DETERMINANTS OF TURKISH STOCK RETURNS UNDER THE IMPACT OF ECONOMIC POLICY UNCERTAINTY

Year 2019, Issue: 22, 147 - 162, 01.01.2019

Havva Nesrin Tiryaki , Ahmet Tiryaki

https://doi.org/10.18092/ulikidince.424369

Cited By: 7

Abstract

This paper aims to investigate the short-run and long-run macroeconomic
determinants of the Turkish stock returns under the impact of the “domestic and
global economic policy uncertainty” by using the ARDL method and the monthly
data for the period of 1991:M1 to 2017:M12. The set of macroeconomic variables
utilized in the study are the stock market price indexes of Turkey’s BIST100
index (BIST) and the BIST industrial index (IND), industrial production index
(IPI), real effective exchange rate (RER), consumer price index (CPI), interest
rate (R), Geopolitical risk index for Turkey (GPR) and the Economic Policy
Uncertainty index of the United States of America (EPU). The ARDL estimation
results reveal that in the short-run the BIST stock returns are positively
affected from the changes in IPI, RER and CPI. 
The effects of the changes in Turkish interest rate (R), EPU and the dummy
representing the impact of the 2008 Global Financial Crisis on the stock
returns are negative. The long-run determinants of the BIST stock returns are
the changes in IPI, RER, and CPI and the EPU. The effect of the changes in the
EPU on the stock returns is negative and the effect of the other variables are
positive. 

Keywords

Economic Policy Uncertainty, ARDL, Stock Returns, Economic Activity

DETERMINANTS OF TURKISH STOCK RETURNS UNDER THE IMPACT OF ECONOMIC POLICY UNCERTAINTY

Abstract

Bu makalenin amacı yerel ve global
ekonomik politika belirsizliği altında Türkiye’de hisse senedi getirilerinin belirleyicilerinin
hangi makroekonomik değişkenler olduğunu ARDL metodu ve 1991-2017 yılları arası
dönemde aylık veriler kullanarak belirlemektir. Çalışmada; bağımlı değişken olarak Borsa İstanbul’un BIST100
(BIST) ve Endüstri endeksleri (IND) ve bağımsız değişkenler olarak da Türkiye
imalat sanayi endeksi (IPI), reel döviz kuru (RER), tüketici fiyat endeksi
(CPI), faiz oranı (R), Türkiye’nin jeopolitik risk endeksi (GPR) ve ABD’nin
ekonomik politika belirsizliği (EPU) verilerinden yararlanılmıştır. ARDL tahmin
sonuçları, kısa dönemde BIST hisse senedi getirilerinin belirleyicilerinin  pozitif olarak IPI, RER ve CPI; negatif
olarak da  R, EPU ve 2008 global finansal
krizini temsil eden “kukla değişkeni” olduğunu ortaya koymaktadır. Uzun dönemde
ise IPI, RER ve CPI’daki değişmeler pozitif, EPU’daki değişmeler ise hisse
senedi getirilerine negatif etki etmektedir.

Keywords

Ekonomik Politika Belirsizliği, ARDL, Hisse Getirileri, Ekonomik Aktivite

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