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International Journal of Academic Research in Business and Social Sciences
September 2012, Vol. 2, No. 9
ISSN: 2222-6990
315 www.hrmars.com/journals
Macroeconomic Factors and Stock Returns
Şerife Özlen
International Burch University, Bosnia and Hezegovina, Ugur Ergun, International Burch
University, Bosnia and Hezegovina
Email: serifeozlen@hotmail.com
Ugur Ergun
International Burch University, Bosnia and Hezegovina, Ugur Ergun, International Burch
University, Bosnia and Hezegovina
Abstract
Macroeconomic variables and their effects on stock returns have been interested by scholars,
investors and companies. This research aims to identify the effects of selected macroeconomic
variables including inflation rate, exchange rate, interest rate, current account deficit and
unemployment rate on stock returns of 45 companies from 11 different sectors. Autoregressive
distributed lag method is employed for the data spanning from February, 2005 to May, 2012.
The research provides the results of the empirical analyses and conclusion of the findings. It
ends with the implications for practice and future research.
Keywords: Stock returns, Autoregressive distributed lag method, Macroeconomic variables
Introduction
The stock market and the overall economy are significantly related. The role of macroeconomic
variables in asset pricing theories is accepted to be important. Fluctuations in macroeconomic
variables affect business negatively by disturbing the trade smoothness. Estimation of future
trends of macroeconomic variables can be helpful to see the leading direction of stock returns.
Therefore, there have been many attempts empirically performed in order to identify the link
between macroeconomic variables and stock market volatility.
Recently, Akbar et al. (2012) stated that it has been popular to study the relationship between
macroeconomic growth and stock market performance. Stock markets are mainly affected by
the surrounding economy and useful to predict future economic conditions (Fama, 1990;
Binswanger, 2000). Every country and stock exchange market has unique determinants specific
to itself. Therefore, for the same considered variables, they may have different responses.
Developed countries’ financial markets are observed to be more explained compared to the
other financial markets. Therefore, the research is needed in order to improve investment
decisions by maximizing the expected value of stock returns in developing economies.
International Journal of Academic Research in Business and Social Sciences
September 2012, Vol. 2, No. 9
ISSN: 2222-6990
316 www.hrmars.com/journals
Istanbul Stock Exchange (ISE) Market is one of the developing markets in the world. It was
founded on December 26, 1985 in order to ensure a secure and stable environment for the
trade of securities and furthermore commenced to operate on January 3, 1986.
The fundamental goal of this study is to analyze the effects of domestic macroeconomic
variables on stock market returns in Turkey.
This paper studies the latest data covering the period from February, 2005 to May, 2012. This
study aims to improve the investors’ understanding and evaluation of the relevant stock returns
to the systematic influences of macroeconomic factors including inflation rate, exchange rate,
interest rate, Current account deficit and unemployment rate. The derived information about
the relationship between the macroeconomic variables and stock market performance can
enable investors to make optimal decision in their global business investments. It is expected
that the findings of this study would provide meaningful insights to the body of literature,
policy makers as well as the practitioners. The results of this study are expected to support the
theoretical framework of the determinants of stock market movement from the developing
economies perspective.
During early nineties growth of emerging markets were remarkable. Therefore, both
researchers and investors have considered studying emerging stock markets (Brockman &
Chung, 2006). Since Turkey is one of the fastest growing emerging economies in the world the
implications of this study becomes important.
This paper has five sections starting with introduction. In the second section, the relevant
literature is provided. The third section introduces the research methodology. The fourth
section presents the findings of the analyses. And the final part concludes the study with
implications for practice and research.
Literature Review
Since it is important for financial analysts and policy makers, the relationship between
macroeconomic variables and stock prices have been analysed by the researchers.
The literature reports that stock prices in the well-developed markets are influenced by the
changes in macroeconomic information, but for the emerging markets the results are not
inconclusive. For both the developed and emerging markets, the research is still required.
Sharpe (2002) got a negative relation between expected long-term earnings growth and
expected inflation. Jones and Wilson (2006) observed that inflation adjustments can weakly
estimate stock returns.
Marcellino (2004) considered real gdp and its components, personal and government
consumption, investment and inventories, and imports and exports, consumer prices and the
gdp deflator, unit labor cost and unemployment, short-term and longterm interest rates, and
the real exchange rate and the trade balance as macroeconomic variables for the period
International Journal of Academic Research in Business and Social Sciences
September 2012, Vol. 2, No. 9
ISSN: 2222-6990
317 www.hrmars.com/journals
1970:1–1997:4 in his analysis by providing linear, time-varying, non-linear and pooled forecasts
for aggregate EMU variables. Although linear specifications performed well on average, the
good performance of non-linear models was observed.
Gunasekarager et al. (2004) considered money supply, treasury bill rate, CPI and exchange rates
as macroeconomic variables and the Sri Lankan stock market and observed that all
macroeconomic variables especially treasury bill rate had a significant influence on stock prices
except the exchange rate. However, share price index could not found to have influence on
macroeconomic variables except the Treasury bill rate.
Nishat and Shaheen (2004) took the data from 1973 to 2004 by employing unit root test,
Augmented Dickey Fuller (ADF) test, vector error correction model (VECM) and Granger-
causality by considering industrial production index, the consumer price index, money supply,
and the value of an investment earning and the money market rate in order to determine the
relationship. A significant relationship was observed among industrial production index, the
consumer price index, money supply, and the value of an investment earning. Moreover, it was
also discovered that industrial production is the largest positive and inflation is the largest
negative factors of Pakistani stock prices. There was a reverse causality observed between
industrial production and stock prices. Statistically, lag lengths connecting fluctuations in the
stock market and transient in the real economy were considerable and comparatively short.
Liow (2004) considered five macroeconomic factors to see the time variation of Singapore real
estate excess stock returns and observed that the expected risk premium on real estate stock
varies by the time and conditional volatilities of these macroeconomic variables.
Rapach et al. (2005), through a large set of macrovariables, observed that stock returns can be
predicted by macrovariables (especially by interest rates) on the data from 12 industrialized
countries after the 1970s.
Erdem et al. (2005) used The Exponential Generalized Autoregressive Conditional
Heteroscedasticity and model analyzed Price volatility spillovers in ISE indexes from January
1991 to January 2004 by considering exchange rate, interest rate, inflation, industrial
production and M1 money supply. They observed unidirectional strong volatility spillover from
inflation, interest rate to all stock price indexes. Moreover, there were spillovers from M1
money supply to financial index, and from exchange rate to both ISE-100 and industrial indexes.
But there was no volatility spillover from industrial production to any index.
Patra and Poshakwale (2006) observed both short-term and long-term relationship between
inflation, money supply and trading volumes but no relationship between exchange rate and
stock prices in Athens stock exchange.
Chancharat (2007) worked on the Stock market volatility between January, 1988 and
December, 2004 by using Auto regressive Conditional Heteroscedasticity (ARCH) model and the
Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model on Thailand Stock
International Journal of Academic Research in Business and Social Sciences
September 2012, Vol. 2, No. 9
ISSN: 2222-6990
318 www.hrmars.com/journals
Index and the indices of Argentina, Australia, Brazil, Germany, Hong Kong, Indonesia, Japan,
Korea, Malaysia, the Philippines, Russia, Singapore, Taiwan, the United Kingdom and the United
States. It was identified that macroeconomic variables (CPI, EX, IR, M2 and OP) of Thailand have
influence on monthly stock market returns.
For macro variables including money supply (MS), consumer price index (CPI), industrial
production (IP), exchange rate (EXR) and interest rate (IR), Rizwan and Khan (2007) employed
descriptive statistics, ARCH approach, EGARCH approach, unit root test, Augmented Dickey
Fuller (ADF), VAR model from July 2000 to June 2005. According to EGARCH model, stock
returns significantly give response to money supply, and consumer price index. Moreover,
Vector Auto Regressive (VAR) model could only explained money supply, and consumer price
index. VAR also reported that the industrial production was positive but not significant. It was
suggested that the negative signs of macroeconomic variables in Pakistan’s stock market
influence more stock prices than positive news.
Kandir (2008), on monthly data from July 1997 to June 2005 by using multiple regression model
and Augmented Dickey Fuller (ADF) and Phillip Perron (PP) stationary tests, suggested negative
impact of interest rates on stock returns, since interest rate was the best alternative investment
opportunity. Furthermore, industrial production, money supply and oil prices don’t show any
significant influence on stock returns. But, the significant effect of exchange rate in Turkey
Stock Market was identified.
Gay (2008) used Augmented Dickey-Fuller (ADF) test on exchange rate and oil price for Brazil,
Russia, India, and China (BRIC) and the monthly data of stock market indices between 1999 and
2006. The relationship between exchange rate and oil price on the stock market index prices for
the countries was not significant.
From June 1998 to June 2008, Hasan and Javed (2009) evaluated macroeconomic variables
which include inflation, industrial production, oil prices, short term interest rate, exchange
rates, foreign portfolio investment, money supply and equity prices by using cumulative sum
(CUSUM) cumulative sum of squares (CUSUMSQ) tests, unit root by lag range multiplier (LM)
test, Augmented Dickey Fuller (ADF) test and Phillips-Perron (PP) test and VAR models, error
correction model, autoregressive distributed lag (ARDL) test approach which captures industrial
production. Oil prices and inflation are detected to be not significant but interest rate (IR),
exchange rate and money supply are appeared to be significant in the long run. Furthermore,
error correction model (ECM) captured the short term dynamics of prices effect on equity
prices. Finally, foreign portfolio investments (FPI) appeared to be significant short influence in
short term analysis and no long influence in long term analysis.
Abdul Rahman et al. (2009) reported that Malaysian stock market has stronger dynamic
relations with reserves and industrial production index than money supply, interest rate, and
exchange rate.
International Journal of Academic Research in Business and Social Sciences
September 2012, Vol. 2, No. 9
ISSN: 2222-6990
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Sohail and Hussain (2009) found out that there are long-run and short-run relationship between
macroeconomic variables and stock returns in Lahore stock exchange from December 2002 to
June 2008. They also identified that inflation negatively influence stock returns while there are
positive influence of money supply, industrial production and real effective exchange rate on
stock prices.
According to Rjoub et al’s (2009) analysis, there appeared a relationship between
macroeconomic including variables interest rate, unanticipated inflation, risk premium,
exchange rate, money supply, unemployment rate and Istanbul Stock Market (ISE) from January
2001 to September 2005 by using arbitrage pricing theory (APT) model, correlation among
explanatory variables and portfolios regression. A significant pricing relationship between the
stock return was identified. Moreover, macroeconomic variables are found to have a significant
influence on the stock market returns in various portfolios. On the other hand, the results
suggested that there should be other macroeconomic factors affecting stock market returns in
Istanbul Stock Market (ISE) instead of the tested ones because of weak explanatory power of
the selected variables.
Akay and Nargeleçekenler (2009) studied the relationship between monetary policy, interest
rates and stock prices by applying Structural VAR (SVAR) model. While constructing the model,
inflation rate and industrial production index are also considered. A contractionary monetary
shock was observed to be influential on the interest rate in both long and short term.
Consequently, it negatively affects stock prices.
Gencturk (2009) studied the relations between stocks in Istanbul Stock Exchange (ISE) and
macroeconomic variables by considering crisis periods and normal periods. Therefore, ISE-100
index is taken as the dependent variable; and treasury bond interest rates, consumer price
index, money supply, industrial production index, dollar, gold prices are taken as independent
variables.
Sayılgan and Süslü (2011) analyzed the influence of macroeconomic factors on stock returns in
emerging market economies using panel data from 1996 to 2006. Stock returns are found to be
significantly influenced by exchange rates, inflation rates and the S&P 500 Index while the
returns are not influenced by interest rate, gross domestic product, money supply and oil
prices.
Aktas (2011) studied the influence of 19 macroeconomic announcements on equity index
options for the period from 1983 to 2002 in ISE and found out that balance of trade, consumer
price index, producer price index, employment, housing starts, money supply and retail sales
are strongly related with index option returns. She identified that seven macroeconomic
announcement series (BOT, CPI, PPI, money supply, housing starts, employment and retail
sales) show significant effects on the option returns and volatility.
Huang and Chen (2011) employed combined various research methods of time series, including
VAR, Granger Causality Test, Impulse Response Function and Variance Decomposition in order
International Journal of Academic Research in Business and Social Sciences
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to explore the interactions among stock returns, the term structure of interest rates and
economic activities in Taiwan and found out that there were causality between stock returns
and industrial production and between stock returns and the spread between long-term and
short-term interest rates. Additionally, there was no causality or feedback observed in between
the spread and industrial production, and industrial production could not answer to the spread
obviously in the long-term and short-term. Finally, it was observed that the term structure of
interest rates is not influential on the economic activities in Taiwan.
Hosseini et al (2011) studied the relationships between stock market indices and four
macroeconomics variables including crude oil price, money supply, industrial production and
inflation rate in China and India for the period January 1999 to January 2009. The results
provided that there are both long and short run linkages between macroeconomic variables
and stock market index in both countries.
Macroeconomic factors suggested by the literature above are shown to be critical in predicting
the variability of stock returns. The key macroeconomic factors in the prediction of the stock
returns may be company size, dividend yield, price volatility of energy, interest rate risk, money
supply, risk free rate, exchange rates, inflation and industrial production index. The review of
the literature has presented that there are many studies which consider the micro and macro
factors together, especially in Turkish stock market.
There may be other influencing factors such as the transmission of shocks and psychological
effects (the consumer confidence index could be used) in the determination of stock price
movements. They may include the changes in world oil prices, changes in interest rates and
inflation rates.
There is no standardized set of macroeconomic variables, despite the clear relationship
between stock market and economic activities. Selected macroeconomic variables in order to
determine stock market slightly differ across studies. However, inflation rate, exchange rate,
interest rate, and unemployment rate are the most popular significant factors in order to
explain the stock market movement. This study also considers current account deficit among
macroeconomic factors. This study differs from the previous studies by taking sectoral
differences into consideration.
Research Methodology
Data
This research preferred interbank interest rates were as the proxy for interest rate. For
exchange rates, dollar rates are considered. For inflation, consumer price index was chosen as
the proxy. Current account deficit represents the difference between import and export.
The data are obtained from the websites of ISE, Turkish Central Bank and Turkish Statistical
Institute for the period from the second moth of 2005 to the fifth month of 2012. The study has
International Journal of Academic Research in Business and Social Sciences
September 2012, Vol. 2, No. 9
ISSN: 2222-6990
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employed ARDL approach in order to identify the effects of domestic macroeconomic
determinants on the stock returns of 45 companies form 11 sectors. Considered sectors are
Electric, Food, Communication, Wood Paper Printing, Chemistry, Metal-Main, Metal-
Production, Stone, Textile, Commerce and Transportation.
Methodology
The autoregressive distributed lag (ARDL) approach in order to determine the relationships
among the variables is preferred in this study for the analyses. The ARDL method can provide
the robust long-run results while working on small sample sizes and it can be applied if the
primary variables are entirely I (1) or I (0) or mutually integrated. The formula for ARDL
technique is given as follows (Khan & Hye, 2010):
Where SR, InfR, ER, IntR, UR, CAD denote stock returns, inflation rate, exchange rate, interest
rate, unemployment rate and current account deficit respectively.
Before employing ARDL, all macroeconomic data has been tested for unit root in order to
identify whether the data were stationary through level and 1st difference Akaike-Information
Criterion and it was observed that the data consist of both stationary and non-stationary
information. According to the results, the data are found to be proper for ARDL approach.
Therefore, ARDL was applied through four lags. The results are presented in Table 1.
Results
The overall summary of ARDL results on sector basis are presented in table 1 and the detailed
results for each sector are provided as appendices at the end of the paper. Macroeconomic
factors are defined according to the previous studies. Total 45 companies which are the leaders
of the 11 sectors are chosen among the companies operating in Turkish industry. Empirical
findings imply that among the considered factors which are exchange rate, interest rate,
unemployment, consumer price index and current account deficit, it has been observed that
exchange rate and interest rate are highly significant determinants of the stock return
movements of the companies from different sectors. It means that the changes in the exchange
rate and interest rate impact the economy as a whole without distinction of the sector.
International Journal of Academic Research in Business and Social Sciences
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Table 1 Summary of the Results
Conclusion
This paper analyzes the impact of macroeconomic variables on the stock returns of the
companies from different sectors. 45 companies from 11 sectors are chosen in order to identify
the role of each macroeconomic factor on the stock returns. The overall results indicate that
exchange rate and interest rate are the most significant factors in the stock price fluctuations of
the companies. Stock returns of the companies in any industry are very sensitive to the changes
in exchange rate and interest rate.
Our findings have beneficial implications for policy makers who are responsible to manage
economy. Exchange rate and interest rate play crucial role to mitigate the hazardous affect of
financial crises and also the economic recession. Moreover, portfolio investors can use
exchange rate and interest rates movements to forecast stock returns of the companies.
Corresponding Author
References
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Appendices
Appendix 1 ARDL Results for Electric Sector
Sector
Electric
Company
Akenr
Aksue
Ayen
Zoren
Criter
ia
Coefficie
nt
T-
Statisti
cs
Coefficie
nt
T-
Statisti
cs
Coefficie
nt
T-
Statisti
cs
Coefficie
nt
T-
Statisti
cs
RETURN
X1(-
1)
0,39797
3,4719
0
0,37210
3,9279
0
X1(-
2)
-
0,22494
-
1,9568
0
-
0,31738
-
3,2329
0
X1(-
3)
0,20063
2,0139
0
X1(-
4)
-
0,34469
-
3,6620
0
Unemploym
ent Rate
X2
0,00569
2,0618
0
-
0,00512
-
2,5793
0
0,00123
1,0426
0
0,00422
1,5558
0
X2(-
1)
-
0,00334
-
1,3777
0
-
0,00716
-
1,6890
0
X2(-
2)
0,00540
2,2394
0
Consumer
Price Index
X3
-
0,00207
-
1,6116
0
0,00365
2,2463
0
-
0,01336
-
1,6708
0
-
0,00158
-
1,6786
0
X3(-
1)
0,01315
1,6084
0
Interest rate
X4
-
0,00069
-
0,1217
5
-
0,00208
-
0,5739
0
-
0,00530
-
2,1263
0
-
0,00240
-
0,5778
4
X4(-
1)
-
0,00475
-
0,8303
8
0,00486
1,8732
0
X4(-
2)
0,00660
1,8530
0
Exchange
Rate
X5
-
0,01662
-
4,7449
0
-
0,00940
-
2,3904
0
-
0,01346
-
5,1282
0
-
0,01473
-
5,9451
0
International Journal of Academic Research in Business and Social Sciences
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X5(-
1)
0,01830
3,2502
0
0,01166
3,0924
0
0,01335
5,2152
0
0,01418
5,9853
0
X5(-
2)
-
0,01151
-
1,9441
0
X5(-
3)
0,00962
2,5383
0
Current
Account
Deficit
X6
0,00410
1,5603
0
-
0,00375
-
1,1730
0
-
0,00068
-
0,3233
1
0,00269
1,3898
0
X6(-
1)
0,00429
1,1932
0
X6(-
2)
-
0,00502
-
1,6108
0
Adj. R-square
0,37765
0,24542
0,40378
0,47707
AIC
59,48150
53,29240
78,84680
83,46420
SBC
46,31200
40,12290
69,26900
69,09760
F-Statistic
5,85450
3,60190
8,73990
7,63500
Prob(F-statistic)
0,00000
0,00100
0,00000
0,00000
Durbin-Watson
1,91700
1,70570
1,92120
2,08420
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Appendix 2 ARDL Results for Food Sector
Sector
Food
Company
Aefes
Banvt
Skplc
Tatks
Ulker
Crite
ria
Coeffici
ent
T-
Statis
tics
Coeffic
ient
T-
Statis
tics
Coeffic
ient
T-
Statis
tics
Coeffic
ient
T-
Statis
tics
Coeffici
ent
T-
Statis
tics
RETURN
X1(-
1)
0,4208
4
3,994
70
0,3488
5
3,263
40
0,1872
1
2,057
10
Unemplo
yment
Rate
X2
0,0039
1
0,348
57
-
0,0023
9
-
0,904
13
-
0,0021
2
-
0,441
80
-
0,0012
2
-
0,976
57
0,0016
2
1,816
10
X2(-
1)
0,0041
4
1,804
00
0,0024
7
0,292
70
X2(-
2)
0,0012
2
0,143
54
X2(-
3)
-
0,0072
4
-
1,727
10
Consumer
Price
Index
X3
-
0,0059
4
-
0,588
83
-
0,0010
3
-
0,833
45
0,0119
5
0,829
27
0,0112
1
1,503
00
-
0,0061
4
-
0,970
25
X3(-
1)
-
0,0235
3
-
1,088
20
-
0,0104
6
-
1,396
10
-67015
-
0,682
64
X3(-
2)
-
0,0087
0
-
0,397
36
0,0110
7
1,755
20
X3(-
3)
0,0486
2
2,242
70
X3(-
4)
-
0,0244
2
-
1,767
77
İnterest
rate
X4
-
0,0063
2
-
1,422
40
-
0,0092
9
-
1,728
90
-
0,0056
1
-
0,785
40
-
0,0077
0
-
1,917
40
-
0,0012
7
-
3,752
50
Exchange
Rate
X5
0,0093
7
0,903
04
-
0,0158
6
-
5,176
90
-
0,0088
4
-
2,001
70
-
0,0106
9
-
4,213
60
-
0,0151
4
-
5,912
20
X5(-
1)
0,0170
0
5,626
00
0,0123
1
2,911
00
0,0126
9
5,120
80
0,0126
3
3,663
90
X5(-
2)
-
0,0021
-
0,620
International Journal of Academic Research in Business and Social Sciences
September 2012, Vol. 2, No. 9
ISSN: 2222-6990
330 www.hrmars.com/journals
3
23
X5(-
3)
0,0038
0
1,829
70
Current
Account
Deficit
X6
0,0021
2
0,104
00
-
0,0014
4
-
0,581
17
0,0053
5
1,318
50
0,0016
5
0,785
30
0,0019
3
2,206
80
X6(-
1)
0,0001
2
0,026
30
0,0014
2
0,604
32
X6(-
2)
-
0,0018
0
-
3,897
00
-
0,0084
1
-
4,119
80
Adj. R-square
0,18067
0,35863
0,42306
0,49683
0,47545
AIC
80,17730
63,52630
41,07430
86,44000
99,79290
SBC
72,99400
55,14570
21,91870
74,46780
87,82060
F-Statistic
4,52830
8,45550
4,91080
9,77690
9,05680
Prob(F-statistic)
0,00000
0,00000
0,00000
0,00000
0,00000
Durbin-Watson
1,93610
1,71930
1,99390
1,97730
1,93030
International Journal of Academic Research in Business and Social Sciences
September 2012, Vol. 2, No. 9
ISSN: 2222-6990
331 www.hrmars.com/journals
Appendix 3 ARDL Results for Communication Sector
Sector
Communication
Company
Tcell
Criteria
Coefficient
T-
Statistics
RETURN
X1(-1)
Unemployment
Rate
X2
0,00200
0,95202
X2(-1)
0,00103
0,31163
X2(-2)
-0,00360
-1,92610
Consumer
Price Index
X3
0,00193
0,25407
Interest rate
X4
-0,00145
-0,43453
Exchange Rate
X5
-0,00685
-3,37000
X5(-1)
0,00776
2,35640
X5(-2)
-0,00534
-1,61100
X5(-3)
0,00501
2,44920
Current
Account Deficit
X6
-0,00531
-0,34857
Adj. R-square
0,20088
AIC
102,07590
SBC
90,10370
F-Statistic
3,23440
Prob(F-statistic)
0,00200
Durbin-Watson
1,74230
International Journal of Academic Research in Business and Social Sciences
September 2012, Vol. 2, No. 9
ISSN: 2222-6990
332 www.hrmars.com/journals
Appendix 4 ARDL Results for Paper Sector
Sector
Paper
Company
Hurgz
Ipeke
Kartn
Kozaa
Tire
Criteria
Coefficient
T-
Statistics
Coefficient
T-
Statistics
Coefficient
T-
Statistics
Coefficient
T-
Statistics
Coefficient
T-
Statistics
RETURN
X1(-1)
0,00960
0,08539
0,07240
0,60610
X1(-2)
-0,48849
-4,50610
-0,30817
-2,61310
X1(-3)
0,06949
0,65841
-0,01679
-0,15102
X1(-4)
-0,22455
-2,33500
-0,18729
-1,95880
Unemployment
Rate
X2
0,00164
1,45170
0,01332
2,83380
0,00135
0,93862
0,00999
2,07440
0,00434
1,34640
X2(-1)
-0,01055
-1,28250
-0,01168
-1,58380
-0,00462
-1,61950
X2(-2)
-0,00201
-0,23930
0,00796
1,88730
X2(-3)
0,00711
1,60660
Consumer
Price Index
X3
-0,00278
-2,75730
0,00807
0,57420
-0,00329
-0,25553
0,00527
0,38184
0,02522
2,13790
X3(-1)
-0,04124
-1,98280
-0,04101
-1,92160
-0,04527
-2,37230
X3(-2)
0,02238
1,72400
0,02543
1,90790
0,04161
2,17400
X3(-3)
-0,02277
-1,87780
Interest rate
X4
-0,00199
-4,53240
-0,00394
-4,76190
-0,00128
-2,29790
-0,00309
-3,68110
0,00321
0,76818
X4(-1)
-0,01181
-1,72290
X4(-2)
0,01698
2,60480
X4(-3)
-0,00700
-1,74420
Exchange Rate
X5
-0,01624
-5,86940
-0,01541
-3,42530
-0,00284
-0,84055
-0,01542
-3,31800
-0,00942
-2,07400
X5(-1)
0,01322
2,88930
0,01567
2,17640
0,01012
1,93320
0,01833
2,48330
0,01330
1,71370
X5(-2)
0,00492
1,02150
-0,01030
-1,40130
-0,00697
-2,05900
-0,00453
-0,59216
-0,01181
-1,48740
X5(-3)
-0,00381
-0,82575
0,01940
3,71550
0,01114
2,00370
0,00122
0,16941
X5(-4)
0,00585
2,11640
0,00648
1,54010
Current
Account Deficit
X6
0,00306
0,01502
0,00699
2,04220
0,00432
0,16638
0,00644
1,78940
0,00294
0,99743
Adj. R-square
0,55790
0,50398
0,06173
0,44838
0,19273
AIC
79,40520
39,82250
60,13230
37,80270
49,13700
SBC
68,63020
19,46970
51,75240
18,64710
29,98140
F-Statistic
13,61940
6,08020
1,87730
5,33520
2,27330
Prob(F-statistic)
0,00000
0,00000
0,09600
0,00000
0,01200
Durbin-Watson
1,76820
1,97250
2,08740
2,10240
2,14530
Appendix 5 ARDL Results for Chemistry Sector
Sector
Chemistry
Company
Aksa
Aygaz
Petkm
Trcas
Tuprs
Criteria
Coefficient
T-
Statistics
Coefficient
T-
Statistics
Coefficient
T-
Statistics
Coefficient
T-
Statistics
Coefficient
T-
Statistics
RETURN
X1(-1)
0,17924
1,66900
0,22176
1,94920
0,20286
1,86050
-0,14395
-1,27770
-0,18701
-1,71100
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September 2012, Vol. 2, No. 9
ISSN: 2222-6990
333 www.hrmars.com/journals
X1(-2)
-0,20820
-1,90910
-0,28503
-2,54030
-0,30391
-2,72050
-0,08523
-0,92222
X1(-3)
-0,28779
-2,58750
0,25409
2,79190
Unemployment
Rate
X2
0,00168
0,88901
0,00326
2,66840
0,00636
0,39814
-0,00069
-0,04128
0,00160
1,83920
Consumer
Price Index
X3
0,00524
0,33840
-0,00281
-2,59470
0,01576
1,42280
-0,00135
-0,90187
0,01233
2,03730
X3(-1)
-0,01680
-1,48430
-0,01425
-2,31070
Interest rate
X4
-0,00359
-0,09720
-0,00167
-3,26010
-0,00451
-0,74627
-0,00979
-1,49780
-0,00122
-3,56120
X4(-1)
-0,00380
-0,61575
X4(-2)
0,01221
2,03340
X4(-3)
-0,01027
-2,76670
Exchange Rate
X5
-0,00678
-1,63540
-0,01221
-4,32490
-0,00815
-2,32220
-0,01493
-3,71540
-0,00853
-4,22450
X5(-1)
0,01575
2,29120
0,01461
3,05250
0,00932
2,70430
0,01255
1,85190
-0,00626
1,91580
X5(-2)
-0,01700
-2,41990
-0,00863
-1,70540
-0,00400
-0,57855
0,00408
1,74940
X5(-3)
0,01807
2,77070
0,00789
2,43600
0,00988
2,20130
Current
Account Deficit
X6
0,00779
2,49440
0,00337
1,54480
-0,00388
-0,13356
-0,00294
-0,97249
0,00155
0,97807
X6(-1)
0,00116
0,31906
X6(-2)
-0,00990
-3,11520
Adj. R-square
0,33442
0,36791
0,08996
0,28208
0,38457
AIC
56,36360
75,28360
52,62760
47,24120
102,59590
SBC
36,01080
63,31130
43,04980
35,26900
83,42650
F-Statistic
3,18560
6,17380
2,12420
4,49260
5,99910
Prob(F-statistic)
0,00000
0,00000
0,05100
0,00000
0,00000
Durbin-Watson
2,18560
2,01770
1,94550
2,10140
1,88380
Appendix 6 ARDL Results for Metal-Main Sector
Sector
Metal-Main
Company
Brsan
Cemts
Eregl
Izmdc
Krdmd
Criteria
Coefficient
T-
Statistics
Coefficient
T-
Statistics
Coefficient
T-
Statistics
Coefficient
T-
Statistics
Coefficient
T-
Statistics
RETURN
X1(-1)
0,29311
2,97370
Unemployment
Rate
X2
0,00335
1,15640
0,00331
2,31960
0,00577
0,38576
0,00188
1,09910
0,00196
1,27440
X2(-1)
-0,00498
-1,03760
X2(-2)
0,00539
1,98120
Consumer
Price Index
X3
-0,00219
-1,72750
0,01616
1,63350
-0,00180
-1,34010
0,01517
1,48940
-0,00106
-0,77284
X3(-1)
-0,01888
-1,86800
0,00511
0,31750
X3(-2)
-0,03850
-2,41130
X3(-3)
0,01607
1,59910
Interest rate
X4
-0,00113
-2,34380
-0,00164
-3,02750
-0,00575
-0,99527
-0,00627
-2,03330
-0,00769
-1,29650
X4(-1)
0,00544
1,69290
Exchange Rate
X5
-0,01248
-4,59670
-0,01160
-3,69150
-0,01252
-3,76820
-0,00449
-1,41250
-0,01626
-4,77030
X5(-1)
0,01175
4,37140
0,01238
4,01410
0,01477
4,51740
0,00547
1,78450
0,01612
4,80400
Current
X6
0,00007
0,02602
0,00435
1,68590
0,00059
0,21923
0,00851
3,04990
0,00238
0,85683
International Journal of Academic Research in Business and Social Sciences
September 2012, Vol. 2, No. 9
ISSN: 2222-6990
334 www.hrmars.com/journals
Account Deficit
X6(-1)
0,00516
1,87680
0,00125
0,39039
X6(-2)
-0,00689
-2,47070
Adj. R-square
0,26443
0,21566
0,18156
0,33359
0,21486
AIC
72,55900
62,00720
57,06310
64,31820
54,97170
SBC
61,78390
53,62660
49,87970
48,75430
47,78840
F-Statistic
4,59490
4,66610
4,54950
4,33720
5,37860
Prob(F-statistic)
0,00000
0,00000
0,00100
0,00000
0,00000
Durbin-Watson
1,84820
1,69780
1,89500
1,99730
1,88120
International Journal of Academic Research in Business and Social Sciences
September 2012, Vol. 2, No. 9
ISSN: 2222-6990
335 www.hrmars.com/journals
Appendix 7 ARDL Results for Metal-Product Sector
Sector
Metal-Product
Company
Arclk
Toaso
Tttrak
Vestl
Criter
ia
Coefficie
nt
T-
Statisti
cs
Coefficie
nt
T-
Statisti
cs
Coefficie
nt
T-
Statisti
cs
Coefficie
nt
T-
Statisti
cs
RETURN
X1(-
1)
-
0,08616
-
0,7572
7
0,04111
0,4028
2
0,10571
1,2340
0
X1(-
2)
-
0,23960
-
2,3299
0
-
0,27453
-
2,7178
0
-
0,15203
-
1,8478
0
X1(-
3)
-
0,11375
1,0877
0
X1(-
4)
0,24744
2,9254
0
Unemploym
ent Rate
X2
0,00270
2,4084
0
0,00254
2,2234
0
0,00442
4,2797
0
0,00137
1,1291
0
Consumer
Price Index
X3
-
0,00330
-
3,3036
0
-
0,00338
-
3,3807
0
-
0,00394
-
4,4519
0
-
0,00100
-
0,9470
3
Interest rate
X4
-
0,00282
-
4,9971
0
-
0,00257
-
5,8392
0
-
0,00448
-
2,0128
0
-
0,00168
-
4,1155
0
X4(-
1)
0,00660
1,8617
0
X4(-
2)
-
0,00449
-
1,9057
0
Exchange
Rate
X5
-
0,01358
-
4,9395
0
-
0,01552
-
6,6369
0
-
0,01240
-
4,8858
0
-
0,01564
-
6,5952
0
X5(-
1)
0,01380
2,7809
0
0,01745
4,4695
0
0,00878
2,1294
0
0,01735
7,4712
0
X5(-
2)
-
0,00398
-
0,7319
6
-
0,00723
-
1,6643
0
-
0,00449
-
0,1148
1
X5(-
3)
0,00188
0,3646
1
0,01006
3,2968
0
0,00620
2,6254
0
X5(-
4)
0,00607
1,7616
0
Current
X6
0,00142
0,6767
0,00168
0,8464
0,00608
3,4006
0,00296
1,4651
International Journal of Academic Research in Business and Social Sciences
September 2012, Vol. 2, No. 9
ISSN: 2222-6990
336 www.hrmars.com/journals
Account
Deficit
4
4
0
0
X6(-
1)
0,00392
1,7376
0
0,00101
0,4306
3
X6(-
2)
-
0,00555
-
2,9717
0
-
0,00472
-
2,3954
0
Adj. R-square
0,53425
0,67787
0,56941
0,56789
AIC
79,54010
93,19560
89,60090
88,44910
SBC
63,97620
78,82890
77,62860
76,47690
F-Statistic
8,64730
16,30420
12,75470
12,68220
Prob(F-statistic)
0,00000
0,00000
0,00000
0,00000
Durbin-Watson
2,00380
2,24990
1,98650
2,01120
International Journal of Academic Research in Business and Social Sciences
September 2012, Vol. 2, No. 9
ISSN: 2222-6990
337 www.hrmars.com/journals
Appendix 8 ARDL Results for Stone Sector
Sector
Stone
Company
Adana
Afyon
Anacm
Golts
Konya
Trkcm
Crit
eria
Coeff
icient
T-
Stati
stics
Coeff
icient
T-
Stati
stics
Coeff
icient
T-
Stati
stics
Coeff
icient
T-
Stati
stics
Coeff
icient
T-
Stati
stics
Coeff
icient
T-
Stati
stics
RETURN
X1(
-1)
0,151
30
1,54
180
0,295
85
2,67
860
0,103
83
0,90
382
0,279
94
2,48
410
X1(
-2)
-
0,159
53
-
1,68
220
-
0,113
36
-
1,01
600
-
0,243
98
-
2,11
320
-
0,454
62
-
4,08
450
X1(
-3)
0,322
76
3,11
040
-
0,067
85
-
0,65
384
0,161
42
1,41
800
X1(
-4)
-
0,334
97
-
3,32
950
-
0,237
61
-
2,40
790
-
0,278
69
-
2,54
380
Unempl
oyment
Rate
X2
0,001
85
1,71
070
0,007
39
2,39
360
0,001
66
1,38
210
0,007
15
4,09
610
0,004
53
1,16
400
0,002
86
1,12
310
X2(
-1)
-
0,004
89
-
1,90
850
0,008
92
1,28
240
-
0,006
84
-
1,53
040
X2(
-2)
-
0,017
36
-
2,45
990
0,013
21
2,76
820
X2(
-3)
0,009
66
2,64
280
-
0,010
42
-
3,38
130
Consum
er Price
Index
X3
-
0,002
70
-
2,77
000
0,003
11
0,25
521
-
0,001
97
-
1,88
240
-
0,005
96
-
3,89
790
0,016
68
1,42
600
-
0,012
74
-
1,69
360
X3(
-1)
-
0,031
01
-
1,70
400
-
0,010
66
-
0,58
977
0,013
07
1,72
270
X3(
-2)
0,024
62
2,03
020
-
0,023
08
-
1,25
070
X3(
-3)
0,037
85
2,13
760
X3(
-4)
-
0,024
50
-
2,14
550
International Journal of Academic Research in Business and Social Sciences
September 2012, Vol. 2, No. 9
ISSN: 2222-6990
338 www.hrmars.com/journals
Interest
rate
X4
-
0,001
13
-
2,65
040
-
0,004
29
-
0,71
346
-
0,002
10
-
4,58
820
-
0,002
08
-
3,52
160
-
0,002
77
-
3,84
690
0,001
36
0,56
712
X4(
-1)
-
0,004
98
-
1,32
020
X4(
-2)
0,007
14
1,85
470
X4(
-3)
-
0,005
29
-
2,13
010
Exchang
e Rate
X5
-
0,009
34
-
3,90
740
-
0,008
92
-
2,46
260
-
0,010
13
-
4,07
350
-
0,007
90
-
2,34
000
-
0,007
42
-
2,04
720
-
0,009
67
-
3,47
010
X5(
-1)
0,012
05
5,11
200
0,010
61
2,96
900
0,014
93
3,59
310
0,009
43
2,83
610
0,012
98
2,26
290
0,014
44
3,44
310
X5(
-2)
-
0,008
26
-
1,83
260
-
0,004
85
-
1,27
560
-
0,008
37
-
2,01
190
X5(
-3)
0,006
13
2,14
560
0,007
05
2,79
750
Current
Account
Deficit
X6
0,000
83
0,42
760
0,003
68
1,21
980
0,004
97
2,30
070
0,001
48
0,48
474
0,005
78
2,03
920
0,003
01
1,29
420
X6(
-1)
0,003
34
1,31
660
0,006
49
2,09
640
0,004
73
2,09
530
X6(
-2)
-
0,002
61
-
1,08
000
-
0,003
54
-
1,43
550
X6(
-3)
-
0,004
83
-
2,12
910
-
0,009
15
-
3,02
610
Adj. R-square
0,35709
0,37299
0,46885
0,29500
0,35938
0,52273
AIC
83,44980
53,38530
88,50490
55,36930
53,94480
91,21500
SBC
73,87200
37,82140
70,54650
46,98870
32,39470
69,66500
F-Statistic
7,34780
4,96580
6,04390
6,59100
3,64000
6,15420
Prob(F-
statistic)
0,00000
0,00000
0,00000
0,00000
0,00000
0,00000
Durbin-
Watson
1,90990
1,98570
1,94030
1,62750
1,97960
2,09780
International Journal of Academic Research in Business and Social Sciences
September 2012, Vol. 2, No. 9
ISSN: 2222-6990
339 www.hrmars.com/journals
Appendix 9 ARDL Results for Textile Sector
Sector
Textile
Company
Altın
Bossa
Mndrs
Sktas
Yunsa
Crite
ria
Coeffic
ient
T-
Statis
tics
Coeffic
ient
T-
Statis
tics
Coeffic
ient
T-
Statis
tics
Coeffic
ient
T-
Statis
tics
Coeffic
ient
T-
Statis
tics
RETURN
X1(-
1)
0,0174
0
0,159
44
0,2407
9
2,128
40
0,2338
0
1,812
70
X1(-
2)
-
0,2857
1
-
2,864
60
-
0,1411
8
-
1,346
70
-
0,4421
1
-
3,546
50
Unemplo
yment
Rate
X2
0,0044
9
2,684
90
0,0152
0
3,335
30
0,0014
5
0,975
26
0,0087
5
1,782
30
0,0032
1
0,285
10
X2(-
1)
-
0,0214
0
-
2,863
40
-
0,0079
1
-
0,890
40
X2(-
2)
0,0104
6
1,440
70
0,0154
5
1,677
60
X2(-
3)
0,0138
1
1,796
00
-
0,0133
0
-
2,811
80
X2(-
4)
-
0,0145
5
-
3,208
80
Consumer
Price
Index
X3
0,0055
4
0,533
14
0,0049
4
0,423
56
-
0,0012
8
-
1,051
90
-
0,0270
7
-
1,743
80
0,0108
4
1,400
70
X3(-
1)
0,0190
8
1,161
10
-
0,0272
3
-
1,521
80
0,0464
9
1,884
00
-
0,0121
0
-
1,530
10
X3(-
2)
-
0,0285
7
-
1,732
60
-
0,0051
1
-
0,292
35
-
0,0524
2
-
2,221
50
X3(-
3)
0,0220
9
1,319
20
0,0260
3
2,197
80
0,0334
9
2,352
90
X3(-
4)
-
0,0223
7
-
2,069
40
Interest
rate
X4
0,0027
1
0,854
77
0,0104
6
2,650
50
0,0013
2
0,390
11
0,0106
2
2,121
00
-
0,0016
4
-
3,852
40
X4(-
-
-
-
-
-
-
-
-
International Journal of Academic Research in Business and Social Sciences
September 2012, Vol. 2, No. 9
ISSN: 2222-6990
340 www.hrmars.com/journals
1)
0,0100
4
1,960
80
0,0080
9
1,398
30
0,0081
9
1,462
50
0,0121
6
2,377
90
X4(-
2)
0,0058
3
1,724
90
0,0048
5
0,858
90
-
0,0056
6
-
0,102
77
X4(-
3)
-
0,0018
5
-
0,325
05
0,0061
7
1,840
00
X4(-
4)
-
0,0065
6
-
1,756
00
Exchange
Rate
X5
-
0,0101
0
-
2,834
00
-
0,0117
6
-
3,066
40
-
0,0157
7
-
4,264
00
-
0,0170
2
-
3,180
80
-
0,0073
9
-
2,829
40
X5(-
1)
0,0027
3
0,460
17
0,0112
4
3,007
20
0,0219
0
3,335
90
0,0116
2
1,352
40
0,0047
4
1,178
30
X5(-
2)
-
0,0036
9
-
0,639
91
-
0,0153
4
-
2,211
40
-
0,0104
6
-
1,281
10
0,0056
0
2,164
60
X5(-
3)
0,0118
7
3,198
30
0,0186
5
3,000
50
0,0205
9
2,628
70
X5(-
4)
-
0,0082
8
-
2,250
50
-
0,0065
4
-
1,370
40
Current
Account
Deficit
X6
0,0034
3
1,147
40
0,0033
3
1,181
20
0,0018
6
0,771
43
0,0036
2
0,928
17
-
0,0004
6
-
0,228
28
X6(-
1)
0,0052
3
1,720
70
0,0077
7
1,724
10
X6(-
2)
-
0,0094
6
-
1,928
80
Adj. R-square
0,39278
0,13300
0,39519
0,38754
0,29946
AIC
62,54700
53,82520
63,93530
38,98670
81,56660
SBC
42,19420
33,47240
47,17470
15,04220
71,98880
F-Statistic
4,23430
1,76700
5,02100
3,66420
5,88530
Prob(F-statistic)
0,00000
0,05600
0,00000
0,00000
0,00000
Durbin-Watson
2,17730
1,94540
1,97010
2,01400
1,91590
International Journal of Academic Research in Business and Social Sciences
September 2012, Vol. 2, No. 9
ISSN: 2222-6990
341 www.hrmars.com/journals
Appendix 10 ARDL Results for Commerce Sector
Sector
Commerce
Company
Boynr
Doas
Kipa
Mgros
Sanko
Crite
ria
Coeffic
ient
T-
Statis
tics
Coeffic
ient
T-
Statis
tics
Coeffic
ient
T-
Statis
tics
Coeffic
ient
T-
Statis
tics
Coeffic
ient
T-
Statis
tics
RETURN
X1(-
1)
0,1763
8
2,063
80
0,3290
2
3,198
10
-
0,0598
8
-
0,567
38
X1(-
2)
0,0039
5
0,003
68
X1(-
3)
-
0,2028
3
-
1,834
10
X1(-
4)
-
0,3326
1
-
4,044
10
Unemplo
yment
Rate
X2
-
0,0037
5
-
0,099
28
0,0016
9
1,321
80
-
0,0028
9
-
1,624
10
-
0,0035
8
-
1,700
60
0,0030
0
0,347
03
X2(-
1)
-
0,0025
7
-
0,407
03
0,0037
2
2,035
40
X2(-
2)
0,0120
9
1,887
60
X2(-
3)
-
0,0188
9
-
2,916
30
X2(-
4)
0,0055
7
1,710
50
Consumer
Price
Index
X3
0,0025
6
1,450
70
-
0,0017
1
-
1,499
10
-
0,0037
8
-
0,244
20
-
0,0005
0
-
0,050
96
0,0014
4
0,192
35
Interest
rate
X4
-
0,0016
5
-
3,085
20
-
0,0013
2
-
2,625
80
-
0,0010
5
-
1,814
30
-
0,0024
2
-
0,564
68
-
0,0015
4
-
4,729
20
Current
Account
Deficit
X6
-
0,0035
9
-
0,116
95
-
0,0006
1
-
0,265
24
0,0012
0
0,405
82
-
0,0025
1
-
1,269
60
-
0,0023
1
-
1,508
30
X6(-
1)
0,0059
9
1,980
00
0,0020
7
0,625
12
0,0040
1
2,161
10
X6(-
-
-
-
-
-
-
International Journal of Academic Research in Business and Social Sciences
September 2012, Vol. 2, No. 9
ISSN: 2222-6990
342 www.hrmars.com/journals
2)
0,0099
9
3,049
00
0,0043
2
1,300
00
0,0005
1
0,289
69
X6(-
3)
-
0,0055
0
-
1,369
50
-
0,0056
8
-
1,889
30
-
0,0038
3
-
2,546
10
Adj. R-square
0,54231
0,52019
0,38092
0,29926
0,58470
AIC
66,94600
69,68590
58,43700
81,90180
115,43020
SBC
48,98760
61,30530
47,66190
73,52620
96,27460
F-Statistic
7,77060
15,45560
7,15290
6,69400
8,50950
Prob(F-statistic)
0,00000
0,00000
0,00000
0,00000
0,00000
Durbin-Watson
1,88700
2,01960
1,91910
1,73340
1,96960
International Journal of Academic Research in Business and Social Sciences
September 2012, Vol. 2, No. 9
ISSN: 2222-6990
343 www.hrmars.com/journals
Appendix 11 ARDL Results for Transportation Sector
Sector
Transportation
Company
Clebi
Thyao
Ucak
Criteria
Coefficient
T-
Statistics
Coefficient
T-
Statistics
Coefficient
T-
Statistics
RETURN
X1(-1)
0,23995
2,07940
-0,00174
-0,01577
0,06823
0,62181
X1(-2)
-0,22014
-1,87360
-0,23392
-2,19620
-0,12634
-1,17510
X1(-3)
-0,18997
-1,70410
0,08848
0,79906
X1(-4)
-0,20780
-2,56780
Unemployment
Rate
X2
0,00778
2,39030
0,00513
1,19010
0,00189
0,53263
X2(-1)
-0,00371
-1,30400
-0,00936
-1,23210
-0,00431
-0,06818
X2(-2)
0,01297
1,72680
0,00758
1,18630
X2(-3)
-0,00791
-2,10390
-0,00774
-2,35940
Consumer
Price Index
X3
-0,00384
-2,43400
-0,00170
-0,11290
-0,00148
-1,19730
Interest rate
X4
0,00668
1,73590
-0,00421
-0,64628
0,00318
0,94001
X4(-1)
-0,01837
-2,86560
-0,00334
-0,63748
X4(-2)
0,01842
2,86720
0,00395
0,79914
X4(-3)
-0,00902
-2,23290
-0,00693
-2,15160
Exchange Rate
X5
-0,01481
-3,58800
-0,01324
-3,58260
-0,00951
-2,85640
X5(-1)
0,02642
3,75400
0,01359
3,73360
0,01236
3,71940
X5(-2)
-0,01846
-2,53740
X5(-3)
0,00988
2,27850
Current
Account Deficit
X6
0,00247
0,84373
-0,00171
-0,55307
-0,00027
-0,10776
Adj. R-square
0,29474
0,21819
0,35849
AIC
50,26070
47,65560
61,49990
SBC
33,49950
33,28890
42,34430
F-Statistic
3,57180
3,02970
3,98040
Prob(F-statistic)
0,00000
0,00200
0,00000
Durbin-Watson
1,90450
2,02250
1,94210
