Macroeconomic Variables and Sector-Specific Returns: Evidence from Turkish Stock Exchange Market

Ayşen SİVRİKAYA

doi:https://doi.org/10.21547/jss.830786

Makale detayları

Macroeconomic Variables and Sector-Specific Returns: Evidence from Turkish Stock Exchange Market

Yazarlar:

Ayşen SİVRİKAYA

Yayıncı:

Gaziantep University

Ana Başlıklar:

Ekonomi ve Maliye

Dergi:

Gaziantep University Journal of Social Sciences 2021 Vol.20 Issue 1, pp.72-89

Belge Tipi:

Makale

Yayın Tarihi:

1/2021

Belge Dili:

İngilizce

Document ID (Org No.):

2000444362

Sıklık:

Üç Aylık

eISSN:

2149-5459

pISSN:

1303-0094

DOI:

https://doi.org/10.21547/jss.830786

Özet:

 

This study investigates the impact of macroeconomic variable shocks on industrial and financial stock returns in the Borsa Istanbul. To this end, we use the generalized forecast error variance decompositions and generalized impulse responses. The results show that inflation, the growth rate of the money supply, and the exchange rate provide significant information for forecasting industrial and financial stock market volatility. The impact of industrial production on stock returns appears to be negligible, both in the short and long horizons. The study extends our understanding of sectoral stock market behavior in a developing country.

Makale detayları

Macroeconomic Variables and Sector-Specific Returns: Evidence from Turkish Stock Exchange Market

Yazarlar: Ayşen SİVRİKAYA

Yayıncı: Gaziantep University

Ana Başlıklar: Ekonomi ve Maliye

Dergi: Gaziantep University Journal of Social Sciences 2021 Vol.20 Issue 1, pp.72-89

Belge Tipi: Makale

Yayın Tarihi: 1/2021

Belge Dili: İngilizce

Document ID (Org No.): 2000444362

Sıklık: Üç Aylık

eISSN: 2149-5459

pISSN: 1303-0094

DOI: https://doi.org/10.21547/jss.830786

Sayı

Yazarlar:

Ayşen SİVRİKAYA

Yayıncı:

Gaziantep University

Ana Başlıklar:

Ekonomi ve Maliye

Dergi:

Gaziantep University Journal of Social Sciences 2021 Vol.20 Issue 1, pp.72-89

Belge Tipi:

Makale

Yayın Tarihi:

1/2021

Belge Dili:

İngilizce

Document ID (Org No.):

2000444362

Sıklık:

Üç Aylık

eISSN:

2149-5459

pISSN:

1303-0094

DOI:

https://doi.org/10.21547/jss.830786