ANALYZING THE LONG-RUN RELATIONSHIPS BETWEEN THE BIST100 INDEX AND MACROECONOMIC INDICATORS: EMPIRICAL EVIDENCE FROM TÜRKİYE USING THE RALS COINTEGRATION METHOD

Abstract

This study examines the long-run effects of key macro-financial variables—exchange rate, money supply (M2), and the policy-related interest rate—on the Borsa İstanbul 100 Index (BIST100) using monthly data for 2005M1–2025M9. To account for non-normality frequently observed in financial series, the analysis applies the Residual Augmented Least Squares (RALS) cointegration framework and its enhanced Engle–Granger procedure. ADF and RALS-ADF results confirm that all variables are integrated of order one, and the RALS-EG test provides strong evidence of cointegration. Long-run coefficients are estimated using Dynamic OLS (DOLS) and Fully Modified OLS (FMOLS). The findings indicate that money supply and the policy interest rate exert positive and significant long-run effects on BIST100, while the exchange rate does not exhibit a meaningful long-run impact. Overall, the results suggest that Türkiye’s stock market dynamics are shaped primarily by domestic monetary conditions rather than persistent exchange-rate movements.

Keywords

• BIST100
• Exchange Rate
• Interest Rate
• Money Supply
• RALS Cointegration

References

1. Abdalla, I.S.A. and Murinde, V. (1997) "Exchange Rate and Stock Price Interactions in Emerging Financial Markets: Evidence on India, Korea, Pakistan and the Philippines", Applied Financial Economics, 7(1): 25–35.
2. Ali, M. (2018) "Inflation, Interest and Exchange Rate Effect of the Stock Market Prices", Journal of Business and Economic Options, 1(2): 38–43.
3. Alici, A. (2020) "Döviz Kuru, Faiz Oranı ile BIST100 ve BIST Ulaştırma Endeksi Arasındaki İlişkinin İncelenmesi: Toda–Yamamoto ve Hatemi-J Asimetrik Nedensellik Testi", Finans Ekonomi ve Sosyal Araştırmalar Dergisi, 5(2): 245–258.
4. Bakır, M. (2015) “Dış Ticaret Finansmanı”, İstanbul: Beta Yayınları.
5. Bahmani-Oskooee, M. and Sohrabian, A. (1992) "Stock Prices and the Effective Exchange Rate of the Dollar", Applied Economics, 24(4): 459–464.
6. Bülbül, D. and Demiral, M. (2016) "Türkiye’de Eximbank Kredileri ile Ekonomik Büyüme Arasındaki İlişki: Nedensellik Analizi", Sosyoekonomi, 24(29): 123–138.
7. Canöz, İ. and Yiğit, F. (2022) "Seçilmiş Makroekonomik Değişkenlerin BIST100 Endeksi Üzerindeki Asimetrik Etkileri", Yaşar Üniversitesi E-Dergisi, 17(65): 39–56.
8. Cengiz, M. (2018) "Döviz Kuru Rejimleri ve Makroekonomik Etkileri", Uluslararası Ekonomi ve Yenilik Dergisi, 4(1): 45–62.

9. Chen, N.F., Roll, R., and Ross, S.A. (1986) "Economic Forces and the Stock Market", Journal of Business, 59(3): 383–403.
10. Çelik, S. and Sizer, L. (2024) "The Effect of Exchange Rate and Interest Rates on BIST Service Index: Evidence from ARDL Bounds Test", Ekonomik ve Sosyal Araştırmalar Dergisi, 20(2): 427–443.
11. Düzakın, H. and Özekenci, S.Y. (2023) "Seçilmiş Makroekonomik Değişkenler ile BİST100 Arasındaki İlişkinin İncelenmesi", Çağ Üniversitesi Sosyal Bilimler Dergisi, 20(2): 78–87.
12. Engle, R.F. and Granger, C.W.J. (1987) "Co-integration and Error Correction: Representation, Estimation, and Testing", Econometrica, 55(2): 251–276.
13. Fama, E.F. (1981) "Stock Returns, Real Activity, Inflation, and Money", American Economic Review, 71(4): 545–565.
14. Fenkli, M., Uysal, D., and Alptekin, V. (2025) "Borsa İstanbul 100 Endeksi ile Döviz, Altın ve Faiz Oranları Arasındaki İlişkinin ARDL Yöntemiyle Araştırılması", Manisa Celal Bayar Üniversitesi Sosyal Bilimler Dergisi, 23(3): 340–364.
15. Hatemi, J. and Irandoust, M. (2002) "On the Causality Between Exchange Rates and Stock Prices: A Note", Journal of Applied Economics, 5(1): 105–112.
16. Humpe, A. and Macmillan, P. (2009) "Can Macroeconomic Variables Explain Long-Term Stock Market Movements? A Comparison of the US and Japan", Applied Financial Economics, 19(2): 111–119.
17. Ibukun, F.O., Ogundele, A.T., Effange, K.S., and Aruleba, S.O. (2021) "Money Supply, Exchange Rate and Stock Market Performance in Nigeria (1986–2020)", IOSR Journal of Humanities and Social Science, 26(10, Series 6): 15–22.
18. Im, K.S. and Schmidt, P. (2008) "More Efficient Estimation Under Non-Normality When Higher Moments Do Not Depend on the Regressors", Journal of Econometrics, 144(1): 219–233.
19. Im, K.S., Lee, J., and Tieslau, M. (2014) "More Powerful Unit Root Tests with Non-Normal Errors", içinde: Festschrift in Honor of Peter Schmidt, (eds.) Springer: 315–342.
20. Im, K.S., Lee, J., and Tieslau, M. (2017) "Panel LM Unit-Root Tests with Non-Normal Errors", The Econometrics Journal, 20(S1): S1–S22.
21. Kasman, S. (2003) "The Relationship Between Exchange Rates and Stock Prices: A Cointegration Analysis", İstanbul Üniversitesi İktisat Fakültesi Dergisi, 53(1): 1–10.
22. Karabıyık, C. (2022) "İhracatçı Firmalar için Hammadde Kredileri ve Finansman Olanakları", Dış Ticaret Dergisi, 6(2): 77–89.
23. Keskin, M. and Yücel, A. (2023) "Modeling the Relationship Between BIST100 Index and Central Bank Interest Decisions by the Quantitative Decision Method", International Academic Social Resources Journal, 8(46): 2105–2111.
24. Lee, J., Huang, C.J., and Shin, Y. (2015) "Testing for Unit Roots in the Presence of Non-Normal Errors", Economics Letters, 127: 39–43.
25. Modigliani, F. and Cohn, R.A. (1979) "Inflation, Rational Valuation, and the Market", Financial Analysts Journal, 35(2): 24–44.
26. Nordin, N., Nordin, S., and Ismail, R. (2014) "The Impact of Commodity Prices, Interest Rate and Exchange Rate on Stock Market Performance: An Empirical Analysis from Malaysia", Malaysian Management Journal, 18: 39–52.
27. Özdemir, S. and Veysel, Y. (2005) "İhracat Performansını Etkileyen Faktörler: Türkiye Üzerine Bir Değerlendirme", Anadolu Üniversitesi Sosyal Bilimler Dergisi, 5(2): 101–118.
28. Özmen, M., Karıllar, V., and Kıral, G. (2017) "BIST100 ile Döviz Kuru ve Faiz Oranları Arasındaki İlişkinin VECM Analizi", Finansal Araştırmalar ve Çalışmalar Dergisi, 9(17): 11–28.
29. Phylaktis, K. and Ravazzolo, F. (2005) "Stock Prices and Exchange Rate Dynamics", Journal of International Money and Finance, 24(7): 1031–1053.
30. Qing, Y.K. and Kusairi, S. (2019) "The Effect of Money Supply, Exchange Rate, and Interest Spread Toward the Performance of Stock Market in Malaysia", Widyakala Journal, 6(2): 142–149.
31. Rehan, R., Qureshi, M.A., and Khan, S. (2019) "Dynamic Relationship Between Exchange Rate and Stock Prices in South Asian Economies", Journal of Economic Studies, 46(6): 1233–1252.
32. Ross, S.A. (1976) "The Arbitrage Theory of Capital Asset Pricing", Journal of Economic Theory, 13(3): 341–360. Samırkaş, M.C. and Onay, H. (2024) "Faiz Oranı ve Borsa İstanbul Endeksleri Arasındaki İlişki", Turizm Ekonomi ve İşletme Araştırmaları Dergisi, 6(2): 168–179.
33. Sayım, M. and Zengin, H. (2012) "Dış Ticaret İşlemlerinin Finansmanı: Yöntemler ve Uygulamalar", Finans Politik & Ekonomik Yorumlar, 49(571): 55–68.
34. Soenen, L.A. and Hennigar, E.S. (1988) "An Analysis of Exchange-Rates and Stock Prices—The U.S. Experience Between 1980 and 1986", Akron Business and Economic Review, 19(4): 7–16.
35. Sözen, Ç., Şeyranlıoğlu, O., and İspiroğlu, F. (2024) "Causality Analysis Between BIST100, Investor Risk Appetite, Exchange Rate, Inflation and Interest Rate in Türkiye Economy", International Journal of Economics, Business and Politics, 8(1): 24–37.
36. Stock, J.H. and Watson, M.W. (1993) "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems", içinde: Econometrics of Time Series, Cilt 7: 61–90.
37. Subedi, K.R. (2025) "Impact of Money Supply and Interest Rate on Stock Market Performance: Evidence from the Nepalese Capital Market", Intelligence Journal of Multidisciplinary Research, 4(1): 1–18.
38. Tiryaki, A., Ceylan, R., and Erdoğan, L. (2019) "Asymmetric Effects of Industrial Production, Money Supply and Exchange Rate Changes on Stock Returns in Turkey", Applied Economics, 51(20): 2143–2154.
39. Uğur, A. (2021) "Reel Efektif Döviz Kuru ve Ekonomik Etkileri: Teorik Bir İnceleme", Uluslararası Ekonomik Araştırmalar Dergisi, 7(3): 41–58.
40. Ünal, S. (2021) "Makro Ekonomik Faktörler ile Borsa İstanbul Hisse Senedi Endeksleri Getirileri Arasındaki İlişki", Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 47: 359–376.
41. Wongbangpo, P. and Sharma, S.C. (2002) "Stock Market and Macroeconomic Fundamental Dynamic Interactions: ASEAN-5 Countries", Journal of Asian Economics, 13(1): 27–51.
42. Yeşildağ, E. (2021) "Altın, Faiz, İşsizlik, Para Arzı ile Borsa Arasındaki Eşbütünleşme İlişkisinin Araştırılması", Yönetim ve Ekonomi Araştırmaları Dergisi, 19(2): 130–148.
43. Yıldırım, S., Cavadova, R., Esen, E., and Temizel, F. (2021) "BIST100 Endeksinin Döviz Kuru Değişimleri ile Simetrik ve Asimetrik İlişkisi", Muhasebe ve Finansman Dergisi, 91: 120–140.
44. Yılmaz, Y. (2022) "The Relationship Between BIST100 Index Return and the Central Bank of the Republic of Turkey Interest Rate Decisions", Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, 10(1): 289–297.
45. Zaim, S. (2011) "Türk Bankacılık Sektöründe İhracat Finansmanının Rolü", Bankacılık ve Finans Dergisi, 12(1): 33–48.