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Global Factors and Stock Returns: Empirical Evidence From the Istanbul Stock Exchange

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  • Alpaslan Akcoraoglu
  • Funda Yurdakul

Abstract

The objective of this paper is to explore the effects of some global factors on stock returns for the Istanbul Stock Exchange (ISE). To this end, a set of global variables such as current account balance, international capital flows, exchange rates and U.S. stock price index are employed in our empirical analysis. We utilized the modeling strategy of Hendry (1980) and an error correction model (ECM) in order to analyze the dynamic short-run relations between global variables and stock prices. The findings of this paper suggest that global factors are important in explaining the variations in stock returns for the specific case of Turkey. Thus, the empirical evidence presented in this paper support the view that the dynamic linkages between emerging markets and global factors may be significant due to increased integration of international financial markets in the past decade.

Suggested Citation

  • Alpaslan Akcoraoglu & Funda Yurdakul, 2002. "Global Factors and Stock Returns: Empirical Evidence From the Istanbul Stock Exchange," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 6(21), pages 1-20.
    • Handle: RePEc:bor:iserev:v:6:y:2002:i:21:p:1-20
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    File URL: http://www.borsaistanbul.com/datum/imkbdergi/EN/ISE_Review_21.pdf
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    References listed on IDEAS

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    1. Allan H. Meltzer, 1997. "On Making Monetary Policy More Effective Domestically and Internationally," Palgrave Macmillan Books, in: Iwao Kuroda (ed.), Towards More Effective Monetary Policy, chapter 1, pages 3-27, Palgrave Macmillan.
    2. Ercan Uygur, 2001. "Krizden Krize Türkiye: 2000 Kasým ve 2001 Þubat Krizleri," Working Papers 2001/1, Turkish Economic Association, revised Apr 2001.
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    Cited by:

    1. Şebnem Er & Bengü Vuran Author-Workplace-Name: Teaching and Research Assistant, PhD, Istanbul University, Faculty of Business Administration, Finance Department, 2012. "Factors Affecting Stock Returns of Firms Quoted in ISE Market: A Dynamic Panel Data Approach," International Journal of Business and Social Research, LAR Center Press, vol. 2(1), pages 108-121, February.
    2. Erol Muzir & Cevdet Kizil & Burak Ceylan, 2021. "Role of International Trade Competitive Advantage and Corporate Governance Quality in Predicting Equity Returns: Static and Conditional Model Proposals for an Emerging Market," JRFM, MDPI, vol. 14(3), pages 1-31, March.
    3. Şebnem Er & Bengü Vuran Author-Workplace-Name: Teaching and Research Assistant, PhD, Istanbul University, Faculty of Business Administration, Finance Department, 2012. "Factors Affecting Stock Returns of Firms Quoted in ISE Market: A Dynamic Panel Data Approach," International Journal of Business and Social Research, MIR Center for Socio-Economic Research, vol. 2(1), pages 108-121, February.

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