The effect of microeconomic and macroeconomic factors on stock returns: An application in Stock Exchange Istanbul (BIST)

In this study, macroeconomic and microeconomic factors affecting the average returns of stocks traded in Stock Exchange Istanbul (BIST) were evaluated by Dynamic Panel Data Analysis. For this purpose, 25 microeconomic, 26 macroeconomic variables and 4 dummy variables belonging to 130 firms which are traded in the stock exchange during the period of 2000: Q1-2017: Q3 operating in the manufacturing industry sector were used and different econometric models were established to investigate the relationship between these variables. As a result of the analyzes, macroeconomic factors affecting stock returns were most affected; VIX horror index, consumer confidence index and BIST transaction amount, microeconomic factors were transaction volume of related stocks, PD / DD of the company, growth rate of total assets, growth rate of total sales, firm age, trading period and active turnover rate. For this reason, investors in the stock market, while creating a portfolio of companies in particular to pay attention to these factors is useful to reach the end.