Ekonomi ve Yönetim Araştırmaları Dergisi

Yazarlar: Hazar ALTINBAŞ, Nilgün KUTAY, Cenk AKKAYA

Konular:-

Anahtar Kelimeler:Macroeconomic factors,Stock returns,Multi factored models,Co integration,Vector auto regression,Granger causality

Özet: 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

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