Shafiqa NOORIE, Ekrem MERİÇ, Selim YILDIRIM, Ethem ESEN

ANALYSIS OF THE RELATIONSHIP BETWEEN MACROECONOMIC VARIABLES and BIST-30 STOCK RETURNS

In addition to the fundamental macroeconomic indicators such as inflation andinterest rate which are very important for foreign investors, the Credit Default Swap (CDS),that shows the credit risk level of the country, is an important research topic. Therefore, inthis study, it is aimed to examine the effects of Turkey CDS and selected macroeconomicvariables on the Istanbul Stock Exchange (ISE) 30 index (XU30). For this purpose, GrangerCausality Relations, Impulse-Response Charts and Variance decomposition were madeunder the VAR model for 2010: 06 and 2020: 02 monthly periods. According to the resultsof the study, it was concluded that there was no Granger Causality relationship fromvariables to XU30 and XU30 stock returns toward selected macroeconomic indices either.However, it is found that shocks in CDS for two and a half months were responded negativelyby XU30 returns at the significant beginning. Also, the positive and significant impact ofthe interest rate is worth to consider.

MAKROEKONOMİK DEĞİŞKENLER ve BIST-30 GETİRİLERİ ARASINDAKİ İLİŞKİNİN ANALİZİ

Uluslararası yatırımcılar için çok önemli olan enflasyon ve faiz oranı gibi temel makroekonomik göstergelere ek olarak, ülkenin kredi riski seviyesini gösteren Kredi Temerrüt Takas (CDS) önemli bir araştırma konusudur. Bu nedenle, bu çalışmada CDS rakamlarının ve seçilmiş makroekonomik değişkenlerin Borsa İstanbul’da BİST 30 (XU30) üzerindeki etkilerinin incelenmesi amaçlanmıştır. Bu amaçla 2010: 06 ve 2020: 02 aylık dönemlerine ait verileri alınarak VAR modeli kapsamında Granger Nedensellik İlişkileri, Etki-Tepki Grafikleri ve Varyans Ayrışması analiz edilmiştir. Çalışmanın sonuçlarına göre, değişkenlerden XU30'a ve XU30 hisse senedi getirilerinden seçilen makroekonomik endekslere doğru Granger Nedensellik ilişkisi olmadığı sonucuna varılmıştır. Bununla birlikte, CDS'deki şokların iki buçuk ay boyunca, başlangıçta anlamlı XU30 getirileri ile olumsuz yanıt verdiği bulunmuştur. Ayrıca faiz oranında gerçekleşen bir şokla son üç dönemde XU30 endeksi olumlu tepki verdiği dikkat çekmiştir.

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