Testing the effect of local macroeconomic indicators and global risk factors on the Turkish participation stock market: Evidence from quantile regression approach
Yıl: 2022 Cilt: 36 Sayı: 3 Sayfa Aralığı: 258 - 267 Metin Dili: İngilizce DOI: 10.5152/TBE.2022.1018360 İndeks Tarihi: 23-09-2022
Testing the effect of local macroeconomic indicators and global risk factors on the Turkish participation stock market: Evidence from quantile regression approach
Öz: The purpose of this study is to investigate the effect of local macroeconomic indicators and global risk factors on the participation index in the Turkish stock market from May 2011 to April 2021. Using the quantile regression approach, we detect the impact of local macroeconomic indicators and global risk factors across different market conditions: bull, bear, and normal. The empirical results demonstrate that, among local macroeconomic indicators, monetary policy-related indicators, Consumer Price Index (CPI)(Slope of Government Bond [SGB]), merely influence participation 30 index (KAT30) return in bearish market (bullish market); however, credit default swap negatively affects KAT30 return across all quantiles. When it comes to global risk factors, results show that KAT30 return is negatively affected by the implied volatility index across all quantiles except Q0.75 and Q0.95. This means that the implied volatility index impact on KAT30 return is stronger during the bearish market. Yet, Oil Volatility Index (OVX) and Morgan Stanley Country Index (MSCI) positively impact the index return across upper quantiles.
Anahtar Kelime: Lokal makroekonomik göstergelerin ve küresel risk faktörlerinin Türkiye katılım endeksi üzerindeki etkisinin test edilmesi: Kantil regresyon yaklaşımı
Öz: Bu çalışmanın amacı, Mayıs 2011-Nisan 2021 döneminde Türkiye hisse senedi piyasasında lokal makroekonomik göstergelerin ve küresel risk faktörlerinin katılım endeksi üzerindeki etkisini araştırmaktır. Kantil regresyon yaklaşımı kullanarak, lokal makroekonomik göstergelerin ve küresel risk faktörlerinin düşen(bear), normal, yükselen(bull) piyasa koşullarındaki etkisini tespit etmekteyiz. Ampirik sonuçlar, lokal makroekonomik göstergeler arasında para politikasıyla ilgili göstergelerden CPI(SGB)’nin sadece düşüş piyasasında (yükseliş piyasası) KAT30'u etkilediğini gösterirken, CDS tüm kantillerde KAT30'u negatif etkilemektedir. Küresel risk faktörleri söz konusu olduğunda, sonuçlar KAT30'un Q0.75 ve Q0.95 dışındaki tüm kantillerde VIX'ten negatif etkilendiğini göstermektedir. Bu durum, düşüş piyasasında VIX’in KAT30 üzerindeki etkisinin daha güçlü olduğu göstermektedir. Bununla birlikte, OVX ve MSCI'nin etkisi, üst kantillerde pozitif ve anlamlıdır
Anahtar Kelime: Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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| APA | Essayem A, Görmüş Ş, guven M (2022). Testing the effect of local macroeconomic indicators and global risk factors on the Turkish participation stock market: Evidence from quantile regression approach. , 258 - 267. 10.5152/TBE.2022.1018360 |
| Chicago | Essayem Amal,Görmüş Şakir,guven Murat Testing the effect of local macroeconomic indicators and global risk factors on the Turkish participation stock market: Evidence from quantile regression approach. (2022): 258 - 267. 10.5152/TBE.2022.1018360 |
| MLA | Essayem Amal,Görmüş Şakir,guven Murat Testing the effect of local macroeconomic indicators and global risk factors on the Turkish participation stock market: Evidence from quantile regression approach. , 2022, ss.258 - 267. 10.5152/TBE.2022.1018360 |
| AMA | Essayem A,Görmüş Ş,guven M Testing the effect of local macroeconomic indicators and global risk factors on the Turkish participation stock market: Evidence from quantile regression approach. . 2022; 258 - 267. 10.5152/TBE.2022.1018360 |
| Vancouver | Essayem A,Görmüş Ş,guven M Testing the effect of local macroeconomic indicators and global risk factors on the Turkish participation stock market: Evidence from quantile regression approach. . 2022; 258 - 267. 10.5152/TBE.2022.1018360 |
| IEEE | Essayem A,Görmüş Ş,guven M "Testing the effect of local macroeconomic indicators and global risk factors on the Turkish participation stock market: Evidence from quantile regression approach." , ss.258 - 267, 2022. 10.5152/TBE.2022.1018360 |
| ISNAD | Essayem, Amal vd. "Testing the effect of local macroeconomic indicators and global risk factors on the Turkish participation stock market: Evidence from quantile regression approach". (2022), 258-267. https://doi.org/10.5152/TBE.2022.1018360 |
| APA | Essayem A, Görmüş Ş, guven M (2022). Testing the effect of local macroeconomic indicators and global risk factors on the Turkish participation stock market: Evidence from quantile regression approach. Trends in business and economics (Online), 36(3), 258 - 267. 10.5152/TBE.2022.1018360 |
| Chicago | Essayem Amal,Görmüş Şakir,guven Murat Testing the effect of local macroeconomic indicators and global risk factors on the Turkish participation stock market: Evidence from quantile regression approach. Trends in business and economics (Online) 36, no.3 (2022): 258 - 267. 10.5152/TBE.2022.1018360 |
| MLA | Essayem Amal,Görmüş Şakir,guven Murat Testing the effect of local macroeconomic indicators and global risk factors on the Turkish participation stock market: Evidence from quantile regression approach. Trends in business and economics (Online), vol.36, no.3, 2022, ss.258 - 267. 10.5152/TBE.2022.1018360 |
| AMA | Essayem A,Görmüş Ş,guven M Testing the effect of local macroeconomic indicators and global risk factors on the Turkish participation stock market: Evidence from quantile regression approach. Trends in business and economics (Online). 2022; 36(3): 258 - 267. 10.5152/TBE.2022.1018360 |
| Vancouver | Essayem A,Görmüş Ş,guven M Testing the effect of local macroeconomic indicators and global risk factors on the Turkish participation stock market: Evidence from quantile regression approach. Trends in business and economics (Online). 2022; 36(3): 258 - 267. 10.5152/TBE.2022.1018360 |
| IEEE | Essayem A,Görmüş Ş,guven M "Testing the effect of local macroeconomic indicators and global risk factors on the Turkish participation stock market: Evidence from quantile regression approach." Trends in business and economics (Online), 36, ss.258 - 267, 2022. 10.5152/TBE.2022.1018360 |
| ISNAD | Essayem, Amal vd. "Testing the effect of local macroeconomic indicators and global risk factors on the Turkish participation stock market: Evidence from quantile regression approach". Trends in business and economics (Online) 36/3 (2022), 258-267. https://doi.org/10.5152/TBE.2022.1018360 |
