Impact of Macroeconomic Factors on Stock Market: Evidence from Istanbul Stock Exchange

KARAGÖZ, Kadir and ERGÜN, Suzan and KARAGÖZ, Murat (2009) Impact of Macroeconomic Factors on Stock Market: Evidence from Istanbul Stock Exchange. In: 1st International Symposium on Sustainable Development, June 9-10, 2009, Sarajevo, Bosnia and Herzegovina.

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Abstract

In contemporary economic world, financial markets in general and stock markets in particular play a vital role in financing the investments and to extent credit to the entrepreneurs. This fact has opened a new avenue of research into the relationship between stock market and macroeconomic structure that is development/reaction/impact of stock market across macroeconomic fluctuations. This paper analyzes long-term equilibrium relationship between macroeconomic factors and Istanbul Stock Exchange (ISE) Index. The macroeconomic factors are represented by a set of variables which include interest rate, inflation (consumer price index), industrial production index, money supply (M1), growth (GDP) and real exchange rate. We employ Johansen co-integration method to explore the above mentioned relationship among these variables in a span of time between 1998:1 and 2008:12.

Item Type: Conference or Workshop Item (Paper)
Uncontrolled Keywords: Macroeconomic factors, Stock market, Istanbul Stock Exchange, VECM
Subjects: H Social Sciences > HB Economic Theory
Depositing User: Users 4 not found.
Date Deposited: 01 Feb 2012 12:58
Last Modified: 02 Mar 2012 12:36
URI: http://eprints.ibu.edu.ba/id/eprint/141

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