Vol. 9 No. 4 (2021): Business & Management Studies: An International Journal
Articles

The effects of national and global macroeconomic factors on emerging stock markets: An empirical research on Turkey and BRICS countries

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  • İsmail Karataş,
  • Mehmet İslamoğlu
İsmail Karataş
Assist. Prof. Dr., Bayburt University, Bayburt, Türkiye
Mehmet İslamoğlu
Assoc. Prof. Dr., Karabük University, Karabük, Türkiye
DOI: https://doi.org/10.15295/bmij.v9i4.1959

Published 2021-12-25

How to Cite

Karataş, İsmail, & İslamoğlu, M. (2021). The effects of national and global macroeconomic factors on emerging stock markets: An empirical research on Turkey and BRICS countries. Business & Management Studies: An International Journal, 9(4), 1611–1639. https://doi.org/10.15295/bmij.v9i4.1959

Copyright (c) 2021 İsmail Karataş- Mehmet İslamoğlu

Creative Commons License

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

Abstract

This study was handled and prepared to determine the impact of national and global macroeconomic factors on the stock exchanges of Turkey and the BRICS (Brazil, Russia, India, China and South Africa) countries. For this purpose, monthly data from January 2003 - December 2016 were used to analyse the study. Federal funds rate, global commodity price index, MSCI World Index, consumer price index, industrial production index, narrow-defined money supply and U.S. Dollar-based real exchange rate are the explanatory variables of the study. The explained variables of the research are the closing prices of the stock market index of these countries. In this context, each country set a model, and the Linear Autoregressive Distributed Lag (ARDL) approach was applied to reach the related results. In addition, Nonlinear Autoregressive Distributed Lag (NARDL) approach was used in the study. In this context, the global commodity price index, narrow-defined money supply, and U.S. Dollar-based real exchange rate were the explanatory variables; the closing prices of the stock market of these countries as dependent variables were included in the models. According to the ARDL approach analysis results, it was observed that there were statistically significant effects in the context of the variables. Furthermore, according to the results of the NARDL approach analysis, it was determined that there were short-term and long-term asymmetric effects in the context of the variables.

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