Research Article


DOI :10.26650/ISTJECON2022-1161840   IUP :10.26650/ISTJECON2022-1161840    Full Text (PDF)

What Determined Stock Returns in Turkey from 1990 to 2022: Evidence from Structural Break Regression

Mercan Hatipoğlu

This study reassesses the impact of key macroeconomic variables (industrial production, interest rate, inflation, money supply, trading volume, US dollar, oil, and gold prices) on Turkish stock from 1990:01 to 2022:01. The article uses a breakpoint regression model considering the possibility of a structural break in the relationship between stocks and economic variables over time. According to the model, the structural break date was determined to be May 2004. Before the structural break, only the interest rate, money supply, and trading volume statistically affected the stock market return. After May 2004, oil prices and the US dollar rate also started to have an impact on the Borsa Istanbul-100 index. The empirical results underline that the effect of economic factors on the stock market is not constant, and investors’ decisions are shaped around reforms that only affect economic policies in Turkiye.

JEL Classification : G1 , G12 , G15
DOI :10.26650/ISTJECON2022-1161840   IUP :10.26650/ISTJECON2022-1161840    Full Text (PDF)

Türkiye’de Hisse Senedi Getirilerini Ne Belirler: 1990 - 2022 Dönemi Yapısal Kırılmalı Regresyondan Kanıtlar

Mercan Hatipoğlu

Bu çalışma, temel makroekonomik değişkenlerin (sanayi üretimi, faiz oranı, enflasyon, para arzı, ticaret hacmi, ABD doları, petrol ve altın fiyatları) 1990:01’den 2022:01’e kadar Türkiye borsası üzerindeki etkisini yeniden analiz etmektedir. Çalışma, hisse senedi getirileri ve ekonomik değişkenler arasındaki ilişkide, zaman içinde herhangi bir kırılma olasılığını göz önünde bulundurarak, yapısal kırılmalı regresyon modelini kullanmaktadır. Modele göre yapısal kırılma tarihi Mayıs 2004 olarak belirlenmiştir. Söz konusu tarihten önce sadece faiz oranı, para arzı ve işlem hacmi istatistiksel olarak borsa getirisini etkilerken, Mayıs 2004’ten sonra petrol fiyatları ve ABD doları kuru da Borsa İstanbul-100 endeksini etkilemeye başlamıştır. Ampirik sonuçlar, ekonomik faktörlerin hisse senedi piyasası üzerindeki etkisinin sabit olmadığını ve yatırımcıların kararlarının Türkiye’de sadece ekonomi politikalarını etkileyen reformlar etrafında şekillendiğini açıkça ortaya koymaktadır.

JEL Classification : G1 , G12 , G15

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APA

Hatipoğlu, M. (2023). What Determined Stock Returns in Turkey from 1990 to 2022: Evidence from Structural Break Regression. Istanbul Journal of Economics, 73(1), 185-202. https://doi.org/10.26650/ISTJECON2022-1161840


AMA

Hatipoğlu M. What Determined Stock Returns in Turkey from 1990 to 2022: Evidence from Structural Break Regression. Istanbul Journal of Economics. 2023;73(1):185-202. https://doi.org/10.26650/ISTJECON2022-1161840


ABNT

Hatipoğlu, M. What Determined Stock Returns in Turkey from 1990 to 2022: Evidence from Structural Break Regression. Istanbul Journal of Economics, [Publisher Location], v. 73, n. 1, p. 185-202, 2023.


Chicago: Author-Date Style

Hatipoğlu, Mercan,. 2023. “What Determined Stock Returns in Turkey from 1990 to 2022: Evidence from Structural Break Regression.” Istanbul Journal of Economics 73, no. 1: 185-202. https://doi.org/10.26650/ISTJECON2022-1161840


Chicago: Humanities Style

Hatipoğlu, Mercan,. What Determined Stock Returns in Turkey from 1990 to 2022: Evidence from Structural Break Regression.” Istanbul Journal of Economics 73, no. 1 (Mar. 2024): 185-202. https://doi.org/10.26650/ISTJECON2022-1161840


Harvard: Australian Style

Hatipoğlu, M 2023, 'What Determined Stock Returns in Turkey from 1990 to 2022: Evidence from Structural Break Regression', Istanbul Journal of Economics, vol. 73, no. 1, pp. 185-202, viewed 1 Mar. 2024, https://doi.org/10.26650/ISTJECON2022-1161840


Harvard: Author-Date Style

Hatipoğlu, M. (2023) ‘What Determined Stock Returns in Turkey from 1990 to 2022: Evidence from Structural Break Regression’, Istanbul Journal of Economics, 73(1), pp. 185-202. https://doi.org/10.26650/ISTJECON2022-1161840 (1 Mar. 2024).


MLA

Hatipoğlu, Mercan,. What Determined Stock Returns in Turkey from 1990 to 2022: Evidence from Structural Break Regression.” Istanbul Journal of Economics, vol. 73, no. 1, 2023, pp. 185-202. [Database Container], https://doi.org/10.26650/ISTJECON2022-1161840


Vancouver

Hatipoğlu M. What Determined Stock Returns in Turkey from 1990 to 2022: Evidence from Structural Break Regression. Istanbul Journal of Economics [Internet]. 1 Mar. 2024 [cited 1 Mar. 2024];73(1):185-202. Available from: https://doi.org/10.26650/ISTJECON2022-1161840 doi: 10.26650/ISTJECON2022-1161840


ISNAD

Hatipoğlu, Mercan. What Determined Stock Returns in Turkey from 1990 to 2022: Evidence from Structural Break Regression”. Istanbul Journal of Economics 73/1 (Mar. 2024): 185-202. https://doi.org/10.26650/ISTJECON2022-1161840



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Submitted14.08.2022
Accepted01.06.2023
Published Online26.06.2023

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