The effects of macroeconomics variables on stock returns: Evidence from Turkey
Küçük Resim Yok
Tarih
2010
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
The aim of this paper is to analyze the effects of macroeconomic variables on the Turkish Stock Exchange Market in the Arbitrage Pricing Theory framework. This study embraces seven macroeconomic variables (consumer price index, money market interest rate, gold price, industrial production index, oil price, foreign exchange rate and money supply) and the main Turkish stock market Index (Istanbul Stock Exchange Index-100). The data are monthly and extend from the January of 2003 to the March of 2010. A multiple regression model is designed to test the relationship between the ISE-100 Index returns and seven macroeconomic factors. The results of the paper indicate that interest rate, industrial production index, oil price, foreign exchange rate have a negative effect on ISE-100 Index returns while money supply positively influence ISE-100 Index returns. On the other hand, inflation rate and gold price do not appear to have any significant effect on ISE-100 Index returns.
Açıklama
Anahtar Kelimeler
Arbitrage pricing theory, Macroeconomic variables, Stock returns, Turkish stock exchange
Kaynak
European Journal of Social Sciences
WoS Q Değeri
Scopus Q Değeri
N/A
Cilt
14
Sayı
3
