Is the BIST 100 Index Sensitive to Macroeconomic Risk and Confidence Indicators? Evidence from Türkiye Using the ARDL Approach
XXV. IBANESS Congress Series on Economics, Business and Management – Plovdiv / Bulgaria, Plovdiv, Bulgaristan, 13 - 14 Mart 2026, ss.745-751, (Tam Metin Bildiri)
- Yayın Türü: Bildiri / Tam Metin Bildiri
- Basıldığı Şehir: Plovdiv
- Basıldığı Ülke: Bulgaristan
- Sayfa Sayıları: ss.745-751
- Bilecik Şeyh Edebali Üniversitesi Adresli: Evet
Özet
In this study, the effect of selected macroeconomic risk and confidence indicators on the BIST 100 Index in Türkiye is examined for the period 2011Q3–2025Q4 using the ARDL bounds testing approach. The BIST 100 Index is used as the dependent variable, while the exchange rate index, oil prices, CDS premium, and business confidence index are included in the model as independent variables. The Phillips-Perron unit root test results show that the series are stationary either at level or at first difference. Accordingly, the ARDL(2, 5, 6, 6, 6) model is selected based on the Akaike Information Criterion. The ARDL bounds test results reveal that there is a long-run cointegration relationship among the variables. According to the long-run coefficients, the exchange rate index, oil prices, CDS premium, and business confidence index have statistically significant and positive effects on the BIST 100 Index. In addition, the negative and significant error correction coefficient shows that short-run imbalances move toward the long-run equilibrium. The diagnostic test results show that there is no problem in the model in terms of autocorrelation, heteroskedasticity, normality, and model misspecification. The findings show that the BIST 100 Index is sensitive to macroeconomic risk and confidence indicators.
Key Words: BIST 100, CDS premium, exchange rate, oil prices, Business Confidence Index, ARDL.