The Relationship Between the Capital Market and Composite Leading Indicators Under Economic Uncertainty: An Examination of Bist

Bülent Yıldız
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Bülent Yıldız: Aydin Adnan Menderes University

Journal of Finance Letters (Maliye ve Finans Yazıları), 2025, vol. 40, issue 124, 394-424

Abstract: This research investigates the effects of composite leading indicators (bog) and economic uncertainty (ecsu) on the bist100 index. Utilizing monthly data from the 2010:01–2024:12 period, the johansen cointegration test indicates the presence of long-run relationships among the variables. The vector error correction model (vecm) reveals a statistically significant error correction term, suggesting that the system tends to return to equilibrium in the long term. While bog and ecsu exert a positive and significant short-term impact on bist100, bog has a positive and ecsu has a negative long-term effect. According to the granger causality analysis, a unidirectional causality from bist100 to bog is detected, whereas no granger causality is found from bog and ecsu to bist100. The limited number of empirical studies jointly analyzing bog and uncertainty measures enhances the originality of this research. Reducing economic uncertainty and monitoring leading indicators are crucial for ensuring market stability.

Keywords: BIST100; Composite Leading Indicators; Economic Uncertainty; Johansen Cointegration Test (search for similar items in EconPapers)
JEL-codes: C22 C32 E32 E44 G15 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:acc:malfin:v:40:y:2025:i:124:p:394-424

DOI: 10.33203/mfy.1746671

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