DETERMINANTS OF TURKISH STOCK RETURNS UNDER THE IMPACT OF ECONOMIC POLICY UNCERTAINTY

Havva Nesrin TİRYAKİ, (Bilecik Şeyh Edebali Üniversitesi, Biecik, Türkiye)
Ahmet TİRYAKİ (Anadolu Üniversitesi, Eskişehir, Türkiye)
Uluslararası İktisadi ve İdari İncelemeler Dergisi
3 2
Yıl: 2019 Cilt: 0 Sayı: 22 Sayfa Aralığı: 147 - 162 Metin Dili: İngilizce DOI: 10.18092/ulikidince.424369 İndeks Tarihi: 03-06-2020

DETERMINANTS OF TURKISH STOCK RETURNS UNDER THE IMPACT OF ECONOMIC POLICY UNCERTAINTY

Öz:
This paper aims to investigate the short-run and long-run macroeconomic determinants of the Turkish stockreturns under the impact of the “domestic and global economic policy uncertainty” by using the ARDL methodand the monthly data for the period of 1991:M1 to 2017:M12. The set of macroeconomic variables utilized inthe study are the stock market price indexes of Turkey’s BIST100 index (BIST) and the BIST industrial index(IND), industrial production index (IPI), real effective exchange rate (RER), consumer price index (CPI), interestrate (R), Geopolitical risk index for Turkey (GPR) and the Economic Policy Uncertainty index of the UnitedStates of America (EPU). The ARDL estimation results reveal that in the short-run the BIST stock returns arepositively affected from the changes in IPI, RER and CPI. The effects of the changes in Turkish interest rate(R), EPU and the dummy representing the impact of the 2008 Global Financial Crisis on the stock returns arenegative. The long-run determinants of the BIST stock returns are the changes in IPI, RER, and CPI and theEPU. The effect of the changes in the EPU on the stock returns is negative and the effect of the other variablesare positive.
Anahtar Kelime:

EKONOMİK POLİTİKA BELİRSİZLİĞİ ALTINDA BORSA İSTANBUL HİSSE SENEDİ GETİRİLERİNİN MAKROEKONOMİK BELİRLEYİCİLERİ

Öz:
Bu makalenin amacı yerel ve global ekonomik politika belirsizliği altında Türkiye’de hisse senedi getirilerinin belirleyicilerinin hangi makroekonomik değişkenler olduğunu ARDL metodu ve 1991-2017 yılları arası dönemde aylık veriler kullanarak belirlemektir. Çalışmada; bağımlı değişken olarak Borsa İstanbul’un BIST100 (BIST) ve Endüstri endeksleri (IND) ve bağımsız değişkenler olarak da Türkiye imalat sanayi endeksi (IPI), reel döviz kuru (RER), tüketici fiyat endeksi (CPI), faiz oranı (R), Türkiye’nin jeopolitik risk endeksi (GPR) ve ABD’nin ekonomik politika belirsizliği (EPU) verilerinden yararlanılmıştır. ARDL tahmin sonuçları, kısa dönemde BIST hisse senedi getirilerinin belirleyicilerinin pozitif olarak IPI, RER ve CPI; negatif olarak da R, EPU ve 2008 global finansal krizini temsil eden “kukla değişkeni” olduğunu ortaya koymaktadır. Uzun dönemde ise IPI, RER ve CPI’daki değişmeler pozitif, EPU’daki değişmeler ise hisse senedi getirilerine negatif etki etmektedir.
Anahtar Kelime:

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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APA Tiryaki H, TİRYAKİ A (2019). DETERMINANTS OF TURKISH STOCK RETURNS UNDER THE IMPACT OF ECONOMIC POLICY UNCERTAINTY. , 147 - 162. 10.18092/ulikidince.424369
Chicago Tiryaki Havva Nesrin,TİRYAKİ Ahmet DETERMINANTS OF TURKISH STOCK RETURNS UNDER THE IMPACT OF ECONOMIC POLICY UNCERTAINTY. (2019): 147 - 162. 10.18092/ulikidince.424369
MLA Tiryaki Havva Nesrin,TİRYAKİ Ahmet DETERMINANTS OF TURKISH STOCK RETURNS UNDER THE IMPACT OF ECONOMIC POLICY UNCERTAINTY. , 2019, ss.147 - 162. 10.18092/ulikidince.424369
AMA Tiryaki H,TİRYAKİ A DETERMINANTS OF TURKISH STOCK RETURNS UNDER THE IMPACT OF ECONOMIC POLICY UNCERTAINTY. . 2019; 147 - 162. 10.18092/ulikidince.424369
Vancouver Tiryaki H,TİRYAKİ A DETERMINANTS OF TURKISH STOCK RETURNS UNDER THE IMPACT OF ECONOMIC POLICY UNCERTAINTY. . 2019; 147 - 162. 10.18092/ulikidince.424369
IEEE Tiryaki H,TİRYAKİ A "DETERMINANTS OF TURKISH STOCK RETURNS UNDER THE IMPACT OF ECONOMIC POLICY UNCERTAINTY." , ss.147 - 162, 2019. 10.18092/ulikidince.424369
ISNAD Tiryaki, Havva Nesrin - TİRYAKİ, Ahmet. "DETERMINANTS OF TURKISH STOCK RETURNS UNDER THE IMPACT OF ECONOMIC POLICY UNCERTAINTY". (2019), 147-162. https://doi.org/10.18092/ulikidince.424369
APA Tiryaki H, TİRYAKİ A (2019). DETERMINANTS OF TURKISH STOCK RETURNS UNDER THE IMPACT OF ECONOMIC POLICY UNCERTAINTY. Uluslararası İktisadi ve İdari İncelemeler Dergisi, 0(22), 147 - 162. 10.18092/ulikidince.424369
Chicago Tiryaki Havva Nesrin,TİRYAKİ Ahmet DETERMINANTS OF TURKISH STOCK RETURNS UNDER THE IMPACT OF ECONOMIC POLICY UNCERTAINTY. Uluslararası İktisadi ve İdari İncelemeler Dergisi 0, no.22 (2019): 147 - 162. 10.18092/ulikidince.424369
MLA Tiryaki Havva Nesrin,TİRYAKİ Ahmet DETERMINANTS OF TURKISH STOCK RETURNS UNDER THE IMPACT OF ECONOMIC POLICY UNCERTAINTY. Uluslararası İktisadi ve İdari İncelemeler Dergisi, vol.0, no.22, 2019, ss.147 - 162. 10.18092/ulikidince.424369
AMA Tiryaki H,TİRYAKİ A DETERMINANTS OF TURKISH STOCK RETURNS UNDER THE IMPACT OF ECONOMIC POLICY UNCERTAINTY. Uluslararası İktisadi ve İdari İncelemeler Dergisi. 2019; 0(22): 147 - 162. 10.18092/ulikidince.424369
Vancouver Tiryaki H,TİRYAKİ A DETERMINANTS OF TURKISH STOCK RETURNS UNDER THE IMPACT OF ECONOMIC POLICY UNCERTAINTY. Uluslararası İktisadi ve İdari İncelemeler Dergisi. 2019; 0(22): 147 - 162. 10.18092/ulikidince.424369
IEEE Tiryaki H,TİRYAKİ A "DETERMINANTS OF TURKISH STOCK RETURNS UNDER THE IMPACT OF ECONOMIC POLICY UNCERTAINTY." Uluslararası İktisadi ve İdari İncelemeler Dergisi, 0, ss.147 - 162, 2019. 10.18092/ulikidince.424369
ISNAD Tiryaki, Havva Nesrin - TİRYAKİ, Ahmet. "DETERMINANTS OF TURKISH STOCK RETURNS UNDER THE IMPACT OF ECONOMIC POLICY UNCERTAINTY". Uluslararası İktisadi ve İdari İncelemeler Dergisi 22 (2019), 147-162. https://doi.org/10.18092/ulikidince.424369
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02-05-2024 12:0

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