Home|Journals|Articles by Year|Audio Abstracts
 

Original Article

Ekonomik Yaklasim. 2005; 16(55): 17-30


STOCK RETURNS, MACROECONOMIC FACTORS AND STRUCTURAL BREAKS: AN APPLICATION FOR THE TURKISH STOCK MARKET

Funda Yurdakul, Alpaslan Akçoraoğlu.




Abstract
Cited by 6 Articles

The goal of this paper is to explore the long-run relationship between stockreturns and some macroeconomic factors in the presence of a structural break forthe Turkish stock market. Since Turkey experienced severe financial crises,various stabilization programs and alternative macroeconomic policies in thepast decade, we can expect that the relationship between stock returns andmacroeconomic variables lacks stability during the period 1987-2004. Toconsider the stability of our model in relation to structural changes in the Turkisheconomy, we utilize recent methodological contributions which allow for thepresence of a regime shift. The findings based on Gregory and Hansen'sprocedure suggest that there is a strong long-run relationship between stockreturns and some macroeconomic factors in the emerging Turkish stock market. On the other hand, the evidence presented in this paper indicate that certain macroeconomic variables (i.e., exchange rate, money supply and real economicactivity) play a significant role in explaining variations in stock returns for thecase of Turkish stock market.

Key words: na

Article Language: EnglishTurkish






Full-text options


Share this Article


Online Article Submission
• ejmanager.com




ejPort - eJManager.com
Refer & Earn
JournalList
About BiblioMed
License Information
Terms & Conditions
Privacy Policy
Contact Us

The articles in Bibliomed are open access articles licensed under Creative Commons Attribution 4.0 International License (CC BY), which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/.