Macroeconomic Dynamics and Stock Market Reactions: An Empirical Analysis of BIST 100's Sensitivity to CDS Premiums, Exchange Rate, Interest Rates, and Money Supply

Kayhan Ahmetoğulları

Makale detayları

Macroeconomic Dynamics and Stock Market Reactions: An Empirical Analysis of BIST 100's Sensitivity to CDS Premiums, Exchange Rate, Interest Rates, and Money Supply

Yazarlar:

Kayhan Ahmetoğulları

Yayıncı:

Ahmet Arif EREN

Ana Başlıklar:

Ekonometrik ve İstatistiksel Yöntemler | Uluslararası Finans | Finans

Dergi:

Politik Ekonomik Kuram Vol.9 Issue 1, pp.1-16

Belge Tipi:

Makale

Yayın Tarihi:

3/2025

Belge Dili:

Türkçe

Document ID (Org No.):

2001343484

pISSN:

2587-2567

Anahtar kelimeler:

Özet:

 This study aims to investigate the impact of macroeconomic variables on the BIST 100 index in Turkey, focusing on CDS premiums, exchange rates, policy rates, inflation, and money supply M2. The primary objective is to explore both the short- and long-term relationships between these variables and stock market performance, specifically in response to external shocks. Monthly data from 2005 to 2024 were sourced from the Refinitiv Datastream. The ARDL bounds testing approach was employed to analyze variables with mixed integration orders I0 and I1, and the error correction model ECM was applied to measure how quickly short-term deviations from equilibrium are corrected. The results reveal that CDS premiums negatively and significantly affect the BIST 100 index in both the short and long term, highlighting the importance of country risk. On the other hand, money supply M2 positively influences the index, showing that liquidity drives stock market growth. Exchange rates and inflation demonstrated weaker and inconsistent impacts. The negative and significant ECM coefficient suggests that approximately 116.67 of short-term deviations from equilibrium are corrected within one term. This indicates that the stock market quickly stabilizes after external shocks. This study provides valuable insights for policymakers, emphasizing the need to reduce CDS premiums through sound fiscal policy and to maintain a balanced monetary policy to support liquidity and control inflation.

 This study aims to investigate the impact of macroeconomic variables on the BIST 100 index in Turkey, focusing on CDS premiums, exchange rates, policy rates, inflation, and money supply M2. The primary objective is to explore both the short- and long-term relationships between these variables and stock market performance, specifically in response to external shocks. Monthly data from 2005 to 2024 were sourced from the Refinitiv Datastream. The ARDL bounds testing approach was employed to analyze variables with mixed integration orders I0 and I1, and the error correction model ECM was applied to measure how quickly short-term deviations from equilibrium are corrected. The results reveal that CDS premiums negatively and significantly affect the BIST 100 index in both the short and long term, highlighting the importance of country risk. On the other hand, money supply M2 positively influences the index, showing that liquidity drives stock market growth. Exchange rates and inflation demonstrated weaker and inconsistent impacts. The negative and significant ECM coefficient suggests that approximately 116.67 of short-term deviations from equilibrium are corrected within one term. This indicates that the stock market quickly stabilizes after external shocks. This study provides valuable insights for policymakers, emphasizing the need to reduce CDS premiums through sound fiscal policy and to maintain a balanced monetary policy to support liquidity and control inflation.

 This study aims to investigate the impact of macroeconomic variables on the BIST 100 index in Turkey, focusing on CDS premiums, exchange rates, policy rates, inflation, and money supply M2. The primary objective is to explore both the short- and long-term relationships between these variables and stock market performance, specifically in response to external shocks. Monthly data from 2005 to 2024 were sourced from the Refinitiv Datastream. The ARDL bounds testing approach was employed to analyze variables with mixed integration orders I0 and I1, and the error correction model ECM was applied to measure how quickly short-term deviations from equilibrium are corrected. The results reveal that CDS premiums negatively and significantly affect the BIST 100 index in both the short and long term, highlighting the importance of country risk. On the other hand, money supply M2 positively influences the index, showing that liquidity drives stock market growth. Exchange rates and inflation demonstrated weaker and inconsistent impacts. The negative and significant ECM coefficient suggests that approximately 116.67 of short-term deviations from equilibrium are corrected within one term. This indicates that the stock market quickly stabilizes after external shocks. This study provides valuable insights for policymakers, emphasizing the need to reduce CDS premiums through sound fiscal policy and to maintain a balanced monetary policy to support liquidity and control inflation.

 Bu çalışma, Türkiyedeki BIST 100 endeksi üzerindeki makroekonomik değişkenlerin etkisini incelemeyi amaçlamaktadır. İncelenen temel değişkenler arasında CDS primleri, döviz kurları, politika faizi, enflasyon ve para arzı M2 bulunmaktadır. Çalışma, bu değişkenler ile hisse senedi piyasası performansı arasındaki kısa ve uzun vadeli ilişkileri belirlemeyi hedeflemektedir. Özellikle dış ekonomik şokların Türk hisse senedi piyasasını nasıl etkilediğini anlamak ve politika yapıcılara yönelik içgörüler sunmak çalışmanın öncelikli amaçlarındandır. 2005-2024 yılları arasındaki aylık veriler Refinitive Data Streamden toplanmıştır. ARDL sınır testi yöntemi kullanılarak, farklı düzeylerde bütünleşik olan değişkenler I0 ve I1 analiz edilmiştir. Ayrıca, hata düzeltme modeli ECM kullanılarak kısa vadede dengenin ne kadar hızlı sağlandığı ölçülmüştür. Sonuçlara göre, CDS primleri kısa ve uzun vadede BIST 100 endeksi üzerinde anlamlı ve olumsuz bir etkiye sahiptir. Bu durum, artan ülke riskinin hisse senedi piyasası performansını düşürdüğünü gösterirken, para arzı M2 pozitif ve anlamlı bir etki oluşturmakta, artan likiditenin piyasa büyümesini desteklediğini ortaya çıkmaktadır. Döviz kurları ve enflasyon ise daha zayıf ve tutarsız etkiler göstermiştir. Hata düzeltme katsayısının negatif ve anlamlı çıkması, kısa vadeli sapmaların yaklaşık 116,67sinin bir sonraki dönem içinde düzeltildiğini ve piyasanın kısa vadeli şoklara rağmen hızla dengeye döndüğünü göstermektedir. Çalışma, politika yapıcılar için CDS primlerinin düşürülmesinin önemini vurgulamakta ve likiditeyi desteklerken enflasyonu kontrol altında tutmak için dengeli bir para politikasının gerekliliğine dikkat çekmektedir.

Makale detayları

Macroeconomic Dynamics and Stock Market Reactions: An Empirical Analysis of BIST 100's Sensitivity to CDS Premiums, Exchange Rate, Interest Rates, and Money Supply

Yazarlar:

Kayhan Ahmetoğulları

Yayıncı:

Ahmet Arif EREN

Ana Başlıklar:

Ekonometrik ve İstatistiksel Yöntemler | Uluslararası Finans | Finans

Dergi:

Politik Ekonomik Kuram Vol.9 Issue 1, pp.1-16

Belge Tipi:

Makale

Yayın Tarihi:

3/2025

Belge Dili:

Türkçe

Document ID (Org No.):

2001343484

pISSN:

2587-2567

Stocks

International Financial Markets

ARDL Bounds Testing.Hisse Senedi

Uluslararası Finansal Piyasalar

ARDL Sınır Testi

Sayı

Makale detayları

Macroeconomic Dynamics and Stock Market Reactions: An Empirical Analysis of BIST 100's Sensitivity to CDS Premiums, Exchange Rate, Interest Rates, and Money Supply

Yazarlar: Kayhan Ahmetoğulları

Yayıncı: Ahmet Arif EREN

Ana Başlıklar: Ekonometrik ve İstatistiksel Yöntemler | Uluslararası Finans | Finans

Dergi: Politik Ekonomik Kuram Vol.9 Issue 1, pp.1-16

Belge Tipi: Makale

Yayın Tarihi: 3/2025

Belge Dili: Türkçe

Document ID (Org No.): 2001343484

pISSN: 2587-2567

Stocks

International Financial Markets

ARDL Bounds Testing.Hisse Senedi

Uluslararası Finansal Piyasalar

ARDL Sınır Testi

Sayı

Yazarlar:

Kayhan Ahmetoğulları

Yayıncı:

Ahmet Arif EREN

Ana Başlıklar:

Ekonometrik ve İstatistiksel Yöntemler | Uluslararası Finans | Finans

Dergi:

Politik Ekonomik Kuram Vol.9 Issue 1, pp.1-16

Belge Tipi:

Makale

Yayın Tarihi:

3/2025

Belge Dili:

Türkçe

Document ID (Org No.):

2001343484

pISSN:

2587-2567