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Micro and Macroeconomic Determinants of Stock Prices: The Case of Turkish Banking Sector

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  • Husam RJOUB

    (Department of Accounting and Finance, Faculty of Economics and Administrative Sciences, Cyprus International University, Mersin, Turkey)

  • Irfan CIVCIR

    (Department of Economics, Faculty of Political Sciences, Ankara University, Ankara, Turkey.)

  • Nil Gunsel RESATOGLU

    (Department of Banking and Finance, Faculty of Economics and Administrative Sciences, Near East University, Mersin, Turkey.)

Abstract

This paper investigates the relationship between Turkish banks stock prices and a set of micro and macro variables. The study carried out via applying a fixed panel data analysis and Dumitrescu and Hurlin panel Granger causality test for the period spans from 1995 3 rd quarter to 2015 4 th quarter. In general, both macro and micro variables can reliably price the bank stocks. Specifically, the findings show that asset quality, management quality, earning, size, money supply and interest rate are significantly related to stock price. Also, bidirectional causality found between bank size, asset quality, money supply and bank stock price. In other words, investors should pay attention to bank specific information in their decision. Moreover, the result indicates that bank stock prices react negatively to economic crisis.

Suggested Citation

  • Husam RJOUB & Irfan CIVCIR & Nil Gunsel RESATOGLU, 2017. "Micro and Macroeconomic Determinants of Stock Prices: The Case of Turkish Banking Sector," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 150-166, March.
    • Handle: RePEc:rjr:romjef:v::y:2017:i:1:p:150-166
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    More about this item

    Keywords

    Turkish banking sector; stock prices; micro and macro factors;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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