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What Determined Stock Returns in Turkey from 1990 to 2022: Evidence from Structural Break Regression

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  • Mercan Hatipoglu

    (Cankiri Karatekin University, Faculty of Economics, Administrative and Social Sciences, Department of Business, Cankiri, Turkiye)

Abstract

This study reassesses the impact of key macroeconomic variables (industrial production, interest rate, inflation, money supply, trading volume, US dollar, oil, and gold prices) on Turkish stock from 1990:01 to 2022:01. The article uses a breakpoint regression model considering the possibility of a structural break in the relationship between stocks and economic variables over time. According to the model, the structural break date was determined to be May 2004. Before the structural break, only the interest rate, money supply, and trading volume statistically affected the stock market return. After May 2004, oil prices and the US dollar rate also started to have an impact on the Borsa Istanbul-100 index. The empirical results underline that the effect of economic factors on the stock market is not constant, and investors’ decisions are shaped around reforms that only affect economic policies in Turkiye.

Suggested Citation

  • Mercan Hatipoglu, 2023. "What Determined Stock Returns in Turkey from 1990 to 2022: Evidence from Structural Break Regression," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, vol. 73(73-1), pages 185-202, June.
    • Handle: RePEc:ist:journl:v:73:y:2023:i:1:p:185-202
    DOI: 10.26650/ISTJECON2022-1161840
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    More about this item

    Keywords

    Stock return; Macroeconomic variables; Structural break regression; Turkiye JEL Classification: G1 ; G12 ; G15;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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