A Study on the Correlation Between the Growth Rate and Market Return in Türkiye

Öz

Within the scope of this study, the correlation between gross domestic product (GDP) growth rates and stock market returns in Türkiye was examined. For this purpose, GDP growth rates and BIST 100 index returns were analysed over the 2008–2020 period. The analysis employed Pearson correlation coefficients, Spearman correlation coefficients, and a vector autoregressive (VAR) model in order to explore the potential relationship between the two variables and to assess the extent to which they might influence each other. The empirical results indicate that there is no significant correlation between GDP growth rates and BIST 100 returns. Furthermore, changes in GDP growth rates do not appear to generate changes in the BIST 100 index returns. However, the Granger causality test provided evidence of a unidirectional relationship, demonstrating that fluctuations in BIST 100 returns have an effect on GDP growth rates. These findings highlight the asymmetric interaction between financial market performance and economic growth in Türkiye.

Anahtar Kelimeler

• GDP growth rate
• Market return
• VAR analysis
• Correlation

Kaynakça

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