| Article Information |
| Journal: |
Business and Economics Research Journal |
| Title of Article: |
Macroeconomic Fundamentals of Turkey Stock Market Volatility |
| Author(s): |
Huseyin Tastan, Arifenur Gungor |
| Volume: |
10 |
| Number: |
4 |
| Year: |
2019 |
| Page: |
823-832 |
| ISSN: |
2619-9491 |
| DOI Number: |
10.20409/berj.2019.203 |
|
| 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. |
| Keywords: |
Stock Market, Volatility, Macroeconomy, MIDAS, ARDL, BIST100 |
|
| JEL Classification: |
C22, C58, G10 |
|
