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MAKROEKONOMİK FAKTÖRLERİN HİSSE SENEDİ PİYASALARI ÜZERİNDEKİ ETKİSİ: BORSA İSTANBUL ÜZERİNE BİR UYGULAMA

Year 2015, Volume: 4 Issue: 2, 30 - 49, 01.12.2015

Hazar Altınbaş Nilgün Kutay Cenk Akkaya

Abstract

Çalışmada enflasyon, faiz oranı, döviz kuru, sanayi üretim endeksi ve petrol fiyatları faktörlerinin BİST-100 endeksi üzerindeki etkisi çok faktörlü regresyon modeli ile araştırılmış; endeks ile faktörler arasındaki karşılıklı nedensellik ilişkisinin tespitine yönelik Johansen eş bütünleşme testi, vektör hata düzeltme modeli ve Granger nedensellik testi uygulanmıştır. Sonuçta döviz kuru değişkeni BİST-100 üzerinde açıklayıcılığa sahip tek faktör olarak bulunmuştur. Sanayi ve döviz kurunun BİST-100’deki değişimlerin tahmin edilmesinde kullanılabileceği ancak tersinin geçerli olmadığı, BİST-100’ün yalnızca petrol değişkeni için Granger nedenselliğine sahip olduğu görülmüştür.

Keywords

Makroekonomik faktörler hisse senedi getirileri çok faktörlü modeller eş bütünleşme vektör oto regresyon Granger nedensellik

References

  • Alam, M. ve Uddin, G. S. (2009), Relationship Between Interest Rate and Stock Price: Empirical Evidence from Developed and Developing Countries. International Journal of Business and Management, 4 (3), 43–51.
  • Ali, I., Rehman, K. U., Yilmaz, A. K., Khan, M. A. ve Afzal, H. (2010), Causal Relationship Between Macro-Economic Indicators and Stock Exchange Prices in Pakistan. African Journal of Business Management, 4 (3), 312–319.
  • Aydemir, O. ve Demirhan, E. (2009), The Relationship Between Stock Prices and Exchange Rates: Evidence from Turkey, International Research Journal of Finance and Economics, 23 (23), 207–215.
  • Bilson, C. M., Brailsford, T. J. ve Hooper, V. J. (2001), Selecting Macroeconomic Variables as Explanatory Factors of Emerging Stock Market Returns, Pacific- Basin Finance Journal, 9, 401–426.
  • Buyuksalvarci, A. (2010), The Effects of Macroeconomics Variables on Stock Returns: Evidence from Turkey, European Journal of Social Sciences, 14 (3), 404–416.
  • Chen, N.-F., Roll, R. ve Ross, S. A. (1986), Economic Forces and The Stock Market, Journal of business, 59 (3), 383–403.
  • Dickey, D. A. ve Fuller, W. A. (1979), Distribution of the Estimators for Autoregressive Time Series with a Unit Root, Journal of the American Statistical Association, 74 (366), 427–431.
  • Eita, J. H. (2012), Modelling Macroeconomic Determinants Of Stock Market Prices: Evidence From Namibia, Journal of Applied Business Research (JABR), 28 (5), 871–884.
  • Faff, R. W. ve Brailsford, T. J. (1999), Oil Price Risk and The Australian Stock Market, Journal of Energy Finance & Development, 4 (1), 69–87.
  • Fedorova, E. A. ve Pankratov, K. A. (2010), Influence of Macroeconomic Factors on The Russian Stock Market, Studies on Russian Economic Development, 21 (2), 165–168.
  • Granger, C. W. J. (1969), Investigating Causal Relations by Econometric Models and Cross-Spectral Methods, Econometrica: Journal of the Econometric Society, 37 (3), 424–439.
  • Gutierrez, C. E. C., Souza, R. C. ve Guillén, O. T. de C. (2009), Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features, Brazilian Review of Econometrics, 29 (1), 24.
  • Hess, M. K. (2003), Sector Specific Impacts of Macroeconomic Fundamentals on The Swiss Stock Market, Financial Markets and Portfolio Management, 17 (2), 234–245.
  • Hondroyiannis, G. ve Papapetrou, E. (2001), Macroeconomic Influences on the Stock Market, Journal of Economics and Finance, 25 (1), 33–49.
  • Humpe, A. ve Macmillan, P. (2009), Can Macroeconomic Variables Explain Long-Term Stock Market Movements? A Comparison of the US and Japan, Applied Financial Economics, 19 (2), 111–119.
  • Johansen, S. (1991), Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models, Econometrica: Journal of the Econometric Society, 59 (6), 1551–1580.
  • Kadılar, C. ve Erdemir, C. (2002), Comparison of Performance Among Information Criteria in VAR and Seasonal Models, Hacettepe Journal of Mathematics and Statistics, 31, 127–137.
  • Kalra, R. (2012), Impact of Macroeconomic Variables on Indian Stock Market, The IUP Journal of Financial Risk Management, 9 (1), 43–54.
  • Kapusuzoglu, A. (2011), Relationships Between Oil Price and Stock Market: An Empirical Analysis from Istanbul Stock Exchange (ISE), International Journal of Economics and Finance, 3 (6), 99–106.
  • Kilian, L. ve Park, C. (2009), The Impact of Oil Price Shocks on the U.S. Stock Market, International Economic Review, 50 (4), 1267–1287.
  • Kwiatkowski, D., Phillips, P. C. B., Schmidt, P. ve Shin, Y. (1992), Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?, Journal of Econometrics, 54, 159–178.
  • Kwon, C. S., Shin, T. S. ve Bacon, F. W. (1997), The Effect of Macroeconomic Variables on Stock Market Returns in Developing Markets, Multinational Business Review, 5 (2), 63–70.
  • Lintner, J. (1969), The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets: A Reply, The Review of Economics and Statistics, 51 (2), 222–224.
  • Markowitz, H. (1952), Portfolio Selection*, The Journal of Finance, 7 (1), 77– 91.
  • Maysami, R. C., Lee, C. H. ve Hamzah, M. A. (2005), Relationship Between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence from Stock Exchange of Singapore’s All-S Sector Indices, Jurnal Pengurusan, 24, 47–77.
  • Mossin, J. (1966), Equilibrium in a Capital Asset Market, Econometrica: Journal of the Econometric Society, 34 (4), 768–783.
  • Ozbay, E. (2009), The Relationship Between Stock Returns and Macroeconomic Factors: Evidence from Turkey, Financial Analysis and Fund Management, University of Exeter.
  • Özcicek, Ö. ve McMillin, W. D. (1999), Lag Length Selection in Vector Autoregressive Models: Symmetric and Asymmetric Lags, Applied Economics, 31 (4), 517–524.
  • Pal, K. ve Mittal, R. (2011), Impact of Macroeconomic Indicators on Indian Capital Markets, The Journal of Risk Finance, 12 (2), 84–97.
  • Rapach, D. E., Wohar, M. E. ve Rangvid, J. (2005), Macro Variables and International Stock Return Predictability, International Journal of Forecasting, 21 (1), 137–166.
  • Roll, R. ve Ross, S. A. (1980), An Empirical Investigation of the Arbitrage Pricing Theory, The Journal of Finance, 35 (5), 1073–1103.
  • Sayılgan, G., Süslü, C. (2011), Makroekonomik Faktörlerin Hisse Senedi Getirilerine Etkisi: Türkiye ve Gelişmekte Olan Piyasalar Üzerine Bir İnceleme, BDDK Bankacılık ve Finansal Piyasalar, 5 (1), 73-96.
  • Sharpe, W. F. (1964), Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk*, The Journal of Finance, 19 (3), 425–442.
  • Singh, T., Mehta, S. ve Varsha, M. (2011), Macroeconomic factors and stock returns: Evidence from Taiwan, Journal of Economics and International Finance, 2 (4), 217–227.
  • Suvanujasiri, A., Boriboon, N. ve Ahmadi, H. Z. (2010), The Influence of Economc Factors on the Performance of Thailand Major Stocks Equity Market by Multi-Factor Model, Journal of International Finance and Economics, 10 (2), 32–53.
  • Tangjitprom, N. (2012), Macroeconomic Factors of Emerging Stock Market: The Evidence from Thailand, International Journal of Financial Research, 3 (2), 105–115.

THE EFFECTS OF MACROECONOMIC FACTORS ON STOCK MARKETS: AN APPLICATION IN BORSA ISTANBUL

Year 2015, Volume: 4 Issue: 2, 30 - 49, 01.12.2015

Hazar Altınbaş Nilgün Kutay Cenk Akkaya

Abstract

In this study, the effects of factors on BIST-100 index that are inflation, interest rate, exchange rate, industrial production index and oil prices are investigated by a multifactor regression model; Johansen co integration test, vector error correction model and Granger causality test are performed in order to determine the mutual causality relation between factors and stock market index. As a result, exchange rate is found as the only factor that explains BIST-100. Industry production index and exchange rate can be used to predict changes in BIST-100 but opposite is not valid; BIST-100 Granger causes only oil price factor

Keywords

Macroeconomic factors stock returns multi factored models co integration vector auto regression Granger causality

References

  • Alam, M. ve Uddin, G. S. (2009), Relationship Between Interest Rate and Stock Price: Empirical Evidence from Developed and Developing Countries. International Journal of Business and Management, 4 (3), 43–51.
  • Ali, I., Rehman, K. U., Yilmaz, A. K., Khan, M. A. ve Afzal, H. (2010), Causal Relationship Between Macro-Economic Indicators and Stock Exchange Prices in Pakistan. African Journal of Business Management, 4 (3), 312–319.
  • Aydemir, O. ve Demirhan, E. (2009), The Relationship Between Stock Prices and Exchange Rates: Evidence from Turkey, International Research Journal of Finance and Economics, 23 (23), 207–215.
  • Bilson, C. M., Brailsford, T. J. ve Hooper, V. J. (2001), Selecting Macroeconomic Variables as Explanatory Factors of Emerging Stock Market Returns, Pacific- Basin Finance Journal, 9, 401–426.
  • Buyuksalvarci, A. (2010), The Effects of Macroeconomics Variables on Stock Returns: Evidence from Turkey, European Journal of Social Sciences, 14 (3), 404–416.
  • Chen, N.-F., Roll, R. ve Ross, S. A. (1986), Economic Forces and The Stock Market, Journal of business, 59 (3), 383–403.
  • Dickey, D. A. ve Fuller, W. A. (1979), Distribution of the Estimators for Autoregressive Time Series with a Unit Root, Journal of the American Statistical Association, 74 (366), 427–431.
  • Eita, J. H. (2012), Modelling Macroeconomic Determinants Of Stock Market Prices: Evidence From Namibia, Journal of Applied Business Research (JABR), 28 (5), 871–884.
  • Faff, R. W. ve Brailsford, T. J. (1999), Oil Price Risk and The Australian Stock Market, Journal of Energy Finance & Development, 4 (1), 69–87.
  • Fedorova, E. A. ve Pankratov, K. A. (2010), Influence of Macroeconomic Factors on The Russian Stock Market, Studies on Russian Economic Development, 21 (2), 165–168.
  • Granger, C. W. J. (1969), Investigating Causal Relations by Econometric Models and Cross-Spectral Methods, Econometrica: Journal of the Econometric Society, 37 (3), 424–439.
  • Gutierrez, C. E. C., Souza, R. C. ve Guillén, O. T. de C. (2009), Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features, Brazilian Review of Econometrics, 29 (1), 24.
  • Hess, M. K. (2003), Sector Specific Impacts of Macroeconomic Fundamentals on The Swiss Stock Market, Financial Markets and Portfolio Management, 17 (2), 234–245.
  • Hondroyiannis, G. ve Papapetrou, E. (2001), Macroeconomic Influences on the Stock Market, Journal of Economics and Finance, 25 (1), 33–49.
  • Humpe, A. ve Macmillan, P. (2009), Can Macroeconomic Variables Explain Long-Term Stock Market Movements? A Comparison of the US and Japan, Applied Financial Economics, 19 (2), 111–119.
  • Johansen, S. (1991), Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models, Econometrica: Journal of the Econometric Society, 59 (6), 1551–1580.
  • Kadılar, C. ve Erdemir, C. (2002), Comparison of Performance Among Information Criteria in VAR and Seasonal Models, Hacettepe Journal of Mathematics and Statistics, 31, 127–137.
  • Kalra, R. (2012), Impact of Macroeconomic Variables on Indian Stock Market, The IUP Journal of Financial Risk Management, 9 (1), 43–54.
  • Kapusuzoglu, A. (2011), Relationships Between Oil Price and Stock Market: An Empirical Analysis from Istanbul Stock Exchange (ISE), International Journal of Economics and Finance, 3 (6), 99–106.
  • Kilian, L. ve Park, C. (2009), The Impact of Oil Price Shocks on the U.S. Stock Market, International Economic Review, 50 (4), 1267–1287.
  • Kwiatkowski, D., Phillips, P. C. B., Schmidt, P. ve Shin, Y. (1992), Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?, Journal of Econometrics, 54, 159–178.
  • Kwon, C. S., Shin, T. S. ve Bacon, F. W. (1997), The Effect of Macroeconomic Variables on Stock Market Returns in Developing Markets, Multinational Business Review, 5 (2), 63–70.
  • Lintner, J. (1969), The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets: A Reply, The Review of Economics and Statistics, 51 (2), 222–224.
  • Markowitz, H. (1952), Portfolio Selection*, The Journal of Finance, 7 (1), 77– 91.
  • Maysami, R. C., Lee, C. H. ve Hamzah, M. A. (2005), Relationship Between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence from Stock Exchange of Singapore’s All-S Sector Indices, Jurnal Pengurusan, 24, 47–77.
  • Mossin, J. (1966), Equilibrium in a Capital Asset Market, Econometrica: Journal of the Econometric Society, 34 (4), 768–783.
  • Ozbay, E. (2009), The Relationship Between Stock Returns and Macroeconomic Factors: Evidence from Turkey, Financial Analysis and Fund Management, University of Exeter.
  • Özcicek, Ö. ve McMillin, W. D. (1999), Lag Length Selection in Vector Autoregressive Models: Symmetric and Asymmetric Lags, Applied Economics, 31 (4), 517–524.
  • Pal, K. ve Mittal, R. (2011), Impact of Macroeconomic Indicators on Indian Capital Markets, The Journal of Risk Finance, 12 (2), 84–97.
  • Rapach, D. E., Wohar, M. E. ve Rangvid, J. (2005), Macro Variables and International Stock Return Predictability, International Journal of Forecasting, 21 (1), 137–166.
  • Roll, R. ve Ross, S. A. (1980), An Empirical Investigation of the Arbitrage Pricing Theory, The Journal of Finance, 35 (5), 1073–1103.
  • Sayılgan, G., Süslü, C. (2011), Makroekonomik Faktörlerin Hisse Senedi Getirilerine Etkisi: Türkiye ve Gelişmekte Olan Piyasalar Üzerine Bir İnceleme, BDDK Bankacılık ve Finansal Piyasalar, 5 (1), 73-96.
  • Sharpe, W. F. (1964), Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk*, The Journal of Finance, 19 (3), 425–442.
  • Singh, T., Mehta, S. ve Varsha, M. (2011), Macroeconomic factors and stock returns: Evidence from Taiwan, Journal of Economics and International Finance, 2 (4), 217–227.
  • Suvanujasiri, A., Boriboon, N. ve Ahmadi, H. Z. (2010), The Influence of Economc Factors on the Performance of Thailand Major Stocks Equity Market by Multi-Factor Model, Journal of International Finance and Economics, 10 (2), 32–53.
  • Tangjitprom, N. (2012), Macroeconomic Factors of Emerging Stock Market: The Evidence from Thailand, International Journal of Financial Research, 3 (2), 105–115.
There are 36 citations in total.

Details

Primary Language Turkish
Journal Section Research Article
Authors

Hazar Altınbaş

Nilgün Kutay This is me

Cenk Akkaya This is me

Publication Date December 1, 2015
Published in Issue Year 2015 Volume: 4 Issue: 2

Cite

APA Altınbaş, H., Kutay, N., & Akkaya, C. (2015). MAKROEKONOMİK FAKTÖRLERİN HİSSE SENEDİ PİYASALARI ÜZERİNDEKİ ETKİSİ: BORSA İSTANBUL ÜZERİNE BİR UYGULAMA. Ekonomi Ve Yönetim Araştırmaları Dergisi, 4(2), 30-49.