Kaya, Emine Ağrı İbrahim Çeçen Üniversitesi - İktisadi ve İdari Bilimler Fakültesi (İ İ B F ) - İşletme Bölümü, Turkey , Uğurlu, Süleyman Ağrı İbrahim Çeçen Üniversitesi - İktisadi ve İdari Bilimler Fakültesi (İ İ B F ) - İşletme Bölümü, Turkey

THE DYNAMIC INTERACTION BETWEEN SOME SELECTED MACROECONOMIC VARIABLES AND STOCK MARKET: AN ECONOMETRIC APPROACH FOR BIST 100

24807

Although the relationship between the stock market and real economy is important, it is a controversial issue for which a certain result has not been found yet. This research contributes to literature by presenting empirical findings associated with the relationship between real economy and the stock market. In this study, covering 1998:Q1-2013:Q4 period, BIST 100 compound index return, private sector final consumption expenditure, private sector fixed investment expenditure and GDP variables are used. By applying multivariate cointegration analysis and error correction-augmented Granger causality, the interaction between variables are analyzed in terms of econometric. According to the result of analysis, it is defined that there is bidirectional causation between stock return rates with private sector fixed investment expenditure and GDP. In addition to this, a unidirectional causuality is determined for the relation of private sector final consumption and stock return rates. Obtained results show that there is a strong relation between real economy and stock return rates.

1

Real Economy , Stock Return Rates , Error Correction Model , Cointegration

Pamukkale University Journal Of Social Sciences Institute

13