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The Relationship Between the Capital Market and Composite Leading Indicators Under Economic Uncertainty: An Examination of Bist

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  • Bülent Yıldız

    (Aydin Adnan Menderes University)

Abstract

This research investigates the effects of composite leading indicators (bog) and economic uncertainty (ecsu) on the bist100 index. Utilizing monthly data from the 2010:01–2024:12 period, the johansen cointegration test indicates the presence of long-run relationships among the variables. The vector error correction model (vecm) reveals a statistically significant error correction term, suggesting that the system tends to return to equilibrium in the long term. While bog and ecsu exert a positive and significant short-term impact on bist100, bog has a positive and ecsu has a negative long-term effect. According to the granger causality analysis, a unidirectional causality from bist100 to bog is detected, whereas no granger causality is found from bog and ecsu to bist100. The limited number of empirical studies jointly analyzing bog and uncertainty measures enhances the originality of this research. Reducing economic uncertainty and monitoring leading indicators are crucial for ensuring market stability.

Suggested Citation

  • Bülent Yıldız, 2025. "The Relationship Between the Capital Market and Composite Leading Indicators Under Economic Uncertainty: An Examination of Bist," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 40(124), pages 394-424, October.
    • Handle: RePEc:acc:malfin:v:40:y:2025:i:124:p:394-424
    DOI: https://doi.org/10.33203/mfy.1746671
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    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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