The analysis of factors that affect the stock returns: Application in ISE

Macroeconomic and microeconomic factors in the effect of globalization of financial markets today are affected by the change. Investors should estimate stock returns with the macroeconomic and the microeconomic factors. In this study we aim to investigate the possible relationship between the chosen macroeconomic, microeconomic factors and İstanbul Stock Exchange IMKB-100 index for the period 2002 and 2008. For this aim, one-way fixed effects panel data regression model is used. In tis model, inflation rate, money supply (M1), exchange rate, petrol prices, gold prices, industrial production index, GDP, current account balance, foreign portfolio investments were used for macroeconomic factors. Profit sharing policy, financial position, firm size, capital increase, stocks financial positions and stock risks were used for the microeconomic factors. There are positive relationship between the stock returns and exchange rate, inflation rate, foreign portfolio investments, interest rate, liquidity ratio,utilization ratio, size of assets, beta value and P/E ratio.