Author/Authors :
ÇETIN, Ali Cüneyt Akdeniz Üniversitesi - Alanya İşletme Fakültesi - Ekonomi ve Finans Bölümü, Turkey , BITIRAK, Ibrahim Anıl Süleyman Demirel Üniversitesi - Sosyal Bilimler Enstitüsü - İşletme Anabilim Dalı, Muhasebe ve Finansman Bilim Dalı, Turkey
Abstract :
The aim of this study is to determine the impacts of macro economical variables in Turkey’s economy on stock returns. For this purpose, it is aimed to analyze by using data of January 2000 – December 2009 the various macroeconomic factors which may affect the returns of the common stocks traded in the Istanbul Stock Exchange by using Arbitrage Pricing Theory (APT). The macroeconomic variables that used in the study are ISE100 index as a dependent variable, consumer price index, the ratio of exports to imports, production index of industry, production index of manufacturing industry, capacity utilization in manufacturing industry, gold prices, US Dollar Exchange rate, deposit interest rate, balance of current account, domestic debt stock, (M1- M2) narrowly and broad defined money supply as independent variables. Time series data are evaluated based on “Smallest Square Technique” and linear regression analysis is used. According to the results, it appeared that return indices of stock be negatively affected by gold prices and deposit interest rate, whereas positively affected by M2 money supply and ratio of capacity utilization in manufacturing industry. The effect of the balance of current account, (M1) the narrowly defined money supply and the production index of manufacturing industry on stock returns is not statistically significant.
