Makro Ekonomi̇k Göstergeleri̇n Endeks Geti̇ri̇leri̇ Üzeri̇ndeki̇ Etki̇si̇: Bi̇st Örneği̇

Durmuş, Savaş; Yılmaz, Tuncer; Şahın, Dilek

doi:10.33692/avrasyad.543706

Cited by 10 publications

(2 citation statements)

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“…The effect of exchange rates risk on stock returns showed that the traditional theory was valid in the pre-pandemic period. In this context, the results of the analysis showed parallelism with the findings of Eyüboğlu and Eyüboğlu (2018) and Durmuş et al (2019).…”

Section: 𝑅𝑀 = 𝛼0 + 𝛼1𝐿𝐾𝑈𝑅+𝜀𝑡supporting

confidence: 75%

DÖVİZ KURUNUN FİNANS SEKTÖRÜ HİSSE SENEDİ GETİRİLERİ ÜZERİNDEKİ ETKİSİ / The Effect of Exchange Rate on Finance Sector Stock Returns

Yildirtan

Salihoğlu

2021

Uluslararası Ekonomi İşletme Ve Politika Dergisi

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This article aims to explain the effect of foreign exchange on the stock returns. In this respect, the effect of the exchange rate on the performance of selected companies representing the financial sector in the Borsa Istanbul (BIST) 100 index has been comparatively examined in the COVID-19 pre-pandemic period (15/09/2019-10/03/2020) and the post-pandemic period (11/03/2020-09/10/2020). In the study, the relationship between the variables was estimated with three different regression models (Adler and Dumas Model, Jorion Model, Choi and Prasad Model). According to the findings, the increase in the exchange rate in the pre-pandemic period caused a decrease in the average return of stocks in the financial sector. According to the findings, the relationship between the variables in the pre-pandemic period is compatible with the traditional approach. The relationship between the variables was statistically insignificant during the postpandemic period. The fact that exchange rate had no effect on the return of stocks during the post-pandemic period pointed out that the return of stocks affected by different factors during the post-pandemic period.

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Section: 𝑅𝑀 = 𝛼0 + 𝛼1𝐿𝐾𝑈𝑅+𝜀𝑡supporting

confidence: 75%

DÖVİZ KURUNUN FİNANS SEKTÖRÜ HİSSE SENEDİ GETİRİLERİ ÜZERİNDEKİ ETKİSİ / The Effect of Exchange Rate on Finance Sector Stock Returns

Yildirtan

Salihoğlu

2021

Uluslararası Ekonomi İşletme Ve Politika Dergisi

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“…They concluded that the returns of stocks are sensitive to inflation and lag values of stocks. Durmuş, Yılmaz and Şahin (2019), in the study conducted with monthly data between the periods 2006:5 -2018:10, the macroeconomic factors explaining the returns of BIST Bank and BIST Financial index were examined with the VAR method. It was stated that the gold prices and Euro exchange rate variables explained the BIST Bank and BIST Financial index returns the most, and the inflation rate variable the least.…”

Section: Literature Analysismentioning

confidence: 99%

Testing of Macroeconomic Factors Affecting Capital Markets with Granger Causality Method: Turkey Practice

Kantar¹

2022

isarder

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Purpose-In this study, the relationship between the capital market (BIST 100 index) and macroeconomic variables that are thought to affect thecapital market (gold prices, oil prices, Euro-US Dollar exchange rate basket, budget balance, foreign trade balance) will be examined with the Granger causality method.Design/methodology/approach-The study covers the period of 2010-2019 on a monthly system. The data were obtained from the CBRT (EDDS) and TurkStat. Statistical package software (Stata and EViews 9) were used in the analysis of the data. BIST 100 index return is included in the model as a dependent variable and macroeconomic factors as an independent variable. The relationship between dependent and independent variables was examined with the VAR-based Granger causality method.Findings-As a result of the study, it has been understood that only the gold price among the macroeconomic factors is the Granger cause of the BIST 100 index. In other words, lagged changes in gold prices explain the variance of the BIST 100 index. When the direction of the relationship was examined, a one-way Granger causality was observed from the Ons variable to theBIST 100 variable. When the action-reaction shocks between the BIST 100 variable and the ONS variable are examined, a shock in gold prices affected the return of the BIST 100 index for about 2 months, and this effect decreased and disappeared from the 5thmonth. Again, approximately 6.82% of the variance of the BIST100 variable is explained by the Ons variable.Discussion-Developments in the capital markets are followed closely by both institutional investors and individual investors. For this reason, it is extremely important what factors affect the BIST 100 index, which is thought to represent the Turkish capital market. According to the findings of the study, changes in gold prices affect the BIST 100 index return, and the relationship between these twovariables should be closely monitored. Addressing the long-term relationship between the BIST 100 index and gold prices in future studies will make an important contribution to the literature

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Seçilmiş Makroekonomik Değişkenler ve Beklenti Endekslerinin BİST 100 Endeksi Üzerine Etkisi

2022

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In this study, the macroeconomic factors and expectation indices affecting the BIST 100 index have been examined. The optimum Autoregressive Distributed Lag (ARDL) model has been created by utilising the Python programming language (Python) using the ARDL method. As a result of the analysis, it has been determined that long-term variables such as United States dollar Turkish lira parity (USD/TRY), Economic Confidence Index (EGE), and Consumer Price Index (TÜFE) are correlated in the positive direction with the dependent variable BIST 100 index and in the negative direction with the 5-Year Bond Interest (FAİZ) and Volatility Index (VIX) variables. In contrast, Brent petrol United States dollar parity (BRENT) is not statistically significant.

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Makro Ekonomi̇k Göstergeleri̇n Endeks Geti̇ri̇leri̇ Üzeri̇ndeki̇ Etki̇si̇: Bi̇st Örneği̇

Cited by 10 publications

References 0 publications

DÖVİZ KURUNUN FİNANS SEKTÖRÜ HİSSE SENEDİ GETİRİLERİ ÜZERİNDEKİ ETKİSİ / The Effect of Exchange Rate on Finance Sector Stock Returns

DÖVİZ KURUNUN FİNANS SEKTÖRÜ HİSSE SENEDİ GETİRİLERİ ÜZERİNDEKİ ETKİSİ / The Effect of Exchange Rate on Finance Sector Stock Returns

Testing of Macroeconomic Factors Affecting Capital Markets with Granger Causality Method: Turkey Practice

Seçilmiş Makroekonomik Değişkenler ve Beklenti Endekslerinin BİST 100 Endeksi Üzerine Etkisi

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