Study of a model about the relationship between macro variables and selected BIST indexes

Individuals constantly interact with each other, and as a result of this interaction, they demand mutual products and services and raise their welfare to the next level. Individuals who increase their welfare level can exchange products and services in a physical (real) environment, as well as by obtaining resources (funds) from each other through institutions. The environments in which individuals or different institutions come across to obtain funds from each other are defined as the "financial (financial) market". The financial market is based on an understanding of a system that is formed as a result of the extra income demand of people which have saving, in excange for fund surpluses. In recent years, financial markets are considered among the important markets that need to be analyzed in terms of evaluating the development levels of national economies. These markets have significant and seriously positive effects in terms of economy with their functions such as accumulating savings, directing them to investments and realizing the flow of resources. Due to many such reasons, the financial sector is the leading sectors that need to be researched and developed. In the world economy, stock market indices have been affected by different economic, political, political and psychological factors in recent years. This interactions caused the course of his academic studies to shift in this direction. In this context, in this study, the size and direction of the relationship between financial markets and macroeconomic variables in Turkey are discussed. For this purpose, besides the Stock Price Index (BIST100) index as an indicator of financial markets, Banking Sector Stock Price Index, Food Sector Stock Price Index and Industry Sector Stock Price Index are used as dependent variables by banks. Weighted interest rate (%), CPI Based Real Effective Exchange Rate (2003=100) and Consumer Price Index (2010=100) applied to deposits opened in total TL are included in the analysis as independent variables. The study covers the period between January 2005-October 2022, evaluating the scope of a total of 214 months. In the study, eight different models were established, including two separate independent variables for each dependent variable. In the study, Extended Dickey Fuller (1981) unit root test and Phillips Perron (1988) unit root test from traditional unit root tests, Lee and Strazicich (2003) unit root test from structural break tests, and Fourier ADF and CSR unit root tests from Fourier unit root tests were applied. The long-term cointegration relationship is demonstrated via Tsong, Lee, Tsai and Hu (2016) and Fourier Shin methods. According to the empirical findings, all models were found to be cointegrated. It has been determined that there is a long-term cointegration relationship of all variables for bank stock values and industrial stock values. It has been concluded that while the real exchange rate affects all stock values negatively, the inflation rate affects all stock values positively.