Examining the Effect of Macroeconomic Variables on BIST100 Index Returns Using ARDL Approach

Mehmet İslamoğlu and Mustafa Şeker
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Mehmet İslamoğlu: Karabük University
Mustafa Şeker: Bursa Uludağ Üni̇versi̇tesi̇

International Journal of Applied Business and Management Studies, 2024, vol. 9, issue 2, 1-12

Abstract: This study focuses on macroeconomic variables believed to be related to stock market indices, drawing on both domestic and international sources. In this context, the effects of the Bond Index (BONO), Consumer Price Index (CPI), Deposit Index (MEV), and the US Dollar to Turkish Lira Exchange Rate (USDTR) on the BIST100 Index (BIST) were analyzed for the period from 2005 to 2023 on a monthly basis. Using this data, we applied the autoregressive distributed lag (ARDL) method to derive empirical results. The research findings indicate that over the long term, the BONO, CPI, and MEV variables have a statistically significant impact on the BIST index. However, the influence of USDTR on the BIST is statistically insignificant. While the BONO and CPI variables positively affect the BIST, the MEV variable has a negative impact.

Keywords: BIST100; consumer price index; ARDL (search for similar items in EconPapers)
Date: 2024
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