Stock Returns, Macroeconomic Factors and Structural Breaks: An Application for the Turkish Stock Market

Funda Yurdakul and Alparlan Akçoraoğlu
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Alparlan Akçoraoğlu: Gazi University

Ekonomik Yaklasim, 2005, vol. 16, issue 55, 17-30

Abstract: The goal of this paper is to explore the long-run relationship between stock returns and some macroeconomic factors in the presence of a structural break for the Turkish stock market. Since Turkey experienced severe financial crises, various stabilization programs and alternative macroeconomic policies in thepast decade, we can expect that the relationship between stock returns and macroeconomic variables lacks stability during the period 1987-2004. To consider the stability of our model in relation to structural changes in the Turkish economy, we utilize recent methodological contributions which allow for the presence of a regime shift. The findings based on Gregory and Hansen's procedure suggest that there is a strong long-run relationship between stock returns and some macroeconomic factors in the emerging Turkish stock market. On the other hand, the evidence presented in this paper indicate that certain macroeconomic variables (i.e., exchange rate, money supply and real economic activity) play a significant role in explaining variations in stock returns for the case of Turkish stock market.

Date: 2005
Note: [Turkish Title] Not available [Turkish Abstract] Not available [Turkish Keywords] Not available
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Persistent link: https://EconPapers.repec.org/RePEc:eyd:eyjrnl:v:16:y:2005:i:55:p:17-30

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