Browsing by Subject "Macroeconomic variables"

Now showing 1 - 4 of 4

Open Access
Efficiency of Istanbul Stock Exchange with respect to macroeconomic variables: a study using Granger causality
(1996) Özer, Murat
The purpose o f this study is to test the efficiency of Turkish security market with respect to a number o f macroeconomic variables, using multivariate Granger causality tests in conjunction with Akaike's final prediction error(FPE) criterion. The data set includes the daily values o f the Istanbul Exchange Index and macroecononomic variables between the years 1988-1994. The testing period is divided into sub-periods, based on the levels o f trading volume which represents the different developmental phases of the market. The empirical results showed that the macroeconomic variables effecting the stock prices change through time, in accordance to the changing market characteristics. Therefore, the success of any model over the estimation period does not guarantee that the same model will perform well outside the testing period.
Open Access
Financial crisis and changes in determinants of risk and return: an empirical investigation of an emerging market (ISE)
(Multinational Finance Society, 1999) Muradoglu, G.; Berument, Hakan; Metin, K.
This paper examines how determinants of volatility and stock returns change with financial crisis. The contributions of the paper are twofold. First, using a GARCH-M framework, risk and return are jointly modeled by using macroeconomic variables both in the variance and the mean equations. The conditional variance equation is specified by including macro-economic variables, a relevant information set for emerging economies, that is often overlooked in various GARCH specifications. Second, determinants of risk and return are investigated before during and after a major financial crisis at ISE. We show that, both the determinants of risk and the risk-return relationship change as the economy switches from one regime to the other.
Open Access
Impact of global and domestic macroeconomic variables on Borsa Istanbul Stock returns
(2013-08) Fırat, Mustafa
This study investigates the impact of global and domestic macroeconomic variables on the monthly returns of stocks traded in Borsa Istanbul during 1998- 2011 period. 13 variables are chosen as the candidates of source of variations in stock returns: BIST 100 index, one month lagged series of BIST 100 index, realized volatility of BIST 100 index, price-to-earnings (P/E) ratio, trade volume, S&P 500 index, inflation, foreign trade balance, industrial production index, oil prices, gold prices, foreign exchange rate and interest rate on short term government bonds. Taking the return of BIST 100 index as the dependent variable, 5 of the remaining 12 variables, namely, S&P 500 index, trade volume, industrial production index, foreign exchange rate and interest rate on short term government bonds are selected as the best model by using an algorithm based on model selection criteria, AIC and LASSO. These variables are regressed on return of BIST 100 index and residual of this regression (market residual) is regarded as the 6th factor, then the explanatory power of this 6-factor model is analyzed on Fama-French size and book-to-market portfolios. Market residual, S&P 500 index and trade volume are found to have a statistically significant explanatory power on all portfolios, whereas industrial production index and foreign exchange rate are found to be effective with significance level of above 5%. On the other hand, interest rate on short term government bonds has no significant effect on stock returns.
Open Access
Investigating the relationship between stock market returns and macroeconomic variables: evidence from developed and emerging markets
(EuroJournals, 2011) Al-Jafari, M. K.; Salameh, R. M.; Habbash, M. R.
This study examines the links between the macroeconomic variables (real economic activity, inflation, interest rate, money supply and exchange rate) and stock prices for developed and emerging markets during the period of January 2002 to December 2008. The study uses various testing methods including Granger causality test and Pedroni panel cointegration tests. These tests were applied by using panel data from 16 developed markets and 16 emerging markets. The empirical results show a significant causal relationship between macroeconomic variables, with the exception of interest rate and money supply, and stock prices for developed and emerging markets. It also finds a significant causal relationship between stock prices and macroeconomic variables for developed and emerging markets with the exception of exchange rate and money supply for developed markets. The findings also show a positive long-run relationship between real economic activity level and stock prices for developed markets. Furthermore, the results find that the relationship between macroeconomic variables and stock return in emerging markets is significantly more established than in developed markets.