Research Article
BibTex RIS Cite

The Relationships between the Turkish Stock Market and Macroeconomic Variables

Year 2024, Volume: 9 Issue: 1, 140 - 158, 29.03.2024

Elif Hilal Nazlıoğlu

https://doi.org/10.30784/epfad.1424089

Abstract

The objective of this study is to examine the relationships between stock markets and macroeconomic variables in Turkey. For this purpose, the Borsa Istanbul 100 index (BIST100), the consumer price index (TUFE), the policy interest rate and the exchange rate (dollar/TL) variables were discussed in the study at a monthly frequency for the period January 2000 - October 2023.The study used Toda - Yamamoto and Fourier Toda - Yamamoto causality tests to examine the relationships between variables using time series methods. The results show that there is a uni-directional causality from the policy rate to the stock markets in Turkey, a bi-directional causality from TUFE to Dollar/TL, and a uni-directional causality from BIST100 to Dollar/TL. No causality was found between the policy interest rate and the dollar/TL exchange rate and TUFE and BIST100. The fact that the results of the TY and FTY causality analyses are parallel is evidence that the selected variables have Fourier trends. Based on these findings, a change in the policy rate affects the BIST100, while a change in the BIST100 affects the Dollar/TL. These results provide new information for investors, policymakers, and researchers.

Keywords

Stock Market Inflation Interest Rate Exchange Rate Causality

References

  • Aktaş, M. ve Akdağ, S. (2013). Türkiye’de ekonomik faktörlerin hisse senedi fiyatları ile ilişkilerinin araştırılması. International Journal Social Science Research, 2(2), 50-67. Erişim adresi: https://dergipark.org.tr/en/pub/ijssresearch/
  • Al Amin, I. and Sholahuddin, M. (2023). The effect of inflation, interest rates, and USD exchange on the Indonesian sharia stock index (ISSI) period 2019-2022. International Journal of Applied Finance and Business Studies, 11(1), 50-58. https://doi.org/10.35335/ijafibs.v11i1.85
  • Alam, Z. and Rashid, K. (2014). Time series analysis of the relationship between macroeconomic factors and the stock market returns in Pakistan. Yaşar Üniversitesi E-Dergisi, 9(36), 6361-6370. https://doi.org/10.19168/jyu.55431
  • Arsić, M., Mladenović, Z. and Nojković, A. (2022). Macroeconomic performance of inflation targeting in European and Asian emerging economies. Journal of Policy Modeling, 44(3), 675-700. https://doi.org/10.1016/j.jpolmod.2022.06.002
  • Balcilar, M., Ozdemir, Z.A. and Arslanturk, Y. (2010). Economic growth and energy consumption causal nexus viewed through a bootstrap rolling window. Energy Economics, 32(6), 1398-1410. https://doi.org/10.1016/j.eneco.2010.05.015
  • Bhuiyan, E.M. and Chowdhury, M. (2020). Macroeconomic variables and stock market indices: Asymmetric dynamics in the US and Canada. The Quarterly Review of Economics and Finance, 77, 62-74. https://doi.org/10.1016/j.qref.2019.10.005
  • Calvo, G.A. (1978). On the time consistency of optimal policy in a monetary economy. Econometrica: Journal of the Econometric Society, 6, 1411-1428. https://doi.org/10.2307/1913836
  • Chen, N.F., Roll, R. and Ross, S.A. (1986). Economic forces and the stock market. Journal of Business, 59(3), 383-403. Retrieved from https://www.jstor.org/
  • Dickey, D.A. and Fuller, W.A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Society, 75, 427–431. https://doi.org/10.1080/01621459.1979.10482531
  • Durukan, M.B. (1999). On the relationship between stock prices and macroeconomic variables in Istanbul Stock Exchange. Istanbul Stock Exchange Review, 3(11), 21-50. Retrieved from https://www.borsaistanbul.com/datum/imkbdergi/
  • Enders, W. and Lee, J. (2012). The flexible Fourier form and Dickey-Fuller type unit root tests. Economics Letters, 117, 196-199. https://doi.org/10.1016/j.econlet.2012.04.081
  • Engle, R.F. and Granger, C.W. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica: Journal of the Econometric Society, 55(2), 251-276. https://doi.org/10.2307/1913236
  • Fahlevi, M. (2019). The influence of exchange rate, interest rate and inflation on stock price of LQ45 index in Indonesia. In W. Striełkowski et al. (Eds.), Advances in social science, education and humanities research (pp. 157-163). Papers presented at the First International Conference on Administration Science (ICAS 2019), Bandung, Indonesia: Atlantis Press.
  • Flannery, M.J. and Protopapadakis, A.A. (2002). Macroeconomic factors do influence aggregate stock returns. The Review of Financial Studies, 15(3), 751-782. https://doi.org/10.1093/rfs/15.3.751
  • Gan, C., Lee, M., Yong, H.H.A. and Zhang, J. (2006). Macroeconomic variables and stock market interactions: New Zealand evidence. Investment Management and Financial Innovations, 3(4), 89-101. Retrieved from https://www.businessperspectives.org/
  • Gençtürk, M. (2009). Finansal kriz dönemlerinde makroekonomik faktörlerin hisse senedi fiyatlarına etkisi. Suleyman Demirel University Journal of Faculty of Economics & Administrative Sciences, 14(1), 127-136. Retrieved from https://dergipark.org.tr/tr/pub/sduiibfd
  • Hanitha, V., Yoyo, T. and Silaswara, D. (2022). Analysis effect of BI Rates, inflation, and exchange rates on the composite stock price index on the Indonesia Stock Exchange 2016-2021. Akuntoteknologi, 14(1), 1–10. https://doi.org/10.31253/aktek.v14i1.1423
  • Hatemi-j, A. (2012). Asymmetric causality tests with an application. Empirical Economics, 43, 447-456. https://doi.org/10.1007/s00181-011-0484-x
  • Herve, D.B.G., Chanmalai, B. and Shen, Y. (2011). The study of causal relationship between stock market indices and macroeconomic variables in Cote d'Ivoire: Evidence from error-correction models and Granger causality test. International Journal of Business and Management, 6(12), 146-169. Retrieved from https://pdfs.semanticscholar.org/
  • Ilgın, K.S. ve Sarı, S.S. (2020). Döviz kuru, faiz oranı ve enflasyon ile BIST tüm ve BIST sektörel endeksler arasındaki ilişkinin ampirik analizi. Ekonomi, Politika & Finans Araştırmaları Dergisi, 5(3), 485-510. https://doi.org/10.30784/epfad.693266
  • Imegi, J.C. (2014). Impact of financial liberalization on stock market volatility in Nigeria. Journal of Business and Retail Management Research, 8(2), 80-87. Retrieved from https://jbrmr.com/
  • IMF. (2023) International financial statistics [Dataset]. https://data.imf.org/?sk=4c514d48-b6ba-49ed-8ab9-52b0c1a0179b&sId=-1.
  • Jareño, F. and Negrut, L. (2016). US stock market and macroeconomic factors. Journal of Applied Business Research (JABR), 32(1), 325-340. https://doi.org/10.19030/jabr.v32i1.9541
  • Koyuncu, T. (2018). BİST-100 endeksinin makroekonomik değişkenler ile ilişkisi: Ampirik bir çalışma. Finans Ekonomi ve Sosyal Araştırmalar Dergisi, 3(3), 615-624. https://doi.org/10.29106/fesa.423051
  • Kydland, F.E. and Prescott, E.C. (1977). Rules rather than discretion: The inconsistency of optimal plans. Journal of Political Economy, 85(3), 473-491. http://dx.doi.org/10.1086/260580
  • Lee, J.W. and Brahmasrene, T. (2018). An exploration of dynamical relationships between macroeconomic variables and stock prices in Korea. Journal of Asian Finance, Economics and Business, 5(3), 7-17. Retrieved from https://papers.ssrn.com/
  • Maghayereh, A. (2003). Equity markets integration in the Middle East region. Academy of Accounting and Financial Studies, 8(2), 73. Retrieved from https://www.proquest.com/
  • Masuduzzaman, M. (2012). Impact of the macroeconomic variables on the stock market returns: The case of Germany and the United Kingdom. Global Journal of Management and Business Research, 12(16), 22-34. Retrieved from https://journalofbusiness.org/
  • Maysami, R.C., Howe, L.C. and Hamzah, M.A. (2004). Relationship between macroeconomic variables and stock market indices: Cointegration evidence from stock exchange of Singapore’s All-S sector indices. Jurnal Pengurusan, 24(1), 47-77. Retrieved from https://core.ac.uk/
  • Melyani, I. and Esra, M.A. (2021). Pengaruh Inflasi, suku bunga, dan nilai tukar terhadap indeks harga saham gabungan periode 2016–2018. Jurnal Ilmiah Manajemen Dan Bisnis, 6(1), 50-59. https://doi.org/10.38043/jimb.v6i1.3060
  • Mirza, N., Naqvi, B., Rizvi, S.K.A. and Boubaker, S. (2023). Exchange rate pass-through and inflation targeting regime under energy prices shocks. Energy Economics, 124, 106761. https://doi.org/10.1016/j.eneco.2023.106761
  • Nazlioglu, S., Gormus, N.A. and Soytas, U. (2016). Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis. Energy Economics, 60, 168-175. https://doi.org/10.1016/j.eneco.2016.09.009
  • Ouma, W.N. and Muriu, P. (2014). The impact of macroeconomic variables on stock market returns in Kenya. International Journal of Business and Commerce, 3(11), 1-31. Retrieved from www.ijbcnet.com
  • Özdemir, K. ve Kaderli, Y. (2019). Enflasyon oranı faiz oranı ve döviz kurlarında yaşanan değişimlerin firmaların sermaye yapısı üzerindeki etkisi: BIST 100’deki imalat firmaları üzerine bir uygulama. Turan: Stratejik Araştırmalar Merkezi, 11(43), 448-453. Erişim adresi: https://turansam.com/dergi-arsivi/
  • Özer, A., Kaya, A. ve Özer, N. (2011). Hisse senedi fiyatları ile makroekonomik değişkenlerin etkileşimi. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 26(1), 163-182. Erişim adresi: https://dergipark.org.tr/en/pub/deuiibfd/
  • Özmen, M., Karlılar, S. ve Kıral, G. (2017). Türkiye için döviz kuru, faiz ve enflasyonun hisse senedi getirileri üzerine etkileri. Çukurova Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 21(1), 107-120. Erişim adresi: https://dergipark.org.tr/en/pub/cuiibfd/
  • Park, K. and Ratti, R.A. (2000). Real activity, inflation, stock returns, and monetary policy. Financial Review, 35(2), 59-78. https://doi.org/10.1111/j.1540-6288.2000.tb01414.x
  • Ross, S. (1976). The arbitrage pricing theory. Journal of Economic Theory, 13(3), 341-360. https://doi.org/10.1016/0022-0531(76)90046-6
  • Sezal, L. (2020). 2018 Ağustos krizinin Türk bankacılık sektörüne etkisi. Journal of Economics and Research, 1(1), 17-32. Retrieved from https://dergipark.org.tr/en/pub/jer/
  • TCMB. (2024). Para politikası kararları, madde 9. Erişim adresi: https://www.tcmb.gov.tr/wps/wcm/connect/2f2339a6-da56-4203-9b6d-2e54ec2e0f9d/2024Parapolitikasi.pdf?MOD=AJPERES
  • Toda, H.Y. and Yamamoto, T. (1995). Statistical inference in vector autoregression with possibly integrated processes. Journal of Econometrics, 66, 225–250. https://doi.org/10.1016/0304- 4076(94)01616-8
  • Unal, S. (2021). Döviz kuru ve faiz oranlarının sektör bazında hisse senedi getirilerine etkileri: Borsa İstanbul örneği. Muhasebe Bilim Dünyası Dergisi, 23(3), 495-511. https://doi.org/10.31460/mbdd.823301
  • Ünal, S. ve Karaş, G. (2021). Borsa ve makroekonomik faktörler arasındaki etkileşim: BIST100 örneği. Yönetim ve Ekonomi Dergisi, 28(1), 169–185. https://doi.org/10.18657/yonveek.786068
  • Ünal Ergin, A., Nas, S. ve Heybeli, M. (2022). Seçilmiş makroekonomik değişkenler ve beklenti endekslerinin BİST 100 endeksi üzerine etkisi. Sosyoekonomi, 30(54), 443-466. https://doi.org/10.17233/sosyoekonomi.2022.04.23
  • Wismantara, S.Y. and Darmayanti, N.P.A. (2017). Pengaruh nilai tukar, suku bunga dan inflasi terhadap indeks harga saham gabungan di bursa efek Indonesia. E-Jurnal Manajemen Universitas Udayana, 6(8), 4391–4421. Retrieved from https://ojs.unud.ac.id/index.php/manajemen/index
  • Yıldız, B. ve Şanlı, O. (2023). Makroekonomik göstergeler ile borsa endeksleri arasındaki ilişki ve Covid-19 etkisinin incelenmesi. International Journal of Social Humanities Sciences Research, 10(93), 628-644. https://doi.org/10.26450/jshsr.3587
  • Zivot, E. and Andrews, W.K. (1992). Further evidence on the great crash, the oil-price shock, and the unit root hypothesis. Journal of Business and Economic Statistics, 10(3), 251-270. https://doi.org/10.1198/073500102753410372

Türkiye Pay Senedi Piyasası ve Makroekonomik Değişkenler Arasındaki İlişkiler

Year 2024, Volume: 9 Issue: 1, 140 - 158, 29.03.2024

Elif Hilal Nazlıoğlu

https://doi.org/10.30784/epfad.1424089

Abstract

Bu çalışmanın amacı Türkiye için pay senedi piyasaları ve makroekonomik değişkenler arasındaki ilişkileri incelemektir. Bu amaçla çalışmada Borsa İstanbul 100 endeksi (BIST100), tüketici fiyat endeksi (TUFE), politika faiz oranı ve döviz kuru (Dolar/TL) değişkenleri, Ocak 2000 – Ekim 2023 dönemi için aylık frekansta ele alınmıştır. Çalışmada değişkenler arasındaki ilişkileri zaman serisi yöntemleri ile incelemek için Toda - Yamamoto ve Fourier Toda-Yamamoto nedensellik testleri kullanılmıştır. Sonuçlar Türkiye’de politika faizinden pay senedi piyasalarına tek yönlü nedensellik ilişkisi, TUFE ve Dolar/TL arasında çift yönlü nedensellik ilişkisi ve BIST100’den Dolar/TL’ye tek yönlü nedensellik ilişkisi olduğunu göstermektedir. Politika faiz oranı ve Dolar/TL döviz kuru ile TUFE ve BIST100 arasından nedensellik ilişkisi bulunamamıştır. Hem TY hem de FTY nedensellik analizinden elde edilen bulguların paralel olması seçili değişkenlerin Fourier eğilimlere sahip olduğunu kanıtlamaktadır. Buradan hareketle politika faiz oranındaki bir değişim BIST100’ü etkilemekte iken BIST100’deki bir değişim Dolar/TL’yi etkilemektedir. Bu bulgular yatırımcılar, politika yapıcılar ve araştırmacılar için yeni bilgiler sağlamaktadır.

Keywords

Borsa Enflasyon Faiz Oranı Döviz Kuru Nedensellik

Ethical Statement

Etik kurul izni ve/veya yasal/özel izin alınmasına gerek olmayan bu çalışmada araştırma ve yayın etiğine uyulmuştur.

Supporting Institution

yok

Thanks

yok

References

  • Aktaş, M. ve Akdağ, S. (2013). Türkiye’de ekonomik faktörlerin hisse senedi fiyatları ile ilişkilerinin araştırılması. International Journal Social Science Research, 2(2), 50-67. Erişim adresi: https://dergipark.org.tr/en/pub/ijssresearch/
  • Al Amin, I. and Sholahuddin, M. (2023). The effect of inflation, interest rates, and USD exchange on the Indonesian sharia stock index (ISSI) period 2019-2022. International Journal of Applied Finance and Business Studies, 11(1), 50-58. https://doi.org/10.35335/ijafibs.v11i1.85
  • Alam, Z. and Rashid, K. (2014). Time series analysis of the relationship between macroeconomic factors and the stock market returns in Pakistan. Yaşar Üniversitesi E-Dergisi, 9(36), 6361-6370. https://doi.org/10.19168/jyu.55431
  • Arsić, M., Mladenović, Z. and Nojković, A. (2022). Macroeconomic performance of inflation targeting in European and Asian emerging economies. Journal of Policy Modeling, 44(3), 675-700. https://doi.org/10.1016/j.jpolmod.2022.06.002
  • Balcilar, M., Ozdemir, Z.A. and Arslanturk, Y. (2010). Economic growth and energy consumption causal nexus viewed through a bootstrap rolling window. Energy Economics, 32(6), 1398-1410. https://doi.org/10.1016/j.eneco.2010.05.015
  • Bhuiyan, E.M. and Chowdhury, M. (2020). Macroeconomic variables and stock market indices: Asymmetric dynamics in the US and Canada. The Quarterly Review of Economics and Finance, 77, 62-74. https://doi.org/10.1016/j.qref.2019.10.005
  • Calvo, G.A. (1978). On the time consistency of optimal policy in a monetary economy. Econometrica: Journal of the Econometric Society, 6, 1411-1428. https://doi.org/10.2307/1913836
  • Chen, N.F., Roll, R. and Ross, S.A. (1986). Economic forces and the stock market. Journal of Business, 59(3), 383-403. Retrieved from https://www.jstor.org/
  • Dickey, D.A. and Fuller, W.A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Society, 75, 427–431. https://doi.org/10.1080/01621459.1979.10482531
  • Durukan, M.B. (1999). On the relationship between stock prices and macroeconomic variables in Istanbul Stock Exchange. Istanbul Stock Exchange Review, 3(11), 21-50. Retrieved from https://www.borsaistanbul.com/datum/imkbdergi/
  • Enders, W. and Lee, J. (2012). The flexible Fourier form and Dickey-Fuller type unit root tests. Economics Letters, 117, 196-199. https://doi.org/10.1016/j.econlet.2012.04.081
  • Engle, R.F. and Granger, C.W. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica: Journal of the Econometric Society, 55(2), 251-276. https://doi.org/10.2307/1913236
  • Fahlevi, M. (2019). The influence of exchange rate, interest rate and inflation on stock price of LQ45 index in Indonesia. In W. Striełkowski et al. (Eds.), Advances in social science, education and humanities research (pp. 157-163). Papers presented at the First International Conference on Administration Science (ICAS 2019), Bandung, Indonesia: Atlantis Press.
  • Flannery, M.J. and Protopapadakis, A.A. (2002). Macroeconomic factors do influence aggregate stock returns. The Review of Financial Studies, 15(3), 751-782. https://doi.org/10.1093/rfs/15.3.751
  • Gan, C., Lee, M., Yong, H.H.A. and Zhang, J. (2006). Macroeconomic variables and stock market interactions: New Zealand evidence. Investment Management and Financial Innovations, 3(4), 89-101. Retrieved from https://www.businessperspectives.org/
  • Gençtürk, M. (2009). Finansal kriz dönemlerinde makroekonomik faktörlerin hisse senedi fiyatlarına etkisi. Suleyman Demirel University Journal of Faculty of Economics & Administrative Sciences, 14(1), 127-136. Retrieved from https://dergipark.org.tr/tr/pub/sduiibfd
  • Hanitha, V., Yoyo, T. and Silaswara, D. (2022). Analysis effect of BI Rates, inflation, and exchange rates on the composite stock price index on the Indonesia Stock Exchange 2016-2021. Akuntoteknologi, 14(1), 1–10. https://doi.org/10.31253/aktek.v14i1.1423
  • Hatemi-j, A. (2012). Asymmetric causality tests with an application. Empirical Economics, 43, 447-456. https://doi.org/10.1007/s00181-011-0484-x
  • Herve, D.B.G., Chanmalai, B. and Shen, Y. (2011). The study of causal relationship between stock market indices and macroeconomic variables in Cote d'Ivoire: Evidence from error-correction models and Granger causality test. International Journal of Business and Management, 6(12), 146-169. Retrieved from https://pdfs.semanticscholar.org/
  • Ilgın, K.S. ve Sarı, S.S. (2020). Döviz kuru, faiz oranı ve enflasyon ile BIST tüm ve BIST sektörel endeksler arasındaki ilişkinin ampirik analizi. Ekonomi, Politika & Finans Araştırmaları Dergisi, 5(3), 485-510. https://doi.org/10.30784/epfad.693266
  • Imegi, J.C. (2014). Impact of financial liberalization on stock market volatility in Nigeria. Journal of Business and Retail Management Research, 8(2), 80-87. Retrieved from https://jbrmr.com/
  • IMF. (2023) International financial statistics [Dataset]. https://data.imf.org/?sk=4c514d48-b6ba-49ed-8ab9-52b0c1a0179b&sId=-1.
  • Jareño, F. and Negrut, L. (2016). US stock market and macroeconomic factors. Journal of Applied Business Research (JABR), 32(1), 325-340. https://doi.org/10.19030/jabr.v32i1.9541
  • Koyuncu, T. (2018). BİST-100 endeksinin makroekonomik değişkenler ile ilişkisi: Ampirik bir çalışma. Finans Ekonomi ve Sosyal Araştırmalar Dergisi, 3(3), 615-624. https://doi.org/10.29106/fesa.423051
  • Kydland, F.E. and Prescott, E.C. (1977). Rules rather than discretion: The inconsistency of optimal plans. Journal of Political Economy, 85(3), 473-491. http://dx.doi.org/10.1086/260580
  • Lee, J.W. and Brahmasrene, T. (2018). An exploration of dynamical relationships between macroeconomic variables and stock prices in Korea. Journal of Asian Finance, Economics and Business, 5(3), 7-17. Retrieved from https://papers.ssrn.com/
  • Maghayereh, A. (2003). Equity markets integration in the Middle East region. Academy of Accounting and Financial Studies, 8(2), 73. Retrieved from https://www.proquest.com/
  • Masuduzzaman, M. (2012). Impact of the macroeconomic variables on the stock market returns: The case of Germany and the United Kingdom. Global Journal of Management and Business Research, 12(16), 22-34. Retrieved from https://journalofbusiness.org/
  • Maysami, R.C., Howe, L.C. and Hamzah, M.A. (2004). Relationship between macroeconomic variables and stock market indices: Cointegration evidence from stock exchange of Singapore’s All-S sector indices. Jurnal Pengurusan, 24(1), 47-77. Retrieved from https://core.ac.uk/
  • Melyani, I. and Esra, M.A. (2021). Pengaruh Inflasi, suku bunga, dan nilai tukar terhadap indeks harga saham gabungan periode 2016–2018. Jurnal Ilmiah Manajemen Dan Bisnis, 6(1), 50-59. https://doi.org/10.38043/jimb.v6i1.3060
  • Mirza, N., Naqvi, B., Rizvi, S.K.A. and Boubaker, S. (2023). Exchange rate pass-through and inflation targeting regime under energy prices shocks. Energy Economics, 124, 106761. https://doi.org/10.1016/j.eneco.2023.106761
  • Nazlioglu, S., Gormus, N.A. and Soytas, U. (2016). Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis. Energy Economics, 60, 168-175. https://doi.org/10.1016/j.eneco.2016.09.009
  • Ouma, W.N. and Muriu, P. (2014). The impact of macroeconomic variables on stock market returns in Kenya. International Journal of Business and Commerce, 3(11), 1-31. Retrieved from www.ijbcnet.com
  • Özdemir, K. ve Kaderli, Y. (2019). Enflasyon oranı faiz oranı ve döviz kurlarında yaşanan değişimlerin firmaların sermaye yapısı üzerindeki etkisi: BIST 100’deki imalat firmaları üzerine bir uygulama. Turan: Stratejik Araştırmalar Merkezi, 11(43), 448-453. Erişim adresi: https://turansam.com/dergi-arsivi/
  • Özer, A., Kaya, A. ve Özer, N. (2011). Hisse senedi fiyatları ile makroekonomik değişkenlerin etkileşimi. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 26(1), 163-182. Erişim adresi: https://dergipark.org.tr/en/pub/deuiibfd/
  • Özmen, M., Karlılar, S. ve Kıral, G. (2017). Türkiye için döviz kuru, faiz ve enflasyonun hisse senedi getirileri üzerine etkileri. Çukurova Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 21(1), 107-120. Erişim adresi: https://dergipark.org.tr/en/pub/cuiibfd/
  • Park, K. and Ratti, R.A. (2000). Real activity, inflation, stock returns, and monetary policy. Financial Review, 35(2), 59-78. https://doi.org/10.1111/j.1540-6288.2000.tb01414.x
  • Ross, S. (1976). The arbitrage pricing theory. Journal of Economic Theory, 13(3), 341-360. https://doi.org/10.1016/0022-0531(76)90046-6
  • Sezal, L. (2020). 2018 Ağustos krizinin Türk bankacılık sektörüne etkisi. Journal of Economics and Research, 1(1), 17-32. Retrieved from https://dergipark.org.tr/en/pub/jer/
  • TCMB. (2024). Para politikası kararları, madde 9. Erişim adresi: https://www.tcmb.gov.tr/wps/wcm/connect/2f2339a6-da56-4203-9b6d-2e54ec2e0f9d/2024Parapolitikasi.pdf?MOD=AJPERES
  • Toda, H.Y. and Yamamoto, T. (1995). Statistical inference in vector autoregression with possibly integrated processes. Journal of Econometrics, 66, 225–250. https://doi.org/10.1016/0304- 4076(94)01616-8
  • Unal, S. (2021). Döviz kuru ve faiz oranlarının sektör bazında hisse senedi getirilerine etkileri: Borsa İstanbul örneği. Muhasebe Bilim Dünyası Dergisi, 23(3), 495-511. https://doi.org/10.31460/mbdd.823301
  • Ünal, S. ve Karaş, G. (2021). Borsa ve makroekonomik faktörler arasındaki etkileşim: BIST100 örneği. Yönetim ve Ekonomi Dergisi, 28(1), 169–185. https://doi.org/10.18657/yonveek.786068
  • Ünal Ergin, A., Nas, S. ve Heybeli, M. (2022). Seçilmiş makroekonomik değişkenler ve beklenti endekslerinin BİST 100 endeksi üzerine etkisi. Sosyoekonomi, 30(54), 443-466. https://doi.org/10.17233/sosyoekonomi.2022.04.23
  • Wismantara, S.Y. and Darmayanti, N.P.A. (2017). Pengaruh nilai tukar, suku bunga dan inflasi terhadap indeks harga saham gabungan di bursa efek Indonesia. E-Jurnal Manajemen Universitas Udayana, 6(8), 4391–4421. Retrieved from https://ojs.unud.ac.id/index.php/manajemen/index
  • Yıldız, B. ve Şanlı, O. (2023). Makroekonomik göstergeler ile borsa endeksleri arasındaki ilişki ve Covid-19 etkisinin incelenmesi. International Journal of Social Humanities Sciences Research, 10(93), 628-644. https://doi.org/10.26450/jshsr.3587
  • Zivot, E. and Andrews, W.K. (1992). Further evidence on the great crash, the oil-price shock, and the unit root hypothesis. Journal of Business and Economic Statistics, 10(3), 251-270. https://doi.org/10.1198/073500102753410372
There are 47 citations in total.

Details

Primary Language Turkish
Subjects Financial Economy
Journal Section Makaleler
Authors

Elif Hilal Nazlıoğlu 0000-0002-4425-7479

Publication Date March 29, 2024
Submission Date January 23, 2024
Acceptance Date March 28, 2024
Published in Issue Year 2024 Volume: 9 Issue: 1

Cite

APA Nazlıoğlu, E. H. (2024). Türkiye Pay Senedi Piyasası ve Makroekonomik Değişkenler Arasındaki İlişkiler. Ekonomi Politika Ve Finans Araştırmaları Dergisi, 9(1), 140-158. https://doi.org/10.30784/epfad.1424089
 Download Cover Image