Akademik Veri Yönetim Sistemi
Uluslararası İktisadi ve İdari İncelemeler Dergisi, cilt.0, sa.22, ss.147-162, 2019 (Hakemli Dergi)
This paper aims to investigate the short-run and long-run macroeconomic determinants of the Turkish stockreturns under the impact of the “domestic and global economic policy uncertainty” by using the ARDL methodand the monthly data for the period of 1991:M1 to 2017:M12. The set of macroeconomic variables utilized inthe study are the stock market price indexes of Turkey’s BIST100 index (BIST) and the BIST industrial index(IND), industrial production index (IPI), real effective exchange rate (RER), consumer price index (CPI), interestrate (R), Geopolitical risk index for Turkey (GPR) and the Economic Policy Uncertainty index of the UnitedStates of America (EPU). The ARDL estimation results reveal that in the short-run the BIST stock returns arepositively affected from the changes in IPI, RER and CPI. The effects of the changes in Turkish interest rate(R), EPU and the dummy representing the impact of the 2008 Global Financial Crisis on the stock returns arenegative. The long-run determinants of the BIST stock returns are the changes in IPI, RER, and CPI and theEPU. The effect of the changes in the EPU on the stock returns is negative and the effect of the other variablesare positive.