Savasa, Bilal University of Aksaray - Department of Economics, Turkey , Samiloglub, Famil University of Aksaray - Department of Accounting and Finance, Turkey

THE IMPACT OF MACROECONOMIC VARIABLES ON STOCK RETURNS IN TURKEY: AN ARDL BOUNDS TESTING APPROACH

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This paper aims to investigate both the long-run and short-run relationships between stock returns and broad money supply, industrial production, real effective exchange rates, long term domestic interest rates, and foreign interest rates. Using the ARDL approach to cointegration, we find evidence of long-run cointegrating relationship between stock return and various macro variables. Results of the parameter stability tests indicate that the structure of the parameters has not diverged abnormally over the period of the analysis.

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Stock market , cointegration , error , correction modelling , Turkey.

Afyon Kocatepe University Journal Of Economics an‎d Administrative Sciences

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