Year 2017, Volume , Issue 19, Pages 299 - 326 2017-07-03

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

Ahmet TİRYAKİ [1] , Levent ERDOĞAN [2] , Reşat CEYLAN [3]

279 831

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.

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. 

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Subjects Social
Journal Section Table of Contents
Authors

Author: Ahmet TİRYAKİ
Institution: ANADOLU ÜNİVERSİTESİ
Country: Turkey


Author: Levent ERDOĞAN
Institution: ANADOLU ÜNİVERSİTESİ
Country: Turkey


Author: Reşat CEYLAN
Institution: PAMUKKALE ÜNİVERSİTESİ
Country: Turkey


Bibtex @research article { ulikidince309275, journal = {Uluslararası İktisadi ve İdari İncelemeler Dergisi}, issn = {1307-9832}, eissn = {1307-9859}, address = {Kenan ÇELİK}, year = {2017}, volume = {}, pages = {299 - 326}, doi = {10.18092/ulikidince.309275}, title = {THE CAUSAL RELATIONSHIP BETWEEN SELECTED MACROECONOMIC VARIABLES AND STOCK RETURNS IN TURKEY}, key = {cite}, author = {TİRYAKİ, Ahmet and ERDOĞAN, Levent and CEYLAN, Reşat} }
APA TİRYAKİ, A , ERDOĞAN, L , CEYLAN, R . (2017). THE CAUSAL RELATIONSHIP BETWEEN SELECTED MACROECONOMIC VARIABLES AND STOCK RETURNS IN TURKEY. Uluslararası İktisadi ve İdari İncelemeler Dergisi, (19), 299-326. DOI: 10.18092/ulikidince.309275
MLA TİRYAKİ, A , ERDOĞAN, L , CEYLAN, R . "THE CAUSAL RELATIONSHIP BETWEEN SELECTED MACROECONOMIC VARIABLES AND STOCK RETURNS IN TURKEY". Uluslararası İktisadi ve İdari İncelemeler Dergisi (2017): 299-326 <http://dergipark.gov.tr/ulikidince/issue/29069/309275>
Chicago TİRYAKİ, A , ERDOĞAN, L , CEYLAN, R . "THE CAUSAL RELATIONSHIP BETWEEN SELECTED MACROECONOMIC VARIABLES AND STOCK RETURNS IN TURKEY". Uluslararası İktisadi ve İdari İncelemeler Dergisi (2017): 299-326
RIS TY - JOUR T1 - THE CAUSAL RELATIONSHIP BETWEEN SELECTED MACROECONOMIC VARIABLES AND STOCK RETURNS IN TURKEY AU - Ahmet TİRYAKİ , Levent ERDOĞAN , Reşat CEYLAN Y1 - 2017 PY - 2017 N1 - doi: 10.18092/ulikidince.309275 DO - 10.18092/ulikidince.309275 T2 - Uluslararası İktisadi ve İdari İncelemeler Dergisi JF - Journal JO - JOR SP - 299 EP - 326 VL - IS - 19 SN - 1307-9832-1307-9859 M3 - doi: 10.18092/ulikidince.309275 UR - https://doi.org/10.18092/ulikidince.309275 Y2 - 2017 ER -
EndNote %0 International Journal of Economics and Administrative Studies THE CAUSAL RELATIONSHIP BETWEEN SELECTED MACROECONOMIC VARIABLES AND STOCK RETURNS IN TURKEY %A Ahmet TİRYAKİ , Levent ERDOĞAN , Reşat CEYLAN %T THE CAUSAL RELATIONSHIP BETWEEN SELECTED MACROECONOMIC VARIABLES AND STOCK RETURNS IN TURKEY %D 2017 %J Uluslararası İktisadi ve İdari İncelemeler Dergisi %P 1307-9832-1307-9859 %V %N 19 %R doi: 10.18092/ulikidince.309275 %U 10.18092/ulikidince.309275
ISNAD TİRYAKİ, Ahmet , ERDOĞAN, Levent , CEYLAN, Reşat . "THE CAUSAL RELATIONSHIP BETWEEN SELECTED MACROECONOMIC VARIABLES AND STOCK RETURNS IN TURKEY". Uluslararası İktisadi ve İdari İncelemeler Dergisi / 19 (July 2017): 299-326. https://doi.org/10.18092/ulikidince.309275