THE CAUSAL RELATIONSHIP BETWEEN SELECTED MACROECONOMIC VARIABLES AND STOCK RETURNS IN TURKEY

Year 2017, Issue: 19, 299 - 326, 03.07.2017

Ahmet Tiryaki Levent Erdoğan Reşat Ceylan

https://doi.org/10.18092/ulikidince.309275

Cited By: 4

Abstract

This study investigates the causal relationship
between selected domestic and international macroeconomic variables and the
stock returns in Turkey by using ARDL methodology for the period of
2003:1-2016:12. By taking S&P500 and World Oil Price Index as exogenous
control variables, the study finds that the main determinants of Turkish stock
returns are the changes in industrial production index, consumer price index ,
current account to export ratio, real effective exchange rate, Standard &
Poor's 500 Index, World Oil Price Index and the interest difference between
Turkish Central Bank policy rate and the Federal Funds Rate of the USA in the
long-run. The signs of industrial production index , consumer price index,
current account to export ratio, real effective exchange rate, S&P500 and
World Oil Price Index are statistically significant and positive and the sign
of the interest difference between Turkish policy rate and the FFR is negative.
The test results also show that Turkish unemployment rate does not have any
effect on Turkish stock returns. 

Keywords

ARDL, Cointegration, Stock Returns, Economic Activity, BIST

THE CAUSAL RELATIONSHIP BETWEEN SELECTED MACROECONOMIC VARIABLES AND STOCK RETURNS IN TURKEY

Abstract

Bu çalışma aylık verilerden ve ARDL yaklaşımından
yararlanarak 2003 ile 2016 yılları arasında seçilmiş makroekonomik
değişkenlerle hisse senedi getirileri arasındaki nedensellik ilişkisini
araştırmaktadır. S&P500 ve dünya petrol fiyat endeksini dışsal kontrol
değişkenleri olarak kullanarak, bu çalışmanın ampirik test sonuçları uzun
dönemde hisse senedi getirilerinin temel belirleyicilerinin imalat sanayi
endeksi, tüketici fiyat endeksi, cari işlemler hesabının ihracata oranı, reel
efektif döviz kuru, TCMB politika faizi ile FFR farkından oluşan faiz oranları
farkı, S&P500 ve dünya petrol fiyat endeksi olduğunu ortaya koymaktadır.
Ampirik test sonuçları,  BIST hisse
senedi getirileri ile tüketici fiyat endeksi, cari işlemler hesabının ihracata
oranı, reel efektif döviz kuru, S&P500 ve dünya petrol fiyat endeksi
arasında istatistiksel olarak anlamlı ve pozitif, TCMB politika faizi ile FFR
farkından oluşan faiz oranları farkı arasında ise istatistiksel olarak anlamlı
ve negatif  bir ilişki olduğunu ortaya
koymaktadır. İşsizlik oranındaki değişmelerin hisse senedi getirilerine bir
etkisi yoktur.

Keywords

ARDL, Eşbütünleşme, Hisse Senedi Getirisi, Ekonomik Aktivite, BİST, Türkiye

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