Türkiye Hisse Senedi Piyasa Volatilitesinin Makroekonomik Temelleri
Macroeconomic Fundamentals of Turkey Stock Market Volatility
Author(s): Huseyin Tastan, Arifenur GungorSubject(s): Economy, Financial Markets
Published by: Adem Anbar
Keywords: Stock Market; Volatility; Macroeconomy; MIDAS; ARDL; BIST100
Summary/Abstract: The aim of this study is to investigate the relationship between the slowly moving long-run component of daily volatility of Turkish stock market and a set of monthly macroeconomic variables. In the first stage, we estimate the long-term volatility of BIST100 index using GARCH-MIDAS (Mixed Data Sampling) method. Subsequently, we examine the relationship between the long-term volatility component and interest rate, USD/TL exchange rate, inflation rate, CDS premium, real sector confidence index and the volatility of S&P500 index using an autoregressive distributed lag (ARDL) model. Empirical results suggest that the most significant macroeconomic variable affecting the long-run volatility of BIST100 index is the exchange rate. Also, we show that the long-run volatility of BIST100 index is positively associated with both CDS premium and the volatility of S&P500. Finally, we find that an increase in real sector confidence index leads to a decrease in the long-run component of the BIST100 index volatility.
Journal: Business and Economics Research Journal
- Issue Year: 10/2019
- Issue No: 4
- Page Range: 823-832
- Page Count: 10
- Language: Turkish