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The Relationships between the Turkish Stock Market and Macroeconomic Variables

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  • Elif Hilal Nazlıoğlu

Abstract

The objective of this study is to examine the relationships between stock markets and macroeconomic variables in Turkey. For this purpose, the Borsa Istanbul 100 index (BIST100), the consumer price index (TUFE), the policy interest rate and the exchange rate (dollar/TL) variables were discussed in the study at a monthly frequency for the period January 2000 - October 2023.The study used Toda - Yamamoto and Fourier Toda - Yamamoto causality tests to examine the relationships between variables using time series methods. The results show that there is a uni-directional causality from the policy rate to the stock markets in Turkey, a bi-directional causality from TUFE to Dollar/TL, and a uni-directional causality from BIST100 to Dollar/TL. No causality was found between the policy interest rate and the dollar/TL exchange rate and TUFE and BIST100. The fact that the results of the TY and FTY causality analyses are parallel is evidence that the selected variables have Fourier trends. Based on these findings, a change in the policy rate affects the BIST100, while a change in the BIST100 affects the Dollar/TL. These results provide new information for investors, policymakers, and researchers.

Suggested Citation

  • Elif Hilal Nazlıoğlu, 2024. "The Relationships between the Turkish Stock Market and Macroeconomic Variables," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 9(1), pages 140-158.
    • Handle: RePEc:ahs:journl:v:9:y:2024:i:1:p:140-158
    DOI: 10.30784/epfad.1424089
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    More about this item

    Keywords

    Borsa; Enflasyon; Faiz Oranı; Döviz Kuru; Nedensellik;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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