IDEAS home Printed from https://ideas.repec.org/a/eyd/eyjrnl/v16y2005i55p17-30.html
   My bibliography  Save this article

Stock Returns, Macroeconomic Factors and Structural Breaks: An Application for the Turkish Stock Market

Author

Listed:
  • Funda YURDAKUL

    (Gazi University)

  • Alpaslan AKÇORAOĞLU

    (Gazi University)

Abstract

The goal of this paper is to explore the long-run relationship between stock returns and some macroeconomic factors in the presence of a structural break for the Turkish stock market. Since Turkey experienced severe financial crises, various stabilization programs and alternative macroeconomic policies in thepast decade, we can expect that the relationship between stock returns and macroeconomic variables lacks stability during the period 1987-2004. To consider the stability of our model in relation to structural changes in the Turkish economy, we utilize recent methodological contributions which allow for the presence of a regime shift. The findings based on Gregory and Hansen's procedure suggest that there is a strong long-run relationship between stock returns and some macroeconomic factors in the emerging Turkish stock market. On the other hand, the evidence presented in this paper indicate that certain macroeconomic variables (i.e., exchange rate, money supply and real economic activity) play a significant role in explaining variations in stock returns for the case of Turkish stock market.

Suggested Citation

  • Funda YURDAKUL & Alpaslan AKÇORAOĞLU, 2005. "Stock Returns, Macroeconomic Factors and Structural Breaks: An Application for the Turkish Stock Market," Ekonomik Yaklasim, Ekonomik Yaklasim Association, vol. 16(55), pages 17-30.
    • Handle: RePEc:eyd:eyjrnl:v:16:y:2005:i:55:p:17-30
    DOI: 10.5455/ey.10518
    Note: [Turkish Title] Not available [Turkish Abstract] Not available [Turkish Keywords] Not available
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.5455/ey.10518
    Download Restriction: No restriction for articles.
    File URL: https://libkey.io/10.5455/ey.10518?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eyd:eyjrnl:v:16:y:2005:i:55:p:17-30. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ozan Eruygur (email available below). General contact details of provider: http://www.ekonomikyaklasim.org .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.