Examination of the relationship between BIST100 and sector indices and selected macro variables: The example of Turkey

Stock markets are one of the crucial areas that show the interaction of the real and financial sectors of the country's economies. Stock markets, one of the fundraising areas that support investment projects for companies, are also among the essential investment platforms for fund owners. Determining investment strategies considering fundamental and financial aspects in portfolio investments is vital in ensuring optimal risk and return. The fact that companies are directly affected by the economic situation of the country they are in and that they act according to their economic outlook in stock prices is beneficial. Understanding the effect of macroeconomic indicators on stock prices will help to make healthier investment decisions. This research examined the interaction between stock prices and selected macroeconomic variables through symmetric and asymmetric econometric methods for the reasons outlined. BIST100 (Istanbul Stock Exchange National 100) index, BIST Financial index (XUMAL), BIST INDUSTRY (XUSIN) index, BIST TECHNOLOGY (XUTEK) index, and BIST Services (XUHIZ) index were taken into account as stock price indicators. The macroeconomic variables included in the study are gold, oil, Industrial Production Index, CPI, Nominal Exchange rate, Commercial interest rate, Deposit interest rate, and narrow and broad definition money supplies. The variables considered cover the range of 2005:01-2022:12. Symmetric and Asymmetric impulse-response functions analysis and multiple causality analyses with and without structural breaks were used in the study. The analysis results confirm that the interaction between indices and macroeconomic variables is more evident in the asymmetric dimension. The underlined finding of the study is that the effect of gold prices and exchange rates on indices is more significant than other macroeconomic variables.