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Empirical Analysis Of The Relationship Between Purchasing Managers Index And Bist Industrial Index Under Structural Breaks

Author

Listed:
  • SAHIN, Emrah

    (Vocational School of Social Sciences, Hitit University, Corum, Turkey.)

  • GUNGOR, Selim

    (Resadiye Vocational School, Tokat Gaziosmanpasa University, Tokat, Turkey.)

  • KARACA, Suleyman Serdar

    (Faculty of Business Administration and Management, Malatya Turgut Ozal University, Malatya, Turkey.)

Abstract

The purpose of the study is to put forward the long-term and causality relationship between the BIST Industrial Index and the Purchasing Managers Index (PMI) for the period January 2008 - December 2018 in Turkey. First of all, the existence of a long-run relationship between variables has been investigated with cointegration test. It has been determined that there is a long-run relationship between series. For this reason, the coefficient estimation for the long-run relationship between the series has been made a prediction with the Fully Modified Ordinary Least Squares cointegration coefficient estimator. Finally, the existence of causality relationship between the series has been investigated with the asymmetric causality test in the study and it has been determined that there is a unidirectional causality relationship from PMI to BIST Sinai index in terms of positive and negative shocks. Therefore, with this study it can be said that the PMI is a predictor of stock prices.

Suggested Citation

  • SAHIN, Emrah & GUNGOR, Selim & KARACA, Suleyman Serdar, 2020. "Empirical Analysis Of The Relationship Between Purchasing Managers Index And Bist Industrial Index Under Structural Breaks," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 24(3), pages 6-22, September.
    • Handle: RePEc:vls:finstu:v:24:y:2020:i:3:p:6-22
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    BIST Industrial Index; PMI; Cointegration Test with Multiple Structural Breaks; Asymmetric Causality Test Pages: 6-22;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets

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