E-ISSN 2791-9439 | ISSN 1300-1868
 

Original Article
Online Published: 25 Mar 2014
 


STOCK RETURNS, MACROECONOMIC FACTORS AND STRUCTURAL BREAKS: AN APPLICATION FOR THE TURKISH STOCK MARKET

Funda Yurdakul, Alpaslan Akçoraoğlu.


Cited By:6

Abstract
The goal of this paper is to explore the long-run relationship between stockreturns and some macroeconomic factors in the presence of a structural break forthe 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 andmacroeconomic variables lacks stability during the period 1987-2004. Toconsider the stability of our model in relation to structural changes in the Turkisheconomy, we utilize recent methodological contributions which allow for thepresence of a regime shift. The findings based on Gregory and Hansen'sprocedure suggest that there is a strong long-run relationship between stockreturns 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 economicactivity) play a significant role in explaining variations in stock returns for thecase of Turkish stock market.

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[Türkçe Başlık Yok]

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Anahtar Kelimeler: yok


 
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How to Cite this Article
Pubmed Style

Funda Yurdakul, Alpaslan Akcoraoğlu. STOCK RETURNS, MACROECONOMIC FACTORS AND STRUCTURAL BREAKS: AN APPLICATION FOR THE TURKISH STOCK MARKET. Ekonomik Yaklasim. 2005; 16(55): 17-30. doi:10.5455/ey.10518


Web Style

Funda Yurdakul, Alpaslan Akcoraoğlu. STOCK RETURNS, MACROECONOMIC FACTORS AND STRUCTURAL BREAKS: AN APPLICATION FOR THE TURKISH STOCK MARKET. https://www.ekonomikyaklasim.org/?mno=155986 [Access: September 30, 2024]. doi:10.5455/ey.10518


AMA (American Medical Association) Style

Funda Yurdakul, Alpaslan Akcoraoğlu. STOCK RETURNS, MACROECONOMIC FACTORS AND STRUCTURAL BREAKS: AN APPLICATION FOR THE TURKISH STOCK MARKET. Ekonomik Yaklasim. 2005; 16(55): 17-30. doi:10.5455/ey.10518



Vancouver/ICMJE Style

Funda Yurdakul, Alpaslan Akcoraoğlu. STOCK RETURNS, MACROECONOMIC FACTORS AND STRUCTURAL BREAKS: AN APPLICATION FOR THE TURKISH STOCK MARKET. Ekonomik Yaklasim. (2005), [cited September 30, 2024]; 16(55): 17-30. doi:10.5455/ey.10518



Harvard Style

Funda Yurdakul, Alpaslan Akcoraoğlu (2005) STOCK RETURNS, MACROECONOMIC FACTORS AND STRUCTURAL BREAKS: AN APPLICATION FOR THE TURKISH STOCK MARKET. Ekonomik Yaklasim, 16 (55), 17-30. doi:10.5455/ey.10518



Turabian Style

Funda Yurdakul, Alpaslan Akcoraoğlu. 2005. STOCK RETURNS, MACROECONOMIC FACTORS AND STRUCTURAL BREAKS: AN APPLICATION FOR THE TURKISH STOCK MARKET. Ekonomik Yaklasim, 16 (55), 17-30. doi:10.5455/ey.10518



Chicago Style

Funda Yurdakul, Alpaslan Akcoraoğlu. "STOCK RETURNS, MACROECONOMIC FACTORS AND STRUCTURAL BREAKS: AN APPLICATION FOR THE TURKISH STOCK MARKET." Ekonomik Yaklasim 16 (2005), 17-30. doi:10.5455/ey.10518



MLA (The Modern Language Association) Style

Funda Yurdakul, Alpaslan Akcoraoğlu. "STOCK RETURNS, MACROECONOMIC FACTORS AND STRUCTURAL BREAKS: AN APPLICATION FOR THE TURKISH STOCK MARKET." Ekonomik Yaklasim 16.55 (2005), 17-30. Print. doi:10.5455/ey.10518



APA (American Psychological Association) Style

Funda Yurdakul, Alpaslan Akcoraoğlu (2005) STOCK RETURNS, MACROECONOMIC FACTORS AND STRUCTURAL BREAKS: AN APPLICATION FOR THE TURKISH STOCK MARKET. Ekonomik Yaklasim, 16 (55), 17-30. doi:10.5455/ey.10518





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