Gold oil prices and the effects of the exchange rate on the Turkish stock exchange: NARDL approach analysis

In this study, the effect of gold and oil prices and the exchange rate on BIST100 for the period between 1994: Q1 and 2020: Q4 in the Turkish economy was investigated by using NARDL models and related boundary tests. WinRats 8.1 program was used for the analysis of the relationship between the variables. As a result of the study, all variables become stationary at I(1) level according to ADF, PP and KPSS unit root test results. According to the Perron unit root test results, which take into account the structural break, it was determined that the Bist100, Gold price, Oil price Exchange rate variables underwent a structural break in 2000, 2014 and 2005, respectively. In addition, the basic hypothesis showing the existence of a unit root in the series without a structural break was rejected, and therefore the basic hypothesis showing the existence of a unit root in the series without a structural break was accepted. According to Perron unit root test, hysteria effect was found in BIST100, AF, PF and DK variables. According to the NARDL test results, AF, PF and DK variables have an asymmetric effect on the BIST100 index in the long and short run. In other words, the effect sizes of positive and negative shocks in the AF, PF and DK variables are not equal to each other. According to the long-term model results, while positive shocks of gold, oil and exchange rate variables have a significant effect on BIST100, negative shocks do not have a statistically significant effect. According to the short-term model results, deviations from the long-term equilibrium value between the variables due to shocks will return to the long-term equilibrium value after approximately 1.2 periods. Based on the results of the short-term model, when the causal effects of positive and negative shocks in independent variables on BIST100 are examined, there is a causal effect from positive shocks in gold, oil and exchange rate variables to BIST100 index, while negative shocks in gold, oil and exchange rate variables have a causal effect on BIST100 index. concluded that it is not.