TY  - JOUR
TI  - THE CAUSAL RELATIONSHIP BETWEEN SELECTED MACROECONOMIC VARIABLES AND STOCK RETURNS IN TURKEY1
AB  - 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.
AU  - Ceylan, Reşat
AU  - ERDOĞAN, LEVENT
AU  - TİRYAKİ, Ahmet
DO  - 10.18092/ulikidince.309275
PY  - 2017
JO  - Uluslararası İktisadi ve İdari İncelemeler Dergisi
VL  - 0
IS  - 19
SN  - 1307-9832
SP  - 299
EP  - 326
DB  - TRDizin
UR  - http://search/yayin/detay/267482
ER  -