Comparative analysis of the effects of foreign exchange, gold and oil prices on BIST sector indices (2010-2022)

Exchanges, where investors and companies requesting funds come together, are one of the most important building blocks of financial markets. In our country, stock market activities are carried out in Borsa Istanbul. In the study, the relationship of the five sectors with the highest number of enterprises in the Manufacturing sector in Borsa Istanbul with exchange rates, gold and oil prices is discussed. In the study, daily data belonging to the period of 01.01.2010-31.12.2022 belonging to the variables were analyzed with the Eviews 12.0 package program. According to the results of the analysis, it was determined that the series became stationary at the I(1) level. Then, in order to determine the coin- tegration relationship between the series, it was tested with Johansen cointegration analy- sis. In the cointegration analysis between the series, no cointegration relationship was found in the Metal Goods, Machinery, Electrical Devices and Transportation Vehicles sector and in the Textile, Clothing and Leather sectors. The Granger causality test was applied to the series with at least one cointegration relationship between them. According to the results of the analysis, it has been determined that there is a bidirectional causality relationship between the exchange rate and the BIST Sector indices Xkmya, Xgida and Xmana. It was concluded that there is a one-way causality relationship from oil prices to Xkmya and Xgida index, and a one-way causality relationship from gold prices to Xkmya index. Then, in the FMOLS test performed to see the effect level between the series, it is seen that a 1% increase in the exchange rate will cause an increase of 1.08% in the Xkmya index, 0.43% in the Xgida index and 1.22% in the Xmana index. It has been determined that a 1% increase in gold prices will cause a 0.19% decrease in the Xkmya index, an increase of 0.23% in the Xgida index, and a 0.31% decrease in the Xmana index. Finally, it has been determined that a 1% increase in oil prices will cause an increase of 0.20% in the Xkmya index, 0.15% in the Xgida index and 0.18% in the Xmana index.