MACROECONOMIC FACTORS AFFECTING STOCK PRICES: AN APPLICATION ON THE MANUFACTURING AND FINANCIAL SECTORS IN BIST100

Abstract

The main objective of this study is to determine and test the effects of macroeconomic factors on the prices of the Manufacturing and Financial sector in BIST100. In addition to the determination of relations, it is aimed to determine whether these relations are mutual. In this study, monthly data covering Granger Causality Test and 2007: 01-2018: 11 period are used. Stock prices in manufacturing and financial sectors in BIST100 as dependent variables, gold prices as independent variables, USD rate, Euro rate, interest rate, export figures, unemployment rate, capacity utilization rate, crude oil prices, industrial production index, consumer confidence index and consumer price index are used. According to Granger causality test results, a one-way relationship was found between Euro exchange rate and financial sector index. It is determined that there is a bi-directional relationship between CPI variable and financial sector index. From the financial sector index to the industrial production index and export amount, a one-way relationship was determined. In terms of the causality relationship in terms of the manufacturing sector, a one-way relationship has been found between the industrial production index and the manufacturing sector. In addition, a one-way causality relationship was obtained from the manufacturing sector to the export figures.