Evaluating stock exchange performances of exporter companies: An analysis on Turkish exporters assembly export index (TIMEX)

TIMEX is a newly created index which tracks the stock exchange performance of Turkish exporter companies. This study evaluates long-term and short-term dynamic relationship and causality between TIMEX and the traditional macroeconomic variables—i.e. interest rate, inflation, currency exchange rates, industrial production, and export volume using monthly data from 2013:2 to 2019:1. First, an ARDL bound model is utilized to conduct a cointegration analysis among all of the included variables. Second, Granger causality between TIMEX and the macroeconomic variables are determined. The results of the study indicates a positive cointegration relationship between the dependent variable, TIMEX and the independent variables, export volume, industrial production and US Dollar/TL exchange rate, in the long-term while there was a negative relation with interest rate. Our model also showed a rapid speed of adjustment in the long-term analysis with 48 percent of the deviation from the equilibrium is corrected within a one-month period. The results also reveal that TIMEX is more strongly coupled with real economic variables like export volume and industrial production, and more loosely associated with financial variables like US Dollar/Turkish Lira exchange rate, and interest rate. Finally, we found that TIMEX Granger causes the industrial production index significantly, which means that TIMEX can be used as a leading indicator to track industrial production.