Validity of the Arbitrage Pricing Theory in Turkey’s economy: An empirical analysis in the context of global economic crisis

Uslu, Hüseyin; Uzkaralar, Önder

doi:10.30855/gjeb.2020.6.2.006

GJEB

2020

DOI: 10.30855/gjeb.2020.6.2.006

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Validity of the Arbitrage Pricing Theory in Turkey’s economy: An empirical analysis in the context of global economic crisis

Hüseyin Uslu¹,

Önder Uzkaralar²

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2020

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COVID-19 Döneminde Makroekonomik Değişkenlerin Borsa Üzerindeki Etkisi: Türkiye Örneği

Ilhan

Akdeni̇z

2020

Ekonomi, Politika &Amp; Finans Araştırmaları Dergisi

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Along with the ongoing efforts to understand the effects of the COVID-19 pandemic on economies through various simulations and forecasts, the severe trauma experienced in financial markets has already manifested itself in market data. Besides the uncertainty created by the pandemic, fluctuations in macroeconomic variables have increased volatility in the developed and emerging stock markets. In this context, this study aims to examine the effect of macroeconomic variables on the BIST 100 index before and during the COVID-19 pandemic. Hence, the effects of interest rate, exchange rate, CDS premium, VIX, and oil prices on BIST 100 are estimated using the Flexible Least Squares method, which allows for the time-varying coefficient estimation, for the period of 13 September 2019 to 11 September 2020. Empirical findings indicate that interest rate, VIX, and oil prices had significant effects on BIST 100 for certain periods. On the other hand, the exchange rate and CDS premium significantly and negatively affect BIST 100 in the whole sample. Moreover, it is determined that the exchange rate is the macroeconomic variable with the highest impact on BIST 100 based on the quantitative magnitude of the coefficients.

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COVID-19 Döneminde Makroekonomik Değişkenlerin Borsa Üzerindeki Etkisi: Türkiye Örneği

Ilhan

Akdeni̇z

2020

Ekonomi, Politika &Amp; Finans Araştırmaları Dergisi

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Validity of the Arbitrage Pricing Theory in Turkey’s economy: An empirical analysis in the context of global economic crisis

Cited by 1 publication

References 6 publications

COVID-19 Döneminde Makroekonomik Değişkenlerin Borsa Üzerindeki Etkisi: Türkiye Örneği

COVID-19 Döneminde Makroekonomik Değişkenlerin Borsa Üzerindeki Etkisi: Türkiye Örneği

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