What Determined Stock Returns in Turkey from 1990 to 2022: Evidence from Structural Break Regression

Yıl 2023, Cilt: 73 Sayı: 1, 185 - 202, 26.06.2023

Mercan Hatipoğlu

https://doi.org/10.26650/ISTJECON2022-1161840

Öz

This study reassesses the impact of key macroeconomic variables (industrial production, interest rate, inflation, money supply, trading volume, US dollar, oil, and gold prices) on Turkish stock from 1990:01 to 2022:01. The article uses a breakpoint regression model considering the possibility of a structural break in the relationship between stocks and economic variables over time. According to the model, the structural break date was determined to be May 2004. Before the structural break, only the interest rate, money supply, and trading volume statistically affected the stock market return. After May 2004, oil prices and the US dollar rate also started to have an impact on the Borsa Istanbul-100 index. The empirical results underline that the effect of economic factors on the stock market is not constant, and investors’ decisions are shaped around reforms that only affect economic policies in Turkiye.

Anahtar Kelimeler

Stock return, Macroeconomic variables, Structural break regression, Turkiye

Türkiye’de Hisse Senedi Getirilerini Ne Belirler: 1990 - 2022 Dönemi Yapısal Kırılmalı Regresyondan Kanıtlar

Öz

Bu çalışma, temel makroekonomik değişkenlerin (sanayi üretimi, faiz oranı, enflasyon, para arzı, ticaret hacmi, ABD doları, petrol ve altın fiyatları) 1990:01’den 2022:01’e kadar Türkiye borsası üzerindeki etkisini yeniden analiz etmektedir. Çalışma, hisse senedi getirileri ve ekonomik değişkenler arasındaki ilişkide, zaman içinde herhangi bir kırılma olasılığını göz önünde bulundurarak, yapısal kırılmalı regresyon modelini kullanmaktadır. Modele göre yapısal kırılma tarihi Mayıs 2004 olarak belirlenmiştir. Söz konusu tarihten önce sadece faiz oranı, para arzı ve işlem hacmi istatistiksel olarak borsa getirisini etkilerken, Mayıs 2004’ten sonra petrol fiyatları ve ABD doları kuru da Borsa İstanbul-100 endeksini etkilemeye başlamıştır. Ampirik sonuçlar, ekonomik faktörlerin hisse senedi piyasası üzerindeki etkisinin sabit olmadığını ve yatırımcıların kararlarının Türkiye’de sadece ekonomi politikalarını etkileyen reformlar etrafında şekillendiğini açıkça ortaya koymaktadır.

Anahtar Kelimeler

Hisse senedi getirisi, Makroekonomik değişkenler, Yapısal kırılma regresyonu, Türkiye

Kaynakça

• Adaramola, A. O. (2012). Oil price shocks and stock market behaviour: The Nigerian experience. Journal of Economics, 3(1), 19-24. google scholar
• Ajmi, A. N., El-Montasser, G., Hammoudeh, S., & Nguyen, D. K. (2014). Oil prices and MENA stock markets: New evidence from nonlinear and asymmetric causalities during and after the crisis period. Applied Economics, 46(18), 2167-2177. google scholar
• Akyurek, C., Kutan, A. M., & Yilmazkuday, H. (2011). Can inflation targeting regimes be effective in developing countries? The Turkish experience. Journal of Asian Economics, 22(5), 343-355. google scholar
• Alatiqi, S., & Fazel, S. (2008). Can money supply predict stock prices?. Journal for Economic Educators, 8(2), 54-59. google scholar
• Anari, A., & Kolari, J. (2001). Stock prices and inflation. Journal of Financial Research, 24(4), 587-602. google scholar
• Andrews, D. W., & Ploberger, W. (1994). Optimal tests when a nuisance parameter is present only under the alternative. Econometrica: Journal of the Econometric Society, 1383-1414. google scholar
• Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47-78. google scholar
• Bai, J., & Perron, P. (2003). Computation and analysis of multiple structural change models. Journal of Applied Econometrics, 18, 1-22. google scholar
• Barnes, M. L. (1999). Inflation and returns revisited: a TAR approach. Journal of Multinational Financial Management, 9(3-4), 233-245. google scholar
• Bhuiyan, E. M., & Chowdhury, M. (2020). Macroeconomic variables and stock market indices: Asymmetric dynamics in the US and Canada. The Quarterly Review of Economics and Finance, 77, 62-7. google scholar
• Bigpara.(2022).https://bigpara.hurriyet.com.tr/haberler/genel-haberler/imkb-deki-en-sert- d u su s-ve-ikislar_ID734853/ 02.06.2022 google scholar
• BIST.(2022).https://borsaIstanbul.com/en/sayfa/24/milestones-in-borsa-Istanbul- history google scholar
• Camilleri, S. J., Scicluna, N., & Bai, Y. (2019). Do stock markets lead or lag macroeconomic variables? Evidence from select European countries. The North American Journal of Economics and Finance, 48, 170-186 google scholar
• CBRT (2005). The Central Bank of the Republic of Türkiye’s annual report. Ankara: 2005 google scholar Chang, B. H., Bhutto, N. A., Turi, J. A., Hashmi, S. M., & Gohar, R. (2021). Macroeconomic variables and stock indices: An asymmetric evidence from quantile ARDL model. South Asian Journal of Business Studies, 10(2), 242-264. google scholar
• Chen, N. F., Roll, R., & Ross, S. A. (1986). “Economic forces and the stock market”. Journal of Business, 383-403. google scholar
• Chua, J. H., Sick, G., & Woodward, R. S. (1990). Diversifying with gold stocks. Financial Analysts Journal, 46(4), 76-79. Coşkun, Y., & Ümit, A. Ö. (2016). Türkiye’de Hisse Senedi ile Döviz, Mevduat, Altın, Konut Piyasaları Arasındaki Eşbütünleşme İlişkilerinin Analizi. Business & Economics Research Journal, 7(1). google scholar
• Davis, N., & Kutan, A. M. (2003). Inflation and output as predictors of stock returns and volatility: international evidence. Applied Financial Economics, 13(9), 693-700. google scholar
• Fedorova, E. A., & Pankratov, K. A. (2010). Influence of macroeconomic factors on the Russian stock market. Studies on Russian Economic Development, 21(2), 165-168. google scholar
• Gülseven, O., & Ekici, Ö. (2016). The Turkish appetite for gold: An Islamic explanation. Resources Policy, 48, 41-49. google scholar
• He, X., Gokmenoglu, K. K., Kirikkaleli, D., & Rizvi, S. K. A. (2021). Co-movement of foreign exchange rate returns and stock market returns in an emerging market: Evidence from the wavelet coherence approach. International Journal of Finance & Economics, (1), google scholar
• Hong, H., Bian, Z., & Lee, C. C. (2021). COVID-19 and instability of stock market p e r fo rm a n c e : evidence from the US. Financial Innovation, 7(1), 1-18. google scholar
• Hoque, M. E., Soo Wah, L., & Zaidi, M. A. S. (2019). Oil price shocks, global economic policy uncertainty, geopolitical risk, and stock price in Malaysia: Factor augmented VAR approach. Economic research-Ekonomska istrazivanja, 32(1), 3700-3732. google scholar
• Hsing, Y., & Hsieh, W. J. (2012). Impacts of macroeconomic variables on the stock market index in Poland: New evidence. Journal of Business Economics and Management, 13(2), 334-343. google scholar
• Hughen, J. C., & Beyer, S. (2015). Stock returns and the US dollar: the importance of monetary policy. Managerial Finance, 41(10), 1046-1058. google scholar
• Iyke, B. N., & Ho, S. Y. (2021). Exchange rate exposure in the South African stock market before and during the COVID-19 pandemic. Finance Research Letters, 43, 102000. google scholar
• Karpoff, J. M. (1987). The relation between price changes and trading volume: A survey. Journal of Financial and quantitative Analysis, 22(1), 109-126. google scholar
• Kassouri, Y., & Altıntaş, H. (2020). Threshold cointegration, nonlinearity, and frequency domain causality relationship between stock price and Turkish Lira. Research in International Business and Finance, 52, 101097. google scholar
• Kıran, B. (2010). Istanbul Menkul Kıymetler Borsası’nda işlem hacmi ve getiri volatilitesi. Doğuş Üniversitesi Dergisi, 11(1), 98-108. google scholar
• Lee, C. F., & Rui, O. M. (2000). Does trading volume contain information to predict stock returns? Evidence from China’s stock markets. Review of Quantitative Finance and Accounting, 14(4),341-360. google scholar
• Lobo, B. J. (2000). Asymmetric effects of interest rate changes on stock prices. Financial Review, 35(3), 125-144. https://doi.org/10.1111/j.1540-6288.2000.tb01424.x google scholar
• Mandacı, P. E., & Kırkpınar, A. (2021). Oil assets and portfolio diversification: Firm-level analysis for Borsa Istanbul. Borsa Istanbul Review. 22(3), 571-585. google scholar
• Marshall, D. A. (1992). Inflation and asset returns in a monetary economy. The Journal of Finance, 47(4), 1315-1342. https://doi.org/10.1111/j.1540-6261.1992.tb04660.x google scholar
• Melvin, M., & Sultan, J. (1990). South African political unrest, oil prices, and the time varying risk premium in the gold futures market. The Journal of Futures Markets, 10(2), 103. google scholar
• Mok, H. M. (1993). Causality of interest rate, exchange rate and stock prices at stock market open and close in Hong Kong. Asia Pacific Journal of Management, 10(2), 123-143. google scholar
• MSCI Barra. (2010). Is There a Link between GDP Growth and Equity Returns?. MSCI Barra Research Bulletin, New York google scholar
• Mutan, O. C., & Topcu, A. (2009). Türkiye Hisse Senedi Piyasasının 1990-2009 Tarihleri Arasında Yaşanan Beklenmedik Olaylara Tepkisi. Sermaye Piyasası Kurulu Araştırma Raporu, 1, 19. google scholar
• Nalın, H. T., & Güler, S. (2013). Istanbul Menkul Kıymetler Borsası’nda işlem hacmi ile getiri ilişkisi. Muhasebe ve Finansman Dergisi, (59), 135-148. google scholar
• Özatay, F. (1995). 1994 krizinden alınacak dersler: kamu iç borç yönetiminde yapılan yanlışlıklar ve güven bunalımı. Iktisat Isletme ve Finans, 10(109), 17-33. google scholar
• Palmer, M. (1970). Money supply, portfolio adjustments and stock prices. Financial Analysts Journal, 26(4), 19-22. google scholar
• Patra, T., & Poshakwale, S. (2006). Economic variables and stock market returns: evidence from the Athens stock exchange. Applied financial economics, 16(13), 993-1005. google scholar
• Polat, O. (2020). Time-varying propagations between oil market shocks and a stock market: Evidence from Turkey. Borsa Istanbul Review, 20(3), 236-243. google scholar
• Prest, B. C. (2018). Explanations for the 2014 oil price decline: Supply or demand?. Energy Economics, 74, 63-75. https://doi.org/10.1016/j.eneco.2018.05.029 google scholar
• Quayes, S., & Jamal, A. (2008). Does inflation affect stock prices?. Applied Economics Letters, 15(10), 767-769. google scholar
• Rjoub, H., Türsoy, T., & Günsel, N. (2009). The effects of macroeconomic factors on stock returns: Istanbul Stock Market. Studies in Economics and Finance. (26), 36-45. google scholar
• Roley, V. V., & Schall, L. D. (1988). “Federal deficits and the stock market”. Economic Review, 73(4), 17. google scholar
• Ross, S. (1976). “The arbitrage theory of capital asset pricing”. Journal of Economic Theory, 13(3), 341-360. google scholar
• Sahu, T. N., & Pandey, K. D. (2020). Money supply and equity price movements during the liberalized period in India. Global Business Review, 21(1), 108-123. google scholar
• Santos, A. S. D., Neto, A. R., de Araujo, E. C., De Oliveira, L., & Abrita, M. B. (2013). Interaction between macroeconomics variables and IBOVESPA, the Brazilian Stock Market’s Index. Transnational Corporations Review, 5(4), 81-95. google scholar
• Smith, G. (2002). London gold prices and stock price indices in Europe and Japan. World Gold Council, 9(2), 1-30. google scholar
• Tiryaki, A., Ceylan, R., & Erdoğan, L. (2019). Asymmetric effects of industrial production, money supply and exchange rate changes on stock returns in Turkey. Applied Economics, 51(20), 21432154. google scholar
• Tursoy, T., & Faisal, F. (2018). The impact of gold and crude oil prices on stock market in Turkey: Empirical evidences from ARDL bounds test and combined cointegration. Resources Policy, 55, 49-54. google scholar
• TÜSIAD. (2004). Türkiye Ekonomisi 2004. Istanbul google scholar
• Uddin, M. A., Hoque, M. E., & Ali, M. H. (2020). International economic policy uncertainty and stock market returns of Bangladesh: evidence from linear and nonlinear model. Quantitative Finance and Economics, 4(2), 236-251. google scholar
• Weideman, J., Inglesi-Lotz, R., & Van Heerden, J. (2017). Structural breaks in renewable energy in South Africa: A Bai & Perron break test application. Renewable and Sustainable Energy Reviews, 78, 945-954. google scholar
• Zhang, D., Farnoosh, A., & Lantz, F. (2022). Does something change in the oil market with the COVID-19 crisis?. International Economics. (169). 252-268. google scholar
• Zhu, H., Guo, Y., & You, W. (2015). An empirical research of crude oil price changes and stock market in China: evidence from the structural breaks and quantile regression. Applied Economics, 47(56), 6055-6074. google scholar
• Züngün, D. (2008). Güçlü ekonomiye geçiş programı sonrası türkiye-imf ilişkilerinin geleceği. Öneri Dergisi, 8(30), 229-242. google scholar