The Determinants of Stock Market Index: VAR Approach to Turkish Stock Market

Eşref Savaş BAŞÇI; Süleyman Serdar KARACA

Makale detayları

The Determinants of Stock Market Index: VAR Approach to Turkish Stock Market

Yazarlar:

Eşref Savaş BAŞÇI | Süleyman Serdar KARACA

Yayıncı:

İlhan ÖZTÜRK

Dergi:

International Journal of Economics and Financial Issues 2013 Vol.3 Issue 1, pp.163-171

Belge Tipi:

Makale

Yayın Tarihi:

2/2013

Belge Dili:

Türkçe

Document ID (Org No.):

2000814765

Sıklık:

İki Aylık

eISSN:

2146-4138

Özet:

 

In this paper, we examined the relationship between ISE 100 Index and a set of four macroeconomic variables using Vector Autoregressive (VAR) model. Variables we used in our model are Exchange, Gold, Import, Export and ISE 100 Index. ISE 100 Index is a dependent variable and the others are independent variables. In this study we used 190 observations for the sample period from January, 1996 to October, 2011. All variables have seasonal movements. After seasonal adjustments, all series have had stationary in their first difference. After determining optimal lag order, it was given one standard deviation shock for each series and their response. And in variance decomposition carried out subsequently, it has been determined that especially as of the second default of exchange, it was explained 31% by share indices.

Makale detayları

The Determinants of Stock Market Index: VAR Approach to Turkish Stock Market

Yazarlar: Eşref Savaş BAŞÇI | Süleyman Serdar KARACA

Yayıncı: İlhan ÖZTÜRK

Dergi: International Journal of Economics and Financial Issues 2013 Vol.3 Issue 1, pp.163-171

Belge Tipi: Makale

Yayın Tarihi: 2/2013

Belge Dili: Türkçe

Document ID (Org No.): 2000814765

Sıklık: İki Aylık

eISSN: 2146-4138

Sayı

Yazarlar:

Eşref Savaş BAŞÇI | Süleyman Serdar KARACA

Yayıncı:

İlhan ÖZTÜRK

Dergi:

International Journal of Economics and Financial Issues 2013 Vol.3 Issue 1, pp.163-171

Belge Tipi:

Makale

Yayın Tarihi:

2/2013

Belge Dili:

Türkçe

Document ID (Org No.):

2000814765

Sıklık:

İki Aylık

eISSN:

2146-4138