ANALYSIS OF THE RELATIONSHIP BETWEEN MACROECONOMIC VARIABLES and BIST-30 STOCK RETURNS
- BIST 30,
- Macroeconomic Indicators,
- BIST 30,
- Makroekonomik Değişkenler,
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In addition to the fundamental macroeconomic indicators such as inflation and interest rate which are very important for foreign investors, the Credit Default Swap (CDS), that shows the credit risk level of the country, is an important research topic. Therefore, in this study, it is aimed to examine the effects of Turkey CDS and selected macroeconomic variables on the Istanbul Stock Exchange (ISE) 30 index (XU30). For this purpose, Granger Causality Relations, Impulse-Response Charts and Variance decomposition were made under the VAR model for 2010: 06 and 2020: 02 monthly periods. According to the results of the study, it was concluded that there was no Granger Causality relationship from variables to XU30 and XU30 stock returns toward selected macroeconomic indices either. However, it is found that shocks in CDS for two and a half months were responded negatively by XU30 returns at the significant beginning. Also, the positive and significant impact of the interest rate is worth to consider.
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