Dynamic Effects of Macroeconomic Fundamentals on Stock Market Movements: Evidence from BIST100

Mortaza OJAGHLOU

doi:https://doi.org/10.25229/beta.705307

Article Details

Dynamic Effects of Macroeconomic Fundamentals on Stock Market Movements: Evidence from BIST100

Authors:

Mortaza OJAGHLOU

Publisher:

Mehmet SONGUR

Main Topics:

Management

Journal:

Bulletin of Economic Theory and Analysis 2020 Vol.5 Issue 2, pp.17-36

Document Type:

Article

Publication Date:

12/2020

Document Language:

English

Document ID (Org No.):

2000900079

Frequency:

Bi-Annual

eISSN:

2548-0707

DOI:

https://doi.org/10.25229/beta.705307

Abstract:

 


In this study we examine whether the Efficient Market Hypothesis (EMH) is valued in Turkey (BIST1001) or not and we also examine the ability of essential macroeconomic variables to predict the volatility of Istanbul stock market returns. The relationship is examined  through  the  analysis  of  the  quarterly  data  concerning  the  Istanbul  stock market index (BIST-100 ) and selected essential macroeconomic indicates in Turkey over  the  period  of  2003Q01  until  2019Q01.  In  order  to  investigate  the  relationship  between  the  variables  and  BIST-100,  Phillips-Ouliaris  Cointegration,  Asymmetric  Cointegration and Dynamic Multipliers in a Nonlinear ARDL (NLARDL) models and also  Bayesian  Vector  Autoregression  (Litterman-Minnesota  Bayesian  VAR)  are employed. The findings of the NLARDL test indicates that variables are cointegrated and there is positive and statistically significant asymmetric long run relationship from inflation to Istanbul stock market and also GDP, nominal exchange rate, S&P500 have significant and positive long run effect on Istanbul stock market return. These results suggest  that  the  Istanbul  stock  market  return  (BIST-100)  has  consistent  with  the Efficient Market Hypothesis (EMH). 

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Article Details

Dynamic Effects of Macroeconomic Fundamentals on Stock Market Movements: Evidence from BIST100

Authors: Mortaza OJAGHLOU

Publisher: Mehmet SONGUR

Main Topics: Management

Journal: Bulletin of Economic Theory and Analysis 2020 Vol.5 Issue 2, pp.17-36

Document Type: Article

Publication Date: 12/2020

Document Language: English

Document ID (Org No.): 2000900079

Frequency: Bi-Annual

eISSN: 2548-0707

DOI: https://doi.org/10.25229/beta.705307

Issues

Authors:

Mortaza OJAGHLOU

Publisher:

Mehmet SONGUR

Main Topics:

Management

Journal:

Bulletin of Economic Theory and Analysis 2020 Vol.5 Issue 2, pp.17-36

Document Type:

Article

Publication Date:

12/2020

Document Language:

English

Document ID (Org No.):

2000900079

Frequency:

Bi-Annual

eISSN:

2548-0707

DOI:

https://doi.org/10.25229/beta.705307