The impact of macroeconomic variables on stock prices: A study on-BIST-100

The relationship between macroeconomic variables and capital markets is an important issue in literature. Although this topic is frequently studied, there is no consensus for the impact of macroeconomic variables on stock prices. Despite the studies are mostly on developed markets, it is believed that ever evolving markets will provide cash flow in the future. So this markets are becoming remarkable. For this reason it is considered beneficial to conduct this study for a developing country like Turkey. In the literature; the selected macroeconomic variables for this study (dollar exchange rate, interest rates on deposits, inflation, supply of money, commodity prices) significant relationship were found. But in this study, it is aimed to determine whether there is a relationship specific to the selected time series. The target of this study is to reveal whether there is a relationship between BIST 100 stock market prices and macroeconomic indicators by using monthly time series between January 2005- December 2019. Eviews 11 computer software was used in data analysis to find out the statistical relationship and the extent/magnitude of the relationship between the macroeconomic indicators, and stock exchange prices. The stationary of the series was tested with ADF and PP unit root tests because working with time series. No stationary was detected in the level value so made deviations for all series and the stability has been achived. In this study, the relationship between stock price and macroeconomic variables and scrutinized by VEC (Vector Error Correction) model the relationship between this variables. First of all, the results of impulse- response analysis and variance decomposition were interpreted through the VAR model. It has been reached that there is cointegration among the variables used. Finally Granger causality test was used to determine the direction of the relationship between the variables. As a result of this research a 1% increase in Brent oil prices, increased BIST 100 by 0.23%. 1% increase in interest reduces BIST 100 by 0.38%. A 1% increase in the dollar rate increases BIST 100 by 0.77%. The series move with each other in the long term. But this relationship between variables is extremely limited.