Macroeconomic Variables and Sector-Specific Returns: Evidence from Turkish Stock Exchange Market

The increasing number of financial instruments in the financial markets and the increase in product diversity in the real sector push the relevant markets to new searches in terms of both financing and competitiveness. In this context, in this study, the transformation of the recent global financial mobility and increasing financial competition in the macroeocomic variables in the Turkish economy and the possible effects of this transformation in selected macroeconomic variables on the banking sector, which is the most important pillar of the financial sector, were analyzed by determining the effects of the nominal effective exchange rate index (EERI), industrial production index (IPI) and consumer price index (CPI) on the banking stock exchange index between the periods 2002M01-2023M03 and the direction and degree of the relationship between the relevant variables were tried to be determined. In this context, since the Phillips-Perron unit root test results of the variables included in the analysis are stable at different stationary levels, the ARDL Boundary Test method was performed and the results obtained showed that; It was concluded that there is a positive and long-term relationship between the nominal EERI and the CPI and the banking stock exchange index, therefore the relevant variables are cointegrated, but the IPI and the banking stock exchange index are not long-term cointegrated.

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Macroeconomic Variables and Sector-Specific Returns: Evidence from Turkish Stock Exchange Market

Cited by 2 publications

References 40 publications

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Türkiye in 2002-2023 Seçili Makroekonomik Değişkenlerin BİST Bankacılık Endeksine Etkisi: 2002-2023 Türkiye Örneği

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