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The Determinants of Stock Market Returns: An ARDL Investigation on Borsa Istanbul

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  • Sevinç Güler
  • Halime Temel Nalın

Abstract

In this paper we examine the long run and the short run dynamics of stock return and macroeconomic and financial variables like gold prices, oil prices, export volume, import volume and exchange rate. The empirical investigation employed on monthly data between January 1988 to November 2013. The Autoregressive Distrubuted Lag (ARDL) called analytical-cointegration technique is applied to capture the dynamics of short-run and long-run relationship between veriables. According to results we found a long run relationship between stock return and economic factors and existence of significant relationship between import and stock return in long run and short run models.

Suggested Citation

  • Sevinç Güler & Halime Temel Nalın, 2014. "The Determinants of Stock Market Returns: An ARDL Investigation on Borsa Istanbul," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 17(51), pages 3-24, March.
    • Handle: RePEc:rej:journl:v:17:y:2014:i:51:p:3-24
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    References listed on IDEAS

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