Statistical investigation of the relationship between BİST 100 index and macro economic variables

In the stock exchange, which has basic rules and operates according to the supply-demand balance, foreign exchange, futures and option contracts, securities, and commodities are traded openly to the public. The securities that are bought and sold in the market are stocks, foreign exchange, valuable goods, raw materials (metals, etc.), and debts. Balance is created in the market by the brokerage activities carried out by brokers according to the supply-demand method to buy and sell these valuable assets in the market. Financial markets, which play a very important role in the functioning of economies today, are defined as systems that bring together economic units with capital surplus and those with capital deficit, thus ensuring the flow of funds. Another of the most important functions of financial markets is to provide liquidity. Providing liquidity not only encourages investors to participate in the market, but also contributes to the continuity of economic activities. In this study, the causality relationship between BIST 100 index and macroeconomic variables such as Dollar exchange rate (TL/USD), Euro exchange rate (TL/Euro), Gold ($/ounce), deposit interest rate, inflation (CPI; 2023=100) was investigated. First, the stationarity structure of the series was examined with unit root tests and when the first differences of all variables were taken, it was determined that they became stationary (I(1)). Then, Johansen cointegration analysis was applied to determine whether there is a long-term relationship between the variables. It shows that the interest rate, inflation rate and exchange rate variables have long-term effects on the BIST 100 index. It was observed that especially the increases in interest rates created negative effects on BIST 100; while inflation and exchange rate variables created mixed effects. Finally, it was tried to determine whether there is a causal relationship between the series with Granger Causality Analysis. It was found that there is a unidirectional causality relationship from the dollar exchange rate to BIST 100; The result of bi-directional causality relationship between the Interest Rate and CPI series was obtained.