Macroeconomic Variables and Sector-Specific Returns: Evidence from Turkish Stock Exchange Market
| Autor: | Ayşen Sivrikaya |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: |
Macroeconomic variables
Stock Returns Variance Decomposition Impulse Responses Turkish impulse responses Economics General Medicine Monetary economics language.human_language İktisat lcsh:Social Sciences lcsh:H stock returns Stock exchange language Variance decomposition of forecast errors lcsh:H1-99 lcsh:Social sciences (General) macroeconomic variables variance decomposition |
| Zdroj: | Volume: 20, Issue: 1 72-89 Gaziantep University Journal of Social Sciences Gaziantep University Journal of Social Sciences, Vol 20, Iss 1, Pp 72-89 (2021) |
| ISSN: | 1303-0094 2149-5459 |
| Popis: | This study investigates the impact of macroeconomic variable shocks on industrial and financial stock returns in the Borsa Istanbul. To this end, we use the generalized forecast error variance decompositions and generalized impulse responses. The results show that inflation, the growth rate of the money supply, and the exchange rate provide significant information for forecasting industrial and financial stock market volatility. The impact of industrial production on stock returns appears to be negligible, both in the short and long horizons. The study extends our understanding of sectoral stock market behavior in a developing country. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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