The causal relationship between selected macroeconomic variables and stock returns in Turkey

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 fin...

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Bibliographic Details
Published in:Uluslararası iktisadi ve idari incelemeler dergisi (Online) 2017-02, Vol.10 (19), p.299-326
Main Authors: Ceylan,Reşat, Tiryaki,Ahmet, Erdoğan,Levent
Format: Article
Language:English
Subjects:
İdari Bilimler
İktisat & İşletme & Finans
Uluslararası İlişkiler
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Summary: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.
ISSN:1307-9832
1307-9859
DOI:10.18092/ulikidince.309275