Investigating Causal Relations among Stock Market and Macroeconomic Variables: Evidence from Turkey

The present study aims to examine the long-term relationships and short-term dynamics between the stock price index and inflation, industrial output and exchange rate as basic macroeconomic factors in Turkey for the period between 2003:01 and 2010:02. The Augmented Dickey Fuller (ADF) and Philips Pe...

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Bibliographic Details
Published in:Journal of economic & management perspectives 2010-09, Vol.4 (3), p.501
Main Authors: Karacaer, Semra, Kapusuzoglu, Ayhan
Format: Article
Language:English
Subjects:
Causality
Cointegration analysis
Consumer Price Index
Correlation analysis
Economic conditions
Efficient markets
Emerging markets
Error correction & detection
Foreign exchange rates
GNP
Gross National Product
Hotels & motels
Industrial production
Inflation
Inflation rates
Interest rates
Macroeconomics
Rates of return
Recessions
Securities markets
Stochastic models
Stock exchanges
Stock prices
Studies
Unemployment
Volatility
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Summary:The present study aims to examine the long-term relationships and short-term dynamics between the stock price index and inflation, industrial output and exchange rate as basic macroeconomic factors in Turkey for the period between 2003:01 and 2010:02. The Augmented Dickey Fuller (ADF) and Philips Perron (PP) unit root tests, Johansen Cointegration test and Granger causality test were applied to examine the intervariable relationships. The results of the analyses revealed a long-term relationship among the variables in question as there exists a cointegration relationship between the variables, while in the short run, there were unidirectional and bidirectional causal relations among the variables. [PUBLICATION ABSTRACT]
ISSN:2523-5338
2523-5338