G-7 ve E-7 Ülkelerinde Hisse Senedi Fiyat Endeksleri ile Makro İktisadi Değişkenler Arasındaki ilişki
Relationship between Stock Price Indices and Macroeconomic Variables in G-7 and E-7 Countries

Summary/Abstract: The liberalization of capital movements under the influence of globalization has played an important role in determining international economic relations. At this point, stock markets, which are important instruments of capital markets, have become prominent among other instruments in financial markets. Equities are affected by the globalization process and the effects of stock markets on macroeconomic dynamics provide further understanding on the process of economic development. In this study, the relationship between macroeconomic factors and stock indices both in advanced and emerging market economies are analyzed. In the study, G-7 countries and E-7 countries were evaluated and heterogeneous panel estimators were used. Real effective exchange rate index, M2 money supply, inflation, interest rate, industrial production index, and consumer and business confidence indices are used as macroeconomic variables. The findings of the analyses indicate that there are no statistically significant correlations between stock indices, business confidence index and M2 money supply in G-7 countries; while there are statistically significant correlations among other variables. As for E-7 countries, the results were statistically significant only between real effective exchange rate and stock indices. There were not any statistically significant correlations between other variables. As a result of the analyses regarding these two country groups in the given time span, it is proved that the stock markets of G-7 countries are more bound to the macroeconomic variables and their capital markets are deeper than E-7 countries. E-7 countries have more shallow stock markets. Overall, the results of the study suggest that macroeconomic factors in E-7 countries do not seem to be viable indicators for the stock markets.

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