THE CAUSAL RELATIONSHIP BETWEEN SELECTED MACROECONOMIC VARIABLES AND STOCK RETURNS IN TURKEY1

Ahmet TİRYAKİ, (Anadolu University, AOF, Turkey)
Levent ERDOĞAN, (Anadolu University, IIBF)
Reşat CEYLAN (Girilmedi)
Uluslararası İktisadi ve İdari İncelemeler Dergisi
2 0
Yıl: 2017 Cilt: 0 Sayı: 19 Sayfa Aralığı: 299 - 326 Metin Dili: İngilizce DOI: 10.18092/ulikidince.309275 İndeks Tarihi: 29-07-2022

THE CAUSAL RELATIONSHIP BETWEEN SELECTED MACROECONOMIC VARIABLES AND STOCK RETURNS IN TURKEY1

Öz:
This study investigates the causal relationship between selected domestic and international macroeconomic variables and the stock returns in Turkey by using ARDL methodology for the period of 2003:1-2016:12. By taking S&P500 and World Oil Price Index as exogenous control variables, the study finds that the main determinants of Turkish stock returns are the changes in industrial production index, consumer price index , current account to export ratio, real effective exchange rate, Standard & Poor's 500 Index, World Oil Price Index and the interest difference between Turkish Central Bank policy rate and the Federal Funds Rate of the USA in the long-run. The signs of industrial production index , consumer price index, current account to export ratio, real effective exchange rate, S&P500 and World Oil Price Index are statistically significant and positive and the sign of the interest difference between Turkish policy rate and the FFR is negative. The test results also show that Turkish unemployment rate does not have any effect on Turkish stock returns.
Anahtar Kelime:

Konular: İşletme İktisat

TÜRKİYE’DE SEÇİLMİŞ MAKROEKONOMİK DEĞİŞKENLER İLE HİSSE SENEDİ GETİRİLERİ ARASINDAKİ NEDENSELLİK İLİŞKİSİ

Öz:
Bu çalışma aylık verilerden ve ARDL yaklaşımından yararlanarak 2003 ile 2016 yılları arasında seçilmiş makroekonomik değişkenlerle hisse senedi getirileri arasındaki nedensellik ilişkisini araştırmaktadır. S&P500 ve dünya petrol fiyat endeksini dışsal kontrol değişkenleri olarak kullanarak, bu çalışmanın ampirik test sonuçları uzun dönemde hisse senedi getirilerinin temel belirleyicilerinin imalat sanayi endeksi, tüketici fiyat endeksi, cari işlemler hesabının ihracata oranı, reel efektif döviz kuru, TCMB politika faizi ile FFR farkından oluşan faiz oranları farkı, S&P500 ve dünya petrol fiyat endeksi olduğunu ortaya koymaktadır. Ampirik test sonuçları, BIST hisse senedi getirileri ile tüketici fiyat endeksi, cari işlemler hesabının ihracata oranı, reel efektif döviz kuru, S&P500 ve dünya petrol fiyat endeksi arasında istatistiksel olarak anlamlı ve pozitif, TCMB politika faizi ile FFR farkından oluşan faiz oranları farkı arasında ise istatistiksel olarak anlamlı ve negatif bir ilişki olduğunu ortaya koymaktadır. İşsizlik oranındaki değişmelerin hisse senedi getirilerine bir etkisi yoktur.
Anahtar Kelime:

Konular: İşletme İktisat
Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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APA TİRYAKİ A, ERDOĞAN L, Ceylan R (2017). THE CAUSAL RELATIONSHIP BETWEEN SELECTED MACROECONOMIC VARIABLES AND STOCK RETURNS IN TURKEY1. , 299 - 326. 10.18092/ulikidince.309275
Chicago TİRYAKİ Ahmet,ERDOĞAN LEVENT,Ceylan Reşat THE CAUSAL RELATIONSHIP BETWEEN SELECTED MACROECONOMIC VARIABLES AND STOCK RETURNS IN TURKEY1. (2017): 299 - 326. 10.18092/ulikidince.309275
MLA TİRYAKİ Ahmet,ERDOĞAN LEVENT,Ceylan Reşat THE CAUSAL RELATIONSHIP BETWEEN SELECTED MACROECONOMIC VARIABLES AND STOCK RETURNS IN TURKEY1. , 2017, ss.299 - 326. 10.18092/ulikidince.309275
AMA TİRYAKİ A,ERDOĞAN L,Ceylan R THE CAUSAL RELATIONSHIP BETWEEN SELECTED MACROECONOMIC VARIABLES AND STOCK RETURNS IN TURKEY1. . 2017; 299 - 326. 10.18092/ulikidince.309275
Vancouver TİRYAKİ A,ERDOĞAN L,Ceylan R THE CAUSAL RELATIONSHIP BETWEEN SELECTED MACROECONOMIC VARIABLES AND STOCK RETURNS IN TURKEY1. . 2017; 299 - 326. 10.18092/ulikidince.309275
IEEE TİRYAKİ A,ERDOĞAN L,Ceylan R "THE CAUSAL RELATIONSHIP BETWEEN SELECTED MACROECONOMIC VARIABLES AND STOCK RETURNS IN TURKEY1." , ss.299 - 326, 2017. 10.18092/ulikidince.309275
ISNAD TİRYAKİ, Ahmet vd. "THE CAUSAL RELATIONSHIP BETWEEN SELECTED MACROECONOMIC VARIABLES AND STOCK RETURNS IN TURKEY1". (2017), 299-326. https://doi.org/10.18092/ulikidince.309275
APA TİRYAKİ A, ERDOĞAN L, Ceylan R (2017). THE CAUSAL RELATIONSHIP BETWEEN SELECTED MACROECONOMIC VARIABLES AND STOCK RETURNS IN TURKEY1. Uluslararası İktisadi ve İdari İncelemeler Dergisi, 0(19), 299 - 326. 10.18092/ulikidince.309275
Chicago TİRYAKİ Ahmet,ERDOĞAN LEVENT,Ceylan Reşat THE CAUSAL RELATIONSHIP BETWEEN SELECTED MACROECONOMIC VARIABLES AND STOCK RETURNS IN TURKEY1. Uluslararası İktisadi ve İdari İncelemeler Dergisi 0, no.19 (2017): 299 - 326. 10.18092/ulikidince.309275
MLA TİRYAKİ Ahmet,ERDOĞAN LEVENT,Ceylan Reşat THE CAUSAL RELATIONSHIP BETWEEN SELECTED MACROECONOMIC VARIABLES AND STOCK RETURNS IN TURKEY1. Uluslararası İktisadi ve İdari İncelemeler Dergisi, vol.0, no.19, 2017, ss.299 - 326. 10.18092/ulikidince.309275
AMA TİRYAKİ A,ERDOĞAN L,Ceylan R THE CAUSAL RELATIONSHIP BETWEEN SELECTED MACROECONOMIC VARIABLES AND STOCK RETURNS IN TURKEY1. Uluslararası İktisadi ve İdari İncelemeler Dergisi. 2017; 0(19): 299 - 326. 10.18092/ulikidince.309275
Vancouver TİRYAKİ A,ERDOĞAN L,Ceylan R THE CAUSAL RELATIONSHIP BETWEEN SELECTED MACROECONOMIC VARIABLES AND STOCK RETURNS IN TURKEY1. Uluslararası İktisadi ve İdari İncelemeler Dergisi. 2017; 0(19): 299 - 326. 10.18092/ulikidince.309275
IEEE TİRYAKİ A,ERDOĞAN L,Ceylan R "THE CAUSAL RELATIONSHIP BETWEEN SELECTED MACROECONOMIC VARIABLES AND STOCK RETURNS IN TURKEY1." Uluslararası İktisadi ve İdari İncelemeler Dergisi, 0, ss.299 - 326, 2017. 10.18092/ulikidince.309275
ISNAD TİRYAKİ, Ahmet vd. "THE CAUSAL RELATIONSHIP BETWEEN SELECTED MACROECONOMIC VARIABLES AND STOCK RETURNS IN TURKEY1". Uluslararası İktisadi ve İdari İncelemeler Dergisi 19 (2017), 299-326. https://doi.org/10.18092/ulikidince.309275
Sayfa Oluşturulma Tarihi
23-04-2024 5:8

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