Vol. 8 No. 4 (2020): Business & Management Studies: An International Journal
Articles

ANALYSIS OF THE RELATIONSHIP BETWEEN MACROECONOMIC VARIABLES and BIST-30 STOCK RETURNS

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  • Shafiqa NOORIE,
  • Ekrem MERİÇ,
  • Selim YILDIRIM,
  • Ethem ESEN
Shafiqa NOORIE
MBA Student, Anadolu University Graduate School of Social Sciences
Ekrem MERİÇ
Lecturer, Anadolu University Open Education Faculty
Selim YILDIRIM
Assoc. Prof., Anadolu University, F.E.A.S.
Ethem ESEN
Assoc. Prof., Anadolu University, F.E.A.S.,
DOI: https://doi.org/10.15295/bmij.v8i4.1526

Published 2020-12-10

Keywords

  • BIST 30,
  • Macroeconomic Indicators,
  • Var
  • BIST 30,
  • Makroekonomik Değişkenler,
  • VAR

How to Cite

NOORIE, S., MERİÇ, E., YILDIRIM, S., & ESEN, E. (2020). ANALYSIS OF THE RELATIONSHIP BETWEEN MACROECONOMIC VARIABLES and BIST-30 STOCK RETURNS. Business & Management Studies: An International Journal, 8(4), 500–522. https://doi.org/10.15295/bmij.v8i4.1526

Copyright (c) 2020 Business & Management Studies: An International Journal

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Abstract

In addition to the fundamental macroeconomic indicators such as inflation and interest rate which are very important for foreign investors, the Credit Default Swap (CDS), that shows the credit risk level of the country, is an important research topic. Therefore, in this study, it is aimed to examine the effects of Turkey CDS and selected macroeconomic variables on the Istanbul Stock Exchange (ISE) 30 index (XU30). For this purpose, Granger Causality Relations, Impulse-Response Charts and Variance decomposition were made under the VAR model for 2010: 06 and 2020: 02 monthly periods. According to the results of the study, it was concluded that there was no Granger Causality relationship from variables to XU30 and XU30 stock returns toward selected macroeconomic indices either. However, it is found that shocks in CDS for two and a half months were responded negatively by XU30 returns at the significant beginning. Also, the positive and significant impact of the interest rate is worth to consider.

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