişkenler arasındaki ilişkide, zaman içinde herhangi bir kırılma olasılığını göz önünde bulundurarak, yapısal kırılmalı regresyon modelini kullanmaktadır. Modele göre yapısal kırılma tarihi Mayıs 2004 olarak belirlenmiştir. Söz konusu tarihten önce sadece faiz oranı, para arzı ve işlem hacmi istatistiksel olarak borsa getirisini etkilerken, Mayıs 2004’ten sonra petrol fiyatları ve ABD doları kuru da Borsa İstanbul-100 endeksini etkilemeye başlamıştır. Ampirik sonuçlar, ekonomik faktörlerin hisse senedi piyasası üzerindeki etkisinin sabit olmadığını ve yatırımcıların kararlarının Türkiye’de sadece ekonomi politikalarını etkileyen reformlar etrafında şekillendiğini açıkça ortaya koymaktadır.

Keywords

• Hisse senedi getirisi
• Makroekonomik değişkenler
• Yapısal kırılma regresyonu
• Türkiye

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