TOPCU, Ebru Nevşehir Hacı Bektaş Veli Üniversitesi - İktisadi ve İdari Bilimler Fakültesi - İktisat Bölümü, Turkey

THE RELATIONSHIP BETWEEN COMPOSITE LEDAING INDICATORS AND STOCK MARKETS: THE CASE OF TURKEY

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Unlike the expanded literature covering the impact of various macroeconomic variables on stock market, this paper investigates the cointegration and causal relationship between composite leading indicators and share prices in Turkey. To this end, we use monthly data spanning from 2011:M1-2014:M2. Findings show that results seem consistent across different empirical approaches. Specifically, it is found that there is no cointegration between the variables under study and unidirectional causal running is detected from composite leading indicators to stock market.

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composite leading indicators , stock market , Turkey , cointegration , causality

Afyon Kocatepe University Journal Of Economics an‎d Administrative Sciences

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