Testing long-run relationship between stock market and macroeconomic variables in the presence of structural breaks: The Turkish case
International Research Journal of Finance and Economics, cilt.48, ss.50-61, 2010 (Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 48
- Basım Tarihi: 2010
- Dergi Adı: International Research Journal of Finance and Economics
- Derginin Tarandığı İndeksler: Scopus, IBZ Online, EconLit, Index Islamicus
- Sayfa Sayıları: ss.50-61
- Anahtar Kelimeler: Cointegration, Macroeconomic variables, Stock market, Structural breaks, Turkish economy
- Dokuz Eylül Üniversitesi Adresli: Evet
Özet
In this paper, the relationship between macroeconomic variables and stock market level is investigated. In the empirical analysis, well-known (Zivot Andrews, 1992; Lumsdaine Papell, 1997) unit root tests are conducted to determine the order of integration of the time series. Gregory-Hansen test which allows for structural breaks in the data is employed to examine the cointegration between macroeconomic fundamentals and stock market prices. As a result, Istanbul Stock Exchange National-100 (ISE-100) index is found as cointegrated with the variables, namely gross domestic product, U.S. crude oil price, and industrial production. © EuroJournals Publishing, Inc. 2010.