THE IMPACT OF MACROECONOMIC VARIABLES ON STOCK RETURNS IN TURKEY: AN ARDL BOUNDS TESTING APPROACH

Bu makalenin amacı hisse senedi getirileri ile geniş para arzı , endüstriyel üretim , reel efektif döviz kuru oranları,uzun dönem yerel faiz oranları ve yabancı faiz oranları arasındaki uzun ve kısa dönemli ilişkileri araştırmaktır. Eş bütünleşme için ARDL yönetimi kullanılmıştır. Birçok makro değişken ile hisse senedi getirileri arasında uzun dönemli eş bütünleşme kanıtı bulunmuştur.

Anahtar Kelimeler:

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THE IMPACT OF MACROECONOMIC VARIABLES ON STOCK RETURNS IN TURKEY: AN ARDL BOUNDS TESTING APPROACH

This paper aims to investigate both the long-run and short-run relationships between stock returns and broad money supply, industrial production, real effective exchange rates, long term domestic interest rates, and foreign interest rates. Using the ARDL approach to cointegration, we find evidence of long-run cointegrating relationship between stock return and various macro variables. Results of the parameter stability tests indicate that the structure of the parameters has not diverged abnormally over the period of the analysis.

Keywords:

Stock market, cointegration, error-correction modelling Turkey,

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