Analysis of macroeconomic factors affecting the stock market of Turkey

Capital markets allow for the long-term borrowing that an economy needs to develop. By providing working capital to the economy, it meets the medium and long-term borrowing requirements of both public and private investors. These requirements include private sector bills and bonds, treasury bills, government bonds and stocks, traded in money and capital markets and they are transferred from economic units with surplus funds to economic units with deficit. Capital markets operate through stock exchanges. Exchange; is a market that facilitates the purchase and sale of stocks, bonds, securities and debt instruments. The stock markets are not only for the securities and stocks currently traded in the market, but also for the newly issued stocks and securities. The function of the capital market to meet the new capital supply and demand is facilitated through stock exchanges. According to financial and economic theories, an advanced market is an indicator of macroeconomic variables in the country. For this reason, volatilities occurring in the stock exchange are expected to have a positive or negative connection with macroeconomic variables. Testing this hypothesis is the subject of our study. In this study, the volatility index of the stock market was formed by using monthly data of BIST-100 index for 2008-2017 period and the relationship between the volatility index and the selected macroeconomic factors in national and international area was analyzed by Vector Autoregression (VAR) method. In this study; for representing Turkish lira interest rates; 2 and 5-year government bond yields; 3-year, 5-year and 10-year government bond yields issued by the European Central Bank (ECB) were used to represent interest rates in Euro, and 2-year, 5-year and 10-year government bond yields issued by the FED were used to represent interest rates in dollars. The general conclusion reached in this study is that stock market volatility is mostly influenced by international macroeconomic factors rather than national macroeconomic factors. According to this; capital markets of emerging markets such as Turkey, are exposed to the intensive impact of international factors.