TY  - JOUR
T1  - DETERMINANTS OF TURKISH STOCK RETURNS UNDER THE IMPACT OF ECONOMIC POLICY UNCERTAINTY
TT  - DETERMINANTS OF TURKISH STOCK RETURNS UNDER THE IMPACT OF ECONOMIC POLICY UNCERTAINTY
AU  - Tiryaki, Ahmet
AU  - Tiryaki, Havva Nesrin
PY  - 2019
DA  - January
DO  - 10.18092/ulikidince.424369
JF  - Uluslararası İktisadi ve İdari İncelemeler Dergisi
JO  - IJEAS
PB  - Kenan ÇELİK
WT  - DergiPark
SN  - 1307-9832
SP  - 147
EP  - 162
IS  - 22
LA  - en
AB  - This paper aims to investigate the short-run and long-run macroeconomicdeterminants of the Turkish stock returns under the impact of the “domestic andglobal economic policy uncertainty” by using the ARDL method and the monthlydata for the period of 1991:M1 to 2017:M12. The set of macroeconomic variablesutilized in the study are the stock market price indexes of Turkey’s BIST100index (BIST) and the BIST industrial index (IND), industrial production index(IPI), real effective exchange rate (RER), consumer price index (CPI), interestrate (R), Geopolitical risk index for Turkey (GPR) and the Economic PolicyUncertainty index of the United States of America (EPU). The ARDL estimationresults reveal that in the short-run the BIST stock returns are positivelyaffected from the changes in IPI, RER and CPI.The effects of the changes in Turkish interest rate (R), EPU and the dummyrepresenting the impact of the 2008 Global Financial Crisis on the stockreturns are negative. The long-run determinants of the BIST stock returns arethe changes in IPI, RER, and CPI and the EPU. The effect of the changes in theEPU on the stock returns is negative and the effect of the other variables arepositive.
KW  - Economic Policy Uncertainty
KW  - ARDL
KW  - Stock Returns
KW  - Economic Activity
N2  - Bu makalenin amacı yerel ve globalekonomik politika belirsizliği altında Türkiye’de hisse senedi getirilerinin belirleyicilerininhangi makroekonomik değişkenler olduğunu ARDL metodu ve 1991-2017 yılları arasıdönemde aylık veriler kullanarak belirlemektir. Çalışmada; bağımlı değişken olarak Borsa İstanbul’un BIST100(BIST) ve Endüstri endeksleri (IND) ve bağımsız değişkenler olarak da Türkiyeimalat sanayi endeksi (IPI), reel döviz kuru (RER), tüketici fiyat endeksi(CPI), faiz oranı (R), Türkiye’nin jeopolitik risk endeksi (GPR) ve ABD’ninekonomik politika belirsizliği (EPU) verilerinden yararlanılmıştır. ARDL tahminsonuçları, kısa dönemde BIST hisse senedi getirilerinin belirleyicilerinin pozitif olarak IPI, RER ve CPI; negatifolarak da R, EPU ve 2008 global finansalkrizini temsil eden “kukla değişkeni” olduğunu ortaya koymaktadır. Uzun dönemdeise IPI, RER ve CPI’daki değişmeler pozitif, EPU’daki değişmeler ise hissesenedi getirilerine negatif etki etmektedir.
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UR  - https://doi.org/10.18092/ulikidince.424369
L1  - http://dergipark.org.tr/tr/download/article-file/591244
ER  -