The effects of chosen macro economi̇c vari̇ables on stock pri̇ces

Since stock prices is an important issue for the overall economic view, there are many studies about the macroeconomic variables which effect the stock prices. In addition, result of studies differ among the countries, and the periods within the same country. In this study, the relationship between stock prices in the İstanbul Stock Market and macroeconomic variables which are chosen as dolar price, Consumer Price İndex, Consumer Confidence İndex and interest rates was determined. Multilinear Regression Model, Granger Casuality Test and Johansen Cointegration Test were used in the study. The monthly data between January 2004 and December 2009 was used as the data set. According to the Multilinear Regression Model results, dolar price and interest rates effects IMKB stock prices negatively. Moreover, CPI and Consumer Confidence Index effects IMKB stock prices positively. According to the Granger Casuality results, dolar price Granger causes IMKB stock prices and IMKB stock prices Granger causes Consumer Confidence Index. At the last part of the study, the relationship between the variables analyzed with Johansen Cointegration test. According to the results a relationship between IMKB stock prices and CPI and Consumer Confidence Index was determined.Key Words: İstanbul Stock Exchange -100 Index, Multilinear Regression, Granger Casuality Test, Johansen Cointegration