Research Article
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Year 2020, , 3004 - 3018, 30.09.2020
https://doi.org/10.15869/itobiad.735746

Abstract

References

  • Devia, V. S. (2019). The Correlation of Exchange Rate and Inflation and Its Effect on Stock Markets. Case Study on Consumer Good Index Indonesia: 2004 – 2017. Academic Journal of Economic Studies, 32-44.
  • Al-Khazali, O. M. (2003). Stock Prices, Inflation, and Output: Evidence from the Emerging Markets. Journal of Emerging Markets Finance.
  • Al-Shami, H. A., & Ibrahim, Y. (2013). The Effects of Macro-economic Indicators on Stock Returns: Evidence from Kuwait Stock Market. American Journal of Economics, 57-66.
  • Bai, Z. (2014). Study on the Impact of Inflation on the Stock Market in China. International Journal of Business and Social Science, 261-270.
  • Belen, M., & Gümrah, Ü. (2016). The Stock Market’s Reaction to the Surprises in Inflation. İNSAN VE TOPLUM BİLİMLERİ ARAŞTIRMALARI DERGİSİ, 428-441.
  • Boudoukh, J., & Richardson, M. (1993). Stock Returns and Inflation: A Long-Horizon Perspective. American Economic Association, 1346-1355.
  • Chen, S. S. (2009). Predicting the bear stock market: Macroeconomic variables as leading indicators. Journal of Banking and Finance, 211-223.
  • Cochran, S. J., & Defina , R. H. (2006). Inflation's negative effects on real stock prices: new evidence and a test of the proxy effect hypothesis. Journal Applied Economics, 263-274.
  • Dickey, D. A., & Fuller, W. A. (1979). Distribution of the Estimators for Autoregressive Time Series With a Unit Root. Journal of the American Statistical Association, 427-431.
  • Eita, J. H. (2012). Modelling Macroeconomic Determinants Of Stock Market Prices: Evidence From Namibia. The Journal of Applied Business Research , 871-883.
  • Erdem, C., Arslan, C. K., & Erdem, M. S. (2005). Effects of macroeconomic variables on Istanbul stock exchange indexes. Applied Financial Economics, 987-994.
  • Eyüboğlu, S., & Eyüboğlu, K. (2018). Examining the Relationship between Inflation Rate and Borsa. Anadolu University Journal of Social Sciences, 89-99.
  • Fama, E. F. (1981). Stock Returns, Real Activity, Inflation, and Money. The American Economic Review, 545-565.
  • Fama, E. F. (1982). Inflation, Output, and Money. The Journal of Business, 201-231.
  • Geetha, C., Mohidin, R., Chandran , V. V., & Chong , V. (2011). THE RELATIONSHIP BETWEEN INFLATION AND STOCK MARKET: EVIDENCE FROM MALAYSIA, UNITED STATES AND CHINA. International Journal of Economics and Management Sciences, 01-16.
  • Granger, C. W. (1987). Co-Integration and Error Correction: Representation, Estimation, and Testing. The Econometric Society, 251-276.
  • Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 231-254.
  • Kalyanaraman, L., & Al Tuwajri, B. (2014). Macroeconomic Forces and Stock Prices: Some Empirical Evidence from Saudi Arabia. International Journal of Financial Research, 81-90.
  • Karacaer, S., & Kapusuzoglu, A. (2010). Investigating Causal Relations among Stock Market and Macroeconomic Variables: Evidence from Turkey. International Journal of Economic Perspectives, 501-507.
  • Koyuncu, T. (2018). RELATİON OF BİST-100 INDEX TO MACROECONOMİC VARİABLES: AN EMPİRİCAL STUDY. İktisat Bölümü, Sosyal Bilimler Enstitüsü, Nevşehir Hacı Bektaş Veli Üniversitesi, 615-624.
  • Kwofie, C., & Ansah, R. K. (2018). A Study of the Effect of Inflation and Exchange Rate on Stock Market Returns in Ghana. International Journal of Mathematics and Mathematical Sciences, 2-8.
  • Muradoglu, G., Taskin, F., & Bigan, I. (2000). Causality between Stock Returns and Macroeconomic Variables in Emerging Markets. Russian & East European Finance and Trade, 33-53.
  • Otieno, D. A., Ngugi, R. W., & Muri, P. W. (2018). The impact of inflation rate on stock market returns: evidence from Kenya. Springer Science+Business Medi CROSSMARK, 74-88.
  • Sathyanarayana, S., & Gargesa, S. (2018). An Analytical Study of the Effect of Inflation on Stock Market Returns . IRA-International Journal of Management & Social Sciences , 48-64.
  • Sevinç, E. (2014). Determination of the impact of macroeconomic variables on stock returns traded on bist-30 by using arbitrage pricing theory. Istanbul University Journal of the School of Business, 271-292.
  • Sims, C. (1980). Macroeconomics and Reality. Econpapers, 1-48.
  • Thaker, M. M., Rohilina, W., Hassama, A., & Amin, M. (2009). EFFECTS OF MACROECONOMIC VARIABLES ON STOCK PRICES IN MALAYSIA: AN APPROACH OF ERROR CORRECTION MODEL. International Islamic University Malaysia (IIUM), 20-31.
  • Türsoy , T., Günsel , N., & Rjoub, H. (2008). Macroeconomic Factors, the APT and the Istanbul Stock Market. International Research Journal of Finance and Economics , 50-57.
  • Upadhyaya, K. P., Nag, R., & Mixon, F. G. (2018). Stock Market Prices and the Macroeconomics of Emerging Economies: the Case of India. D Y N A M I C E C O N O M E T R I C M O D E L S, 35-47.
  • William, S. G., & Eugene, F. F. (1977). Asset returns and inflation. Journal of Financial Economics , 115-146.
  • Yilmaz Kandir, S. (2008). Macroeconomic Variables, Firm Characteristics and Stock Returns: Evidence from Turkey. International Research Journal of Finance and Economics , 1450-2887 .

Enflasyonun Borsa Endekslerı Üzerindeki Etkileri: BİST 100 Endeksinden kanıt

Year 2020, , 3004 - 3018, 30.09.2020
https://doi.org/10.15869/itobiad.735746

Abstract

Doğası gereği borsalar birçok faktörden etkilenebilir. Faktörler birbirinden farklıdır ve her birinin kendine özgü etkileri vardır. Bu durum, her olayda farklı tepkilere yol açacağı şeklinde açıklanabilir. Genellikle doğal nedenler, siyasi konular veya ekonomik nedenler olarak kabul edilmektedir. Makroekonomik değişkenlerden biri olan enflasyon, birçok araştırmacının ve politika yapıcının incelediği ve borsalar üzerindeki etkilerini belirlediği faktörlerden biridir. Enflasyon, borsa endekslerini ve piyasadaki yatırımcıları doğrudan etkileyebilir. Birçok yatırımcı enflasyonun yaşandığı dönemlerde karar vermede rasyonelliklerini kaybedebilir. Çünkü piyasada belirsizliğe neden olmaktadır. Enflasyon diğer bir ifadeyle satın alma gücündeki azalma olarak tanımlanabilir. Satın alma gücü azaldıkça yatırımcı kararlarında olumsuzluklar görülebilmektedir. Bu bağlamda çalışmanın amacı enflasyon oranının BİST-100 endeksine etkilerini incelemek ve söz konusu iki değişken arasında herhangi bir ilişki olup olmadığını araştırmaktır. Bu amaç ile BİST-100 endeksi ve Tüketici Fiyat Endeksi (TÜFE) esas olarak baz alınmıştır. Çalışmada VAR modeli ve Granger Nedensellik testleri kullanılmıştır. Veri seti olarak 2009 yılının Ocak ayından 2020 yılının Mart ayına kadar aylık veriler kullanılmıştır. Yapılan analiz sonucunda elde edilen bulgulara göre Enflasyon oranı ile BİST-100 arasında tek yönlü nedensellik ilişkisi tespit edilmiştir. Etki-tepki fonksiyonlarının anlamsız olduğu gözlemlenmiştir. Her iki veride meydana gelen değişimlerin çoğunluğunu kendi dinamikleri oluşturmaktadır.

References

  • Devia, V. S. (2019). The Correlation of Exchange Rate and Inflation and Its Effect on Stock Markets. Case Study on Consumer Good Index Indonesia: 2004 – 2017. Academic Journal of Economic Studies, 32-44.
  • Al-Khazali, O. M. (2003). Stock Prices, Inflation, and Output: Evidence from the Emerging Markets. Journal of Emerging Markets Finance.
  • Al-Shami, H. A., & Ibrahim, Y. (2013). The Effects of Macro-economic Indicators on Stock Returns: Evidence from Kuwait Stock Market. American Journal of Economics, 57-66.
  • Bai, Z. (2014). Study on the Impact of Inflation on the Stock Market in China. International Journal of Business and Social Science, 261-270.
  • Belen, M., & Gümrah, Ü. (2016). The Stock Market’s Reaction to the Surprises in Inflation. İNSAN VE TOPLUM BİLİMLERİ ARAŞTIRMALARI DERGİSİ, 428-441.
  • Boudoukh, J., & Richardson, M. (1993). Stock Returns and Inflation: A Long-Horizon Perspective. American Economic Association, 1346-1355.
  • Chen, S. S. (2009). Predicting the bear stock market: Macroeconomic variables as leading indicators. Journal of Banking and Finance, 211-223.
  • Cochran, S. J., & Defina , R. H. (2006). Inflation's negative effects on real stock prices: new evidence and a test of the proxy effect hypothesis. Journal Applied Economics, 263-274.
  • Dickey, D. A., & Fuller, W. A. (1979). Distribution of the Estimators for Autoregressive Time Series With a Unit Root. Journal of the American Statistical Association, 427-431.
  • Eita, J. H. (2012). Modelling Macroeconomic Determinants Of Stock Market Prices: Evidence From Namibia. The Journal of Applied Business Research , 871-883.
  • Erdem, C., Arslan, C. K., & Erdem, M. S. (2005). Effects of macroeconomic variables on Istanbul stock exchange indexes. Applied Financial Economics, 987-994.
  • Eyüboğlu, S., & Eyüboğlu, K. (2018). Examining the Relationship between Inflation Rate and Borsa. Anadolu University Journal of Social Sciences, 89-99.
  • Fama, E. F. (1981). Stock Returns, Real Activity, Inflation, and Money. The American Economic Review, 545-565.
  • Fama, E. F. (1982). Inflation, Output, and Money. The Journal of Business, 201-231.
  • Geetha, C., Mohidin, R., Chandran , V. V., & Chong , V. (2011). THE RELATIONSHIP BETWEEN INFLATION AND STOCK MARKET: EVIDENCE FROM MALAYSIA, UNITED STATES AND CHINA. International Journal of Economics and Management Sciences, 01-16.
  • Granger, C. W. (1987). Co-Integration and Error Correction: Representation, Estimation, and Testing. The Econometric Society, 251-276.
  • Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 231-254.
  • Kalyanaraman, L., & Al Tuwajri, B. (2014). Macroeconomic Forces and Stock Prices: Some Empirical Evidence from Saudi Arabia. International Journal of Financial Research, 81-90.
  • Karacaer, S., & Kapusuzoglu, A. (2010). Investigating Causal Relations among Stock Market and Macroeconomic Variables: Evidence from Turkey. International Journal of Economic Perspectives, 501-507.
  • Koyuncu, T. (2018). RELATİON OF BİST-100 INDEX TO MACROECONOMİC VARİABLES: AN EMPİRİCAL STUDY. İktisat Bölümü, Sosyal Bilimler Enstitüsü, Nevşehir Hacı Bektaş Veli Üniversitesi, 615-624.
  • Kwofie, C., & Ansah, R. K. (2018). A Study of the Effect of Inflation and Exchange Rate on Stock Market Returns in Ghana. International Journal of Mathematics and Mathematical Sciences, 2-8.
  • Muradoglu, G., Taskin, F., & Bigan, I. (2000). Causality between Stock Returns and Macroeconomic Variables in Emerging Markets. Russian & East European Finance and Trade, 33-53.
  • Otieno, D. A., Ngugi, R. W., & Muri, P. W. (2018). The impact of inflation rate on stock market returns: evidence from Kenya. Springer Science+Business Medi CROSSMARK, 74-88.
  • Sathyanarayana, S., & Gargesa, S. (2018). An Analytical Study of the Effect of Inflation on Stock Market Returns . IRA-International Journal of Management & Social Sciences , 48-64.
  • Sevinç, E. (2014). Determination of the impact of macroeconomic variables on stock returns traded on bist-30 by using arbitrage pricing theory. Istanbul University Journal of the School of Business, 271-292.
  • Sims, C. (1980). Macroeconomics and Reality. Econpapers, 1-48.
  • Thaker, M. M., Rohilina, W., Hassama, A., & Amin, M. (2009). EFFECTS OF MACROECONOMIC VARIABLES ON STOCK PRICES IN MALAYSIA: AN APPROACH OF ERROR CORRECTION MODEL. International Islamic University Malaysia (IIUM), 20-31.
  • Türsoy , T., Günsel , N., & Rjoub, H. (2008). Macroeconomic Factors, the APT and the Istanbul Stock Market. International Research Journal of Finance and Economics , 50-57.
  • Upadhyaya, K. P., Nag, R., & Mixon, F. G. (2018). Stock Market Prices and the Macroeconomics of Emerging Economies: the Case of India. D Y N A M I C E C O N O M E T R I C M O D E L S, 35-47.
  • William, S. G., & Eugene, F. F. (1977). Asset returns and inflation. Journal of Financial Economics , 115-146.
  • Yilmaz Kandir, S. (2008). Macroeconomic Variables, Firm Characteristics and Stock Returns: Evidence from Turkey. International Research Journal of Finance and Economics , 1450-2887 .

The Impact of Inflation on Stock Market Indices: Evidence from BIST 100 Index

Year 2020, , 3004 - 3018, 30.09.2020
https://doi.org/10.15869/itobiad.735746

Abstract

Due to its nature the stock markets can be affected by many factors. The factors are different from each other and every single one of them has its own effects. Moreover, they are different from one situation to another, but generally they are considered to be natural reasons, political issues or economical reasons. Inflation as one of the macroeconomic variables is one of the factors that many researchers and policymakers have studied and determined its impacts on stock markets. Because it can directly impact the stock market indices and the investors in the market. Many investors may lose their rationality in decision making when inflation happens. Furthermore, it causes uncertainty in the market. In that context, this paper aims to investigate the impacts of inflation rate on stock market indices in Turkey. For that purpose, we throwed light on the BIST-100 index as a representative for stock indices traded in ISE and CPI index is representing inflation rate in the same country. The study is depending on monthly published data by central bank of Turkey from which starts from January 2009 and ends with March 2020. The VAR model and Granger Causality test is applied to analyze the collected data. According to the results, it is found that there is only a one-way causality relationship between inflation and BIST-100. On the other hand, the results of impulse responses provided no meaning for relationship between the variables. Furthermore, according to variance decomposition both of the variables were contained dynamics with themselves.

References

  • Devia, V. S. (2019). The Correlation of Exchange Rate and Inflation and Its Effect on Stock Markets. Case Study on Consumer Good Index Indonesia: 2004 – 2017. Academic Journal of Economic Studies, 32-44.
  • Al-Khazali, O. M. (2003). Stock Prices, Inflation, and Output: Evidence from the Emerging Markets. Journal of Emerging Markets Finance.
  • Al-Shami, H. A., & Ibrahim, Y. (2013). The Effects of Macro-economic Indicators on Stock Returns: Evidence from Kuwait Stock Market. American Journal of Economics, 57-66.
  • Bai, Z. (2014). Study on the Impact of Inflation on the Stock Market in China. International Journal of Business and Social Science, 261-270.
  • Belen, M., & Gümrah, Ü. (2016). The Stock Market’s Reaction to the Surprises in Inflation. İNSAN VE TOPLUM BİLİMLERİ ARAŞTIRMALARI DERGİSİ, 428-441.
  • Boudoukh, J., & Richardson, M. (1993). Stock Returns and Inflation: A Long-Horizon Perspective. American Economic Association, 1346-1355.
  • Chen, S. S. (2009). Predicting the bear stock market: Macroeconomic variables as leading indicators. Journal of Banking and Finance, 211-223.
  • Cochran, S. J., & Defina , R. H. (2006). Inflation's negative effects on real stock prices: new evidence and a test of the proxy effect hypothesis. Journal Applied Economics, 263-274.
  • Dickey, D. A., & Fuller, W. A. (1979). Distribution of the Estimators for Autoregressive Time Series With a Unit Root. Journal of the American Statistical Association, 427-431.
  • Eita, J. H. (2012). Modelling Macroeconomic Determinants Of Stock Market Prices: Evidence From Namibia. The Journal of Applied Business Research , 871-883.
  • Erdem, C., Arslan, C. K., & Erdem, M. S. (2005). Effects of macroeconomic variables on Istanbul stock exchange indexes. Applied Financial Economics, 987-994.
  • Eyüboğlu, S., & Eyüboğlu, K. (2018). Examining the Relationship between Inflation Rate and Borsa. Anadolu University Journal of Social Sciences, 89-99.
  • Fama, E. F. (1981). Stock Returns, Real Activity, Inflation, and Money. The American Economic Review, 545-565.
  • Fama, E. F. (1982). Inflation, Output, and Money. The Journal of Business, 201-231.
  • Geetha, C., Mohidin, R., Chandran , V. V., & Chong , V. (2011). THE RELATIONSHIP BETWEEN INFLATION AND STOCK MARKET: EVIDENCE FROM MALAYSIA, UNITED STATES AND CHINA. International Journal of Economics and Management Sciences, 01-16.
  • Granger, C. W. (1987). Co-Integration and Error Correction: Representation, Estimation, and Testing. The Econometric Society, 251-276.
  • Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 231-254.
  • Kalyanaraman, L., & Al Tuwajri, B. (2014). Macroeconomic Forces and Stock Prices: Some Empirical Evidence from Saudi Arabia. International Journal of Financial Research, 81-90.
  • Karacaer, S., & Kapusuzoglu, A. (2010). Investigating Causal Relations among Stock Market and Macroeconomic Variables: Evidence from Turkey. International Journal of Economic Perspectives, 501-507.
  • Koyuncu, T. (2018). RELATİON OF BİST-100 INDEX TO MACROECONOMİC VARİABLES: AN EMPİRİCAL STUDY. İktisat Bölümü, Sosyal Bilimler Enstitüsü, Nevşehir Hacı Bektaş Veli Üniversitesi, 615-624.
  • Kwofie, C., & Ansah, R. K. (2018). A Study of the Effect of Inflation and Exchange Rate on Stock Market Returns in Ghana. International Journal of Mathematics and Mathematical Sciences, 2-8.
  • Muradoglu, G., Taskin, F., & Bigan, I. (2000). Causality between Stock Returns and Macroeconomic Variables in Emerging Markets. Russian & East European Finance and Trade, 33-53.
  • Otieno, D. A., Ngugi, R. W., & Muri, P. W. (2018). The impact of inflation rate on stock market returns: evidence from Kenya. Springer Science+Business Medi CROSSMARK, 74-88.
  • Sathyanarayana, S., & Gargesa, S. (2018). An Analytical Study of the Effect of Inflation on Stock Market Returns . IRA-International Journal of Management & Social Sciences , 48-64.
  • Sevinç, E. (2014). Determination of the impact of macroeconomic variables on stock returns traded on bist-30 by using arbitrage pricing theory. Istanbul University Journal of the School of Business, 271-292.
  • Sims, C. (1980). Macroeconomics and Reality. Econpapers, 1-48.
  • Thaker, M. M., Rohilina, W., Hassama, A., & Amin, M. (2009). EFFECTS OF MACROECONOMIC VARIABLES ON STOCK PRICES IN MALAYSIA: AN APPROACH OF ERROR CORRECTION MODEL. International Islamic University Malaysia (IIUM), 20-31.
  • Türsoy , T., Günsel , N., & Rjoub, H. (2008). Macroeconomic Factors, the APT and the Istanbul Stock Market. International Research Journal of Finance and Economics , 50-57.
  • Upadhyaya, K. P., Nag, R., & Mixon, F. G. (2018). Stock Market Prices and the Macroeconomics of Emerging Economies: the Case of India. D Y N A M I C E C O N O M E T R I C M O D E L S, 35-47.
  • William, S. G., & Eugene, F. F. (1977). Asset returns and inflation. Journal of Financial Economics , 115-146.
  • Yilmaz Kandir, S. (2008). Macroeconomic Variables, Firm Characteristics and Stock Returns: Evidence from Turkey. International Research Journal of Finance and Economics , 1450-2887 .
There are 31 citations in total.

Details

Primary Language English
Subjects Economics, Business Administration
Journal Section Articles
Authors

Mustafa Hamad Ameen 0000-0001-7797-5779

Fatih Temizel 0000-0002-7208-3293

Melik Kamışlı This is me 0000-0001-6419-2257

Publication Date September 30, 2020
Published in Issue Year 2020

Cite

APA Hamad Ameen, M., Temizel, F., & Kamışlı, M. (2020). The Impact of Inflation on Stock Market Indices: Evidence from BIST 100 Index. İnsan Ve Toplum Bilimleri Araştırmaları Dergisi, 9(3), 3004-3018. https://doi.org/10.15869/itobiad.735746
İnsan ve Toplum Bilimleri Araştırmaları Dergisi  Creative Commons Atıf-GayriTicari 4.0 Uluslararası Lisansı (CC BY NC) ile lisanslanmıştır.