Investigating the Effects of Selected Macroeconomic Variables on Istanbul Stock Market Return through Applying Markov Regime Switching Model
Author(s):
Article Type:
Research/Original Article (دارای رتبه معتبر)
Abstract:
In this paper, we investigate the effects of selected macroeconomic variables on the Istanbul Stock Market Return. We explore the relationship among the Istanbul Stock Market Return, Crude oil price, Inflation rate, and Exchange rate via employing monthly data from 2000-04-01 until 2017-12-01 in Turkey. Based on the Markov Regime Switching Model, we find that the Turkish Stock Market Return is divided into two regimes. The results indicate that Stock Return lags have a positive effect on the Stock Market itself, and only the second lag in regime 1 is significant. Besides, the test results show that the positive effects of crude oil price and negative effects of inflation rate in regime 0 (Low-return regime) are meaningful, while the exchange rate is meaningful just in regime 1 (High-return regime), which leads to reductions in Stock Market Return. Furthermore, the probability matrix indicates that the probability of stability in regime 0 is more than that of regime 1.
Keywords:
Language:
English
Published:
Iranian Economic Review, Volume:26 Issue: 69, Autumn 2022
Pages:
783 to 790
https://magiran.com/p2528752
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