Seçilmiş gelişmekte olan piyasalarda makroekonomik değişkenlerin hisse senedi getirisine etkisi

The aim of the study is to investigate the impacts of changes in aggregate demand, monetary policy rate, oil price, economic policy uncertainty and geopolitical risk variables on stock returns for seven emerging markets (Brazil, Russia, Mexico, Chile, Turkey, Korea, and Greece) by applying Autoregressive Distributed Lag (ARDL) methodology and bounds cointegration test covering the monthly period of 2002:01—2019:12. The findings show the evidence of long-run cointegration relationship between stock returns and macroeconomic variables used in the study for Russia, Chile, Turkey, and Greece but not for Brazil, Mexico, and Korea. The findings also show that stock returns significantly respond positively to aggregate demand changes for Chile, Turkey, Korea and Greece in the long run. In addition, the long-run positive impact of oil price changes on stock returns is significant for Brazil, Russia, Mexico and Greece. Further, in the long-run, monetary policy rate changes have significant negative impacts on stock returns for Russia, Mexico, Chile and Turkey. More so, economic policy uncertainty changes affect significantly on stock returns in the long run for all, except Brazil and Russia. Nevertheless, geopolitical risk changes significantly affect only the Korean stock market negatively in the long run. Policy implications of the findings are discussed in the conclusion section.