A research on the relationship between macroeconomic factors and Bist tourism index stock returns

The economies of the countries and the capital markets which have developed and interacted under the influence of globalization have also become highly sensitive to macroeconomic factors. As such, it has become important to determine the cause and extent of the effects that macroeconomic factors have created within countries. The purpose of this thesis study is to examine the relationship between macroeconomic factors and Stock Exchange Istanbul Tourism Index returns. In this context, the data of 2006M1 and 2018M12, which can be accessed in full, were analyzed empirically with the help of monthly data. Based on BIST Tourism Index stock returns, six macroeconomic factors have been identified, which have been associated with stock returns, in the literature. In order to make the analyzes, firstly the Unit Root Tests were applied to for determine the degree of stability and integration between the monthly time series. And the degree of stability and integration have been determined. After Unit Root Tests, the Impulse-Response Functions were applied to determine the effects of a shock that occurred in each variable on both itself and other variables in the system. In order to determine the source of the changes occurring in the variables themselves and other variables. As a result of the Impulse-Response Analysis, Variance Decomposition Analyzes have been made and the sources of change were determined proportionally. In order to determine the causality relationship between macroeconomic factors and BIST Tourism Index stock returns, two models based on VAR (k + dmax) procedure were included in the study. The models have been analyzed by Toda-Yamamoto Causality Analysis and causality relationship between the variables were determined. There are many studies on the relationship between stock returns and macroeconomic factors in the literature, but it is considered that this study will make a significant contribution to the literature as one of the limited number of studies dealing with tourism stock returns.