A study on measuring the effects of macroeconomic variables on stock exchange index

Indexes which represent derivations of asset prices and aseet incomes are supposed to be affected by derivations on fundamental factors in an economy. It is possible to explain this affect with Arbitrage Pricing Model which is a model of Modern Portfolio Theory. In this study, to explain the relations between such variables base on Arbitrage Pricing Model, a linear multi variable regression model is estimated. For the estimation equation of regression, 12 macroeconomic variables that belong to January 2005-December 2009, of which observation range is 60 are determined to be independent variables and; at the same period with same observation range, IMKB return index is determined to be dependent variable. Study is carried on with backward selection technique, and result of last significant equation are interpreted.