Micro and Macroeconomic Determinants of Stock Prices: The Case of Turkish Banking Sector

Husam Rjoub, İrfan Civcir and Nil Gunsel Resatoglu
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Nil Gunsel Resatoglu: Department of Banking and Finance, Faculty of Economics and Administrative Sciences, Near East University, Mersin, Turkey.

Journal for Economic Forecasting, 2017, issue 1, 150-166

Abstract: This paper investigates the relationship between Turkish banks stock prices and a set of micro and macro variables. The study carried out via applying a fixed panel data analysis and Dumitrescu and Hurlin panel Granger causality test for the period spans from 1995 3 rd quarter to 2015 4 th quarter. In general, both macro and micro variables can reliably price the bank stocks. Specifically, the findings show that asset quality, management quality, earning, size, money supply and interest rate are significantly related to stock price. Also, bidirectional causality found between bank size, asset quality, money supply and bank stock price. In other words, investors should pay attention to bank specific information in their decision. Moreover, the result indicates that bank stock prices react negatively to economic crisis.

Keywords: Turkish banking sector; stock prices; micro and macro factors (search for similar items in EconPapers)
JEL-codes: C23 G12 G21 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (17)

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