The causality between BİST-100 index and the macroeconomic variables: The practice of Turkey between the years 2005-20015

This research examines the direction and the existence of the relationship between the macroeconomic factors that affect BİST-100 index. With "multilinear regression" analysis the combined effect of the macroeconomic factor is determined and via "Gragner causality test" its direction is determined. Our dependent variable for BİST-100 index is based on the monthly average generated by the rates of the daily close of the exchange. Our independent variables, i.e. money supply, inflation, exchange rate, interest rates, gold prices are macroeconomic factors composed of leading indicators and the monthly average values composed of the end of day rates of these factors are also examined. The data analyzed in this research is obtained from the web site of the Central Bank of the Republic of Turkey and it comprises the monthly average values between the dates December 2005 and June 2015. As a result of this research except for money supply and gold prices all factors have a unilateral causality relation with BİST-100 index. While BİST-100 index is affected negatively by the variables, namely inflation and exchange rates, it is affected positively by the index of the leading indicators. Moreover, BİST-100 index influences exchange rate prices in a negative way. As time sequence data is fixed as a result of the created VAR model, instead of long term effects, via Granger Causality Test 1 (month) period delays are observed. Key Words: BİST-100 index, Macroeconomic Factors, Multilinear Regression, VAR,Granger Causality Test