Year 2019, Volume , Issue 22, Pages 147 - 162 2019-01-01


Havva Nesrin TİRYAKİ [1] , Ahmet TİRYAKİ [2]

25 59

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.

This paper aims to investigate the short-run and long-run macroeconomic determinants of the Turkish stock returns under the impact of the “domestic and global economic policy uncertainty” by using the ARDL method and the monthly data for the period of 1991:M1 to 2017:M12. The set of macroeconomic variables utilized in the 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), interest rate (R), Geopolitical risk index for Turkey (GPR) and the Economic Policy Uncertainty index of the United States of America (EPU). The ARDL estimation results reveal that in the short-run the BIST stock returns are positively 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 are negative. The long-run determinants of the BIST stock returns are the changes in IPI, RER, and CPI and the EPU. The effect of the changes in the EPU on the stock returns is negative and the effect of the other variables are positive. 

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Primary Language en
Subjects Social
Journal Section Articles

Author: Havva Nesrin TİRYAKİ
Country: Turkey

Author: Ahmet TİRYAKİ (Primary Author)
Country: Turkey

Bibtex @research article { ulikidince424369, journal = {Uluslararası İktisadi ve İdari İncelemeler Dergisi}, issn = {1307-9832}, eissn = {1307-9859}, address = {Kenan ÇELİK}, year = {2019}, volume = {}, pages = {147 - 162}, doi = {10.18092/ulikidince.424369}, title = {DETERMINANTS OF TURKISH STOCK RETURNS UNDER THE IMPACT OF ECONOMIC POLICY UNCERTAINTY}, key = {cite}, author = {TİRYAKİ, Havva Nesrin and TİRYAKİ, Ahmet} }
APA TİRYAKİ, H , TİRYAKİ, A . (2019). DETERMINANTS OF TURKISH STOCK RETURNS UNDER THE IMPACT OF ECONOMIC POLICY UNCERTAINTY. Uluslararası İktisadi ve İdari İncelemeler Dergisi, (22), 147-162. DOI: 10.18092/ulikidince.424369
RIS TY - JOUR T1 - DETERMINANTS OF TURKISH STOCK RETURNS UNDER THE IMPACT OF ECONOMIC POLICY UNCERTAINTY AU - Havva Nesrin TİRYAKİ , Ahmet TİRYAKİ Y1 - 2019 PY - 2019 N1 - doi: 10.18092/ulikidince.424369 DO - 10.18092/ulikidince.424369 T2 - Uluslararası İktisadi ve İdari İncelemeler Dergisi JF - Journal JO - JOR SP - 147 EP - 162 VL - IS - 22 SN - 1307-9832-1307-9859 M3 - doi: 10.18092/ulikidince.424369 UR - Y2 - 2018 ER -
EndNote %0 International Journal of Economics and Administrative Studies DETERMINANTS OF TURKISH STOCK RETURNS UNDER THE IMPACT OF ECONOMIC POLICY UNCERTAINTY %A Havva Nesrin TİRYAKİ , Ahmet TİRYAKİ %T DETERMINANTS OF TURKISH STOCK RETURNS UNDER THE IMPACT OF ECONOMIC POLICY UNCERTAINTY %D 2019 %J Uluslararası İktisadi ve İdari İncelemeler Dergisi %P 1307-9832-1307-9859 %V %N 22 %R doi: 10.18092/ulikidince.424369 %U 10.18092/ulikidince.424369
ISNAD TİRYAKİ, Havva Nesrin , TİRYAKİ, Ahmet . "DETERMINANTS OF TURKISH STOCK RETURNS UNDER THE IMPACT OF ECONOMIC POLICY UNCERTAINTY". Uluslararası İktisadi ve İdari İncelemeler Dergisi / 22 (January 2019): 147-162.