Threshold Effects of Macroeconomic Factors on Stock Market Returns: A SETAR Model Analysis of the BIST 100 Index

Ferit Karahan

doi:10.33203/mfy.1845510

TR EN

Threshold Effects of Macroeconomic Factors on Stock Market Returns: A SETAR Model Analysis of the BIST 100 Index

Öz

The relationship and effects of key macroeconomic variables on stock markets are important research topic in the literature. This study examines the effects of macroeconomic variables such as interest rates, exchange rates, and economic growth on stocks listed on the Istanbul Stock Exchange period 2013-2025. The impact of selected macroeconomic variables on the BIST100 index was examined using the SETAR model within the framework of fundamental financial theories related to the study. The findings reveal that increases in interest rates and exchange rates negatively affect the returns of the BIST100 index, while increases in the industrial production index support index returns. Analyses conducted within the framework of two regimes show that during periods of low returns, interest rate and exchange rate shocks have negative strong effect, while during periods of high returns, increases in exchange rates can be priced positively. This assumption indicates, BIST has non-linear and regime-dependent dynamic structure.

Anahtar Kelimeler

Stock Returns, Macroeconomic Factors, SETAR

Kaynakça

Amato, L., & Lohre, H. (2020). Diversifying macroeconomic factors—For better or for worse. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3730154
Baz, J., Guo, H., Pedersen, N., Tsai, J., & Chen, Y. (2025). Does macro matter? Integrating macroeconomic insights into portfolio construction. The Journal of Portfolio Management, 51(6), 7–26. https://doi.org/10.3905/jpm.2025.1.692
Bernanke, B. S., & Gertler, M. (1995). Inside the black box: The credit channel of monetary policy transmission. Journal of Economic Perspectives, 9(4), 27–48. https://doi.org/10.1257/jep.9.4.27
Chauvet, M., & Jiang, C. (2023). Nonlinear relationship between monetary policy and stock returns: Evidence from the U.S. Global Finance Journal, 55, Article 100796. https://doi.org/10.1016/j.gfj.2022.100796
Chen, N.-F., Roll, R., & Ross, S. A. (1986). Economic forces and the stock market. The Journal of Business, 59(3), 383–403. https://doi.org/10.1086/296344
Chen, S.-S. (2012). Revisiting the relationship between stock prices and exchange rates: Evidence from threshold cointegration. Journal of Banking & Finance, 36(7), 2019–2033. https://doi.org/10.1016/j.jmacro.2015.07.004
Claessens, S., & Kose, M. A. (2017). Asset prices and macroeconomic outcomes: A survey. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2943540
Dornbusch, R., & Fischer, S. (1980). Exchange rates and the current account. American Economic Review, 70(5), 960–971.
Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383–417. https://doi.org/10.2307/2325486
Farago, A., & Tédongap, R. (2018). Downside risks and the cross-section of asset returns. Journal of Financial Economics, 129(1), 69–86. https://doi.org/10.1016/j.jfineco.2018.03.010

Frankel, J. A. (1992). Monetary and portfolio-balance models of exchange rate determination. In R. W. Jones & P. B. Kenen (Eds.), International economic policies and their theoretical foundations (pp. 793–832). Elsevier.
Granger, C. W. J., & Newbold, P. (1974). Spurious regressions in econometrics. Journal of Econometrics, 2, 111–120. https://doi.org/10.1016/0304-4076(74)90034-7
Gouveia, S., & Rodrigues, P. M. M. (2004). Threshold effects in stock returns: Evidence from the U.S. market. Economics Letters, 85(1), 1–7. https://doi.org/10.1016/j.econlet.2004.02.012
Gouveia, P., & Rodrigues, P. (2004). Threshold cointegration and the PPP hypothesis. Journal of Applied Statistics, 31(10), 115–127. https://doi.org/10.1080/0266476032000148984
Hansen, B. E. (1997). Inference in TAR models. Studies in Nonlinear Dynamics & Econometrics, 2(1), 1–14. https://doi.org/10.2202/1558-3708.1024
Harsanico, A. B., & Sugiyanto, F. X. (2024). Macroeconomic factors and asset portfolio theory in IDX30: Stock returns 2013–2020. Jurnal Ilmu Ekonomi dan Pembangunan, 23(1), 34–46. https://doi.org/10.20961/jiep.v23i1.57785
Kanas, A., & Kouretas, G. P. (2005). Regime dependence between the official and parallel foreign currency markets for US dollars in Greece. Journal of Money, Credit and Banking, 37(6), 1097–1110. https://doi.org/10.1016/j.jmacro.2005.11.003
Kocaman, B. E., & Ağaslan, E. (2025). Hisse senedi getirilerinde eşikli rejim değişimlerinin doğrusal olmayan analizi: SETAR modeli uygulaması. İstanbul Nişantaşı Üniversitesi Sosyal Bilimler Dergisi, 13(2), 721–734. https://doi.org/10.52122/nisantasisbd.1759397
Tobin, J. (1958). Liquidity preference as behavior towards risk. The Review of Economic Studies, 25(2), 65–86. https://doi.org/10.2307/2296205
Kumar, A. (2025). A study on brand management. International Journal of Scientific Research in Engineering and Management, 9(5), 1–9. https://doi.org/10.55041/IJSREM47358
Lago-Balsalobre, R., Rojo-Suárez, J., & Alonso-Conde, A. B. (2023). Cross-sectional implications of dynamic asset pricing with stochastic volatility and ambiguity aversion. The North American Journal of Economics and Finance, 66, 101909. https://doi.org/10.1016/j.najef.2023.101909
Li, T., & Chen, P. (2024). Asset allocation combining macro and micro information: Empirical test based on entropy pool model. Finance Research Letters, 64, 105470. https://doi.org/10.1016/j.frl.2024.105470
Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The Review of Economics and Statistics, 47(1), 13–37. https://doi.org/10.2307/1924119
Lone, U. M., Darzi, M. A., & Bhat, S. A. (2024). Macroeconomic state variables and stock market performance: A systematic review and future research agenda. FIIB Business Review, 13(2), 172–191. https://doi.org/10.1177/2319714521995622
Mandal, A., Poshakwale, S. S., & Power, G. J. (2021). Do investors gain from forecasting the asymmetric return co-movements of financial and real assets? International Journal of Finance & Economics, 26(3), 3246–3268. https://doi.org/10.1002/ijfe.1961
Mishkin, F. S. (1996). The channels of monetary transmission: Lessons for monetary policy. NBER Working Paper No. 5464. https://doi.org/10.3386/w5464
Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica, 34(4), 768–783. https://doi.org/10.2307/1910098
Pham, C. D., & Phuoc, L. T. (2020). An augmented capital asset pricing model using new macroeconomic determinants. Heliyon, 6(10), e05185. https://doi.org/10.1016/j.heliyon.2020.e05185
Poshakwale, S. S., & Mandal, A. (2016). What drives asymmetric dependence structure of asset return co-movements? International Review of Financial Analysis, 48, 312–330. https://doi.org/10.1016/j.irfa.2015.07.001
Salisu, A. A., Swaray, R., & Oloko, T. F. (2019). Improving the predictability of the oil–US stock nexus: The role of macroeconomic variables. Economic Modelling, 76, 153–171. https://doi.org/10.1016/j.econmod.2018.07.029
Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425–442. https://doi.org/10.2307/2977928
Stock, J. H., & Watson, M. W. (2001). Forecasting output and inflation: The role of asset prices. Journal of Economic Literature, 41(3), 788–829. https://doi.org/10.1257/002205103322436197
Tong, H. (1983). Threshold models in nonlinear time-series analysis. Springer. https://doi.org/10.1007/978-1-4684-7888-4
Amato, L., & Lohre, H. (2020). Diversifying Macroeconomic Factors—For Better or for Worse. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3730154
Baz, J., Guo, H., Pedersen, N., Tsai, J., & Chen, Y. (2025). Does Macro Matter? Integrating Macroeconomic Insights into Portfolio Construction. The Journal of Portfolio Management, 51(6), 7–26, https://doi.org/10.3905/jpm.2025.1.692.
Bernanke, B. S., & Gertler, M. (1995). Inside the Black Box: The Credit Channel of Monetary Policy Transmission. Journal of Economic Perspectives, 9(4), 27–48, https://doi.org/10.1257/jep.9.4.27.
Chauvet, M., & Jiang, C. (2023). Nonlinear Relationship Between Monetary Policy and Stock Returns: Evidence from the U.S. Global Finance Journal, 55, https://doi.org/10.1016/j.gfj.2022.100796.
Chen, N.-F., Roll, R., & Ross, S. A. (1986). Economic Forces and the Stock Market. The Journal of Business, 59(3), 383–403, https://doi.org/10.1086/296344.
Chen, S.-S. (2012). Revisiting the relationship between stock prices and exchange rates: Evidence from threshold cointegration. Journal of Banking & Finance, 36(7), 2019–2033, https://doi.org/10.1016/j.jmacro.2015.07.004.
Claessens, S., & Kose, M. A. (2017). Asset Prices and Macroeconomic Outcomes: A Survey. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2943540.
Dornbusch, R., & Fischer, S. (1980). Exchange Rates and the Current Account. American Economic Review, 70(5), 960–971.
Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383–417, https://doi.org/10.2307/2325486.
Farago, A., & Tédongap, R. (2018). Downside Risks and the Cross-Section of Asset Returns. Journal of Financial Economics, 129(1), 69–86, https://doi.org/10.1016/j.jfineco.2018.03.010.
Frankel, J. A. (1992). Monetary and Portfolio-Balance Models of Exchange Rate Determination. In R. W. Jones & P. B. Kenen (Eds.), International Economic Policies and Their Theoretical Foundations (pp. 793–832). Elsevier.
Granger, C.W.J. and P. Newbold, 1974, Spurious regressions in econometrics, Journal of Econometrics 2, 111-120, https://doi.org/10.1016/0304-4076(74)90034-7.
Gouveia, S., & Rodrigues, P. M. M. (2004). Threshold effects in stock returns: Evidence from the U.S. market. Economics Letters, 85(1), 1–7. https://doi.org/10.1016/j.econlet.2004.02.012.
Gouveia, P., & Rodrigues, P. (2004). Threshold Cointegration and the PPP Hypothesis. Journal of Applied Statistics, 31(10), 115–127, https://doi.org/10.1080/0266476032000148984.
Hansen, B. E. (1997). Inference in TAR models. Studies in Nonlinear Dynamics & Econometrics, 2(1), 1–14. https://doi.org/10.2202/1558-3708.1024.
Harsanico, A. B., & Sugiyanto, F. X. (2024). Macroeconomic Factors and Asset Portfolio Theory in IDX30: Stock Returns 2013–2020. Jurnal Ilmu Ekonomi dan Pembangunan, 23(1), 34–46, https://doi.org/10.20961/jiep.v23i1.57785.
Kanas, A., & Kouretas, G. P. (2005). Regime dependence between the official and parallel foreign currency markets for US dollars in Greece. Journal of Money, Credit and Banking, 37(6), 1097–1110, https://doi.org/10.1016/j.jmacro.2005.11.003.
Kocaman, B. E., & Ağaslan, E. (2025). Hisse senedi getirilerinde eşikli rejim değişimlerinin doğrusal olmayan analizi: SETAR modeli uygulaması. İstanbul Nişantaşı Üniversitesi Sosyal Bilimler Dergisi, 13(2), 721–734, https://doi.org/10.52122/nisantasisbd.1759397.
J. Tobin, Liquidity Preference as Behavior Towards Risk, The Review of Economic Studies, Volume 25, Issue 2, February 1958, Pages 65–86, https://doi.org/10.2307/2296205.
Kumar, A. (2025). A Study on Brand Management. International Journal of Scientific Research in Engineering and Management, 9(5), 1–9, https://doi.org/10.55041/IJSREM47358.
Lago-Balsalobre, R., Rojo-Suárez, J., & Alonso-Conde, A. B. (2023). Cross-Sectional Implications of Dynamic Asset Pricing with Stochastic Volatility and Ambiguity Aversion. The North American Journal of Economics and Finance, 66, 101909, https://doi.org/10.1016/j.najef.2023.101909.
Li, T., & Chen, P. (2024). Asset Allocation Combining Macro and Micro Information: Empirical Test Based on Entropy Pool Model. Finance Research Letters, 64, 105470, https://doi.org/10.1016/j.frl.2024.105470.
Lintner, J. (1965). The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. The Review of Economics and Statistics, 47(1), 13–37, https://doi.org/10.2307/1924119.
Lone, U. M., Darzi, M. A., & Bhat, S. A. (2024). Macroeconomic State Variables and Stock Market Performance: A Systematic Review and Future Research Agenda. FIIB Business Review, 13(2), 172–191, https://doi.org/10.1177/2319714521995622.
Mandal, A., Poshakwale, S. S., & Power, G. J. (2021). Do Investors Gain from Forecasting the Asymmetric Return Co-Movements of Financial and Real Assets? International Journal of Finance & Economics, 26(3), 3246–3268, https://doi.org/10.1002/ijfe.1961.
Mishkin, F. S. (1996). The Channels of Monetary Transmission: Lessons for Monetary Policy. NBER Working Paper No. 5464, https://doi.org/10.3386/w5464.
Mossin, J. (1966). Equilibrium in a Capital Asset Market. Econometrica, 34(4), 768–783, https://doi.org/10.2307/1910098.
Pham, C. D., & Phuoc, L. T. (2020). An Augmented Capital Asset Pricing Model Using New Macroeconomic Determinants. Heliyon, 6(10), e05185, https://doi.org/10.1016/j.heliyon.2020.e05185.
Poshakwale, S. S., & Mandal, A. (2016). What Drives Asymmetric Dependence Structure of Asset Return Co-Movements? International Review of Financial Analysis, 48, 312–330, https://doi.org/10.1016/j.irfa.2015.07.001.
Salisu, A. A., Swaray, R., & Oloko, T. F. (2019). Improving the Predictability of the Oil–US Stock Nexus: The Role of Macroeconomic Variables. Economic Modelling, 76, 153–171, https://doi.org/10.1016/j.econmod.2018.07.029.
Sharpe, W. F. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. The Journal of Finance, 19(3), 425–442. https://doi.org/10.2307/2977928.
Stock, J. H., & Watson, M. W. (2001). Forecasting Output and Inflation: The Role of Asset Prices. Journal of Economic Literature, 41(3), 788–829. https://doi.org/10.1257/002205103322436197.
Tong, H. (1983). Threshold Models in Nonlinear Time-Series Analysis. Springer-Verlag, https://doi.org/10.1007/978-1-4684-7888-4.

Ayrıntılar

Birincil Dil

İngilizce

Konular

Sermaye Piyasaları, Uluslararası Finans

Bölüm

Araştırma Makalesi

Yazarlar

Ferit Karahan ^*
0000-0002-9494-6029
Türkiye

Yayımlanma Tarihi

27 Mart 2026

Gönderilme Tarihi

19 Aralık 2025

Kabul Tarihi

25 Mart 2026

Yayımlandığı Sayı

Yıl 2026 Sayı: 125

DOI

https://doi.org/10.33203/mfy.1845510

IZ

https://izlik.org/JA78NN88YH

APA

Karahan, F. (2026). Threshold Effects of Macroeconomic Factors on Stock Market Returns: A SETAR Model Analysis of the BIST 100 Index. Maliye ve Finans Yazıları, 125, 325-344. https://doi.org/10.33203/mfy.1845510

AMA

1.Karahan F. Threshold Effects of Macroeconomic Factors on Stock Market Returns: A SETAR Model Analysis of the BIST 100 Index. Maliye ve Finans Yazıları. 2026;(125):325-344. doi:10.33203/mfy.1845510

Chicago

Karahan, Ferit. 2026. “Threshold Effects of Macroeconomic Factors on Stock Market Returns: A SETAR Model Analysis of the BIST 100 Index”. Maliye ve Finans Yazıları, sy 125: 325-44. https://doi.org/10.33203/mfy.1845510.

EndNote

Karahan F (01 Mart 2026) Threshold Effects of Macroeconomic Factors on Stock Market Returns: A SETAR Model Analysis of the BIST 100 Index. Maliye ve Finans Yazıları 125 325–344.

IEEE

[1]F. Karahan, “Threshold Effects of Macroeconomic Factors on Stock Market Returns: A SETAR Model Analysis of the BIST 100 Index”, Maliye ve Finans Yazıları, sy 125, ss. 325–344, Mar. 2026, doi: 10.33203/mfy.1845510.

ISNAD

Karahan, Ferit. “Threshold Effects of Macroeconomic Factors on Stock Market Returns: A SETAR Model Analysis of the BIST 100 Index”. Maliye ve Finans Yazıları. 125 (01 Mart 2026): 325-344. https://doi.org/10.33203/mfy.1845510.

JAMA

1.Karahan F. Threshold Effects of Macroeconomic Factors on Stock Market Returns: A SETAR Model Analysis of the BIST 100 Index. Maliye ve Finans Yazıları. 2026;:325–344.

MLA

Karahan, Ferit. “Threshold Effects of Macroeconomic Factors on Stock Market Returns: A SETAR Model Analysis of the BIST 100 Index”. Maliye ve Finans Yazıları, sy 125, Mart 2026, ss. 325-44, doi:10.33203/mfy.1845510.

Vancouver

1.Ferit Karahan. Threshold Effects of Macroeconomic Factors on Stock Market Returns: A SETAR Model Analysis of the BIST 100 Index. Maliye ve Finans Yazıları. 01 Mart 2026;(125):325-44. doi:10.33203/mfy.1845510

Maliye ve Finans Yazıları dergisinin kapsamını ekonomi, maliye, finans ve bankacılık alanlarındaki çalışmalar oluşturmaktadır.

Threshold Effects of Macroeconomic Factors on Stock Market Returns: A SETAR Model Analysis of the BIST 100 Index

Makroekonomik Faktörlerin Hisse Senedi Piyasası Getirileri Üzerindeki Eşik Etkileri: BIST 100 Endeksi Üzerine SETAR Modeli Analizi

Öz

Anahtar Kelimeler

Threshold Effects of Macroeconomic Factors on Stock Market Returns: A SETAR Model Analysis of the BIST 100 Index

Öz

Anahtar Kelimeler

Kaynakça

Ayrıntılar

Birincil Dil

Konular

Bölüm

Yazarlar

Yayımlanma Tarihi

Gönderilme Tarihi

Kabul Tarihi

Yayımlandığı Sayı

DOI

IZ

Kaynak Göster