The analysis of relationships between macroeconomic factors and stock returns: Evidence from Turkey using VAR Model
International Research Journal of Finance and Economics, cilt.57, ss.169-182, 2010 (Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 57
- Basım Tarihi: 2010
- Dergi Adı: International Research Journal of Finance and Economics
- Derginin Tarandığı İndeksler: Scopus
- Sayfa Sayıları: ss.169-182
- Anahtar Kelimeler: Arbitrage pricing theory, Istanbul stock exchange, Macroeconomic factors, Stock returns, Vector autoregressive model
- Galatasaray Üniversitesi Adresli: Hayır
Özet
This study aims to analyze the relationship between macroeconomic variables and stock returns in the main Turkish stock market Index (Istanbul Stock Exchange Index-100) within the Arbitrage Pricing Theory framework. For this purpose, various macroeconomic variables representing the basic indicators of Turkish economy are analyzed using VAR model for the period between January 2002 and August 2008 on a monthly basis. The results show that there is a long run relationship between basic macroeconomic indicators of Turkish economy and stock returns on different levels.©EuroJournals Publishing, Inc. 2010.