SavedAdd your journal

Journals / İzmir Yönetim Dergisi / 2026 / Cilt: 7 Sayı: 1

Var Analysis Between Economic Growth and Stock Market Index: The Case of Türkiye (1998-2024)

Ekonomik Büyüme ve Borsa Endeksi Arasında Var Analizi: Türkiye Örneği (1998-2024)

Mesut Fenkli(MANISA CELAL BAYAR UNIVERSITY)0000-0001-5787-7979
Sevinc Güler Özçalık(DOKUZ EYLÜL ÜNİVERSİTESİ)0000-0002-0423-7510
Melih Özçalık(MANİSA CELÂL BAYAR ÜNİVERSİTESİ)0000-0002-3559-4975
Pages
22–46
Publication Date
2026-07-28
🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.
DergiPark Record ↗
✨

AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

As a result, it was found that the variables have a long-run cointegration relationship and, according to the error correction model, after a possible deviation from equilibrium, the variables converge to the equilibrium position in 4.67 (period) quarters.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:In the economic and financial literature, the interaction between the real sector and the financial sector has been discussed for a long time.
📊
Key Findings & Data:In this study, a bivariate time series with 108 frequencies was constructed by adding GDP data for the period 1998:Q1 and 2024:Q4, which are the oldest data available for the Borsa Istanbul TUM index.
💡
Conclusion & Impact:As a result, it was found that the variables have a long-run cointegration relationship and, according to the error correction model, after a possible deviation from equilibrium, the variables converge to the equilibrium position in 4.67 (period) quarters.
🔬Design:Modeling & Simulation
📍Scope:2024 Verileri
⚙️Variables:Finansal Gelişme · Ekonomik Büyüme · Zaman Serisi Analizi

Abstract

In the economic and financial literature, the interaction between the real sector and the financial sector has been discussed for a long time. In this study, a bivariate time series with 108 frequencies was constructed by adding GDP data for the period 1998:Q1 and 2024:Q4, which are the oldest data available for the Borsa Istanbul TUM index. In the application part of the research, the VAR model was first estimated and the validity of the estimation model was decided as a result of the diagnostic tests applied to the estimation model. Then, the Engle-Granger cointegration analysis was applied to investigate the long-run relationship between the variables, and then the error correction model was estimated. As a result, it was found that the variables have a long-run cointegration relationship and, according to the error correction model, after a possible deviation from equilibrium, the variables converge to the equilibrium position in 4.67 (period) quarters. According to the Granger causality result carried out in the last stage, it is decided that there is a unidirectional Granger causality from the Gross Domestic Product variable to the Borsa Istanbul TUM Index variable, while according to the impulse response analysis, it is revealed that a 1-unit (standard deviation) shock to the Gross Domestic Product variable causes a positive effect on the Borsa Istanbul TUM Index.

Özet

Ekonomi ve finans literatüründe reel sektör ile finansal sektörü arasındaki etkileşimle ilgi tartışmalar uzun süredir devam etmektedir. Bu çalışmada Borsa İstanbul TUM Endeksi için ulaşılan en eski verinin olduğu 1998:Q1 dönemi ile 2024:Q4 dönemde Gayrisafi Yurtiçi Hasıla verileri ilave edilerek iki değişkenli 108 frekanslı zaman serileri oluşturulmuştur. Araştırmanın uygulama kısmında ilk olarak VAR model tahmin edilmiş ve tahmin modeline uygulanan diagnostik testler sonucunda tahmin modelinin geçerliliğine karar verilmiştir. Daha sonra değişkenler arasındaki uzun dönem ilişkisini araştırmak üzere Engle Granger koentegrasyon analizi uygulanarak ardından hata düzeltme modeli tahmin edilmiştir. Bunun sonucunda değişkenlerin uzun dönemde koentegrasyon ilişkisine sahip olduğu, hata düzeltme modeline göre ise yaşanması muhtemel bir dengeden sapma sonrasında değişkenlerin tekrar 4.67 (periyot) çeyrek dönemde denge konumuna yakınsadığı tespit edilmiştir. Son aşamada yapılan Granger nedensellik sonucuna göre ise Gayrisafi Yurtiçi Hasıla değişkeninden Borsa İstanbul TUM Endeksi değişkenine tek yönlü Granger nedensellik olduğuna karar verilirken, etki-tepki analizine göre Gayrisafi Yurtiçi Hasıla değişkenine verilecek 1 birim (standart sapmalık) şokun Borsa İstanbul TUM endeksi üzerinde pozitif etkiye neden olduğu ortaya çıkmıştır.

🔖

Cite This Article

Fenkli, M., Özçalık, S. G., Özçalık, M. (2026). Var Analysis Between Economic Growth and Stock Market Index: The Case of Türkiye (1998-2024). İzmir Yönetim Dergisi, Cilt: 7 Sayı: 1, 22–46. https://doi.org/10.56203/iyd.1683387

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (46)

  1. Adusei, M. (2014). Does Stock Market Development Promote Economic Growth in Ghana?. International Journal of Economics and Finance, (6), pp. 119-126.
  2. Alexius, A. & Spang, D. (2018). Stok Prices and GDP in Long Run. Journal of Applied Finance & Banking, vol. 8, no. 4, pp. 107-126.
  3. Aydemir, O. (2008). Hisse Senedi Getirileri ve Reel Sektör Arasındaki İlişki Ampirik Bir Çalışma. Afyon Kocatepe University Journal of Economics and Administrative, X (II), ss. 37-55.
  4. Baker, D., De Long, J.B. & Krugman, P. (2005). Asset Returns and Economic Growth. Economic Research Division of the Federal Reserve Bank of St. Louis, 36(1), pp. 236-330.
  5. Barışık, S. & Kesikoğlu, F. (2006). Türkiye’de Bütçe Açıklarının.Temel Makroekonomik Değişkenler Üzerine Etkisi (1987-2003 VAR, Etki-Tepki.Analizi, Varyans Ayrıştırması). Ankara Üniversitesi Siyasal Bilgiler Fakültesi Dergisi, 64 (4), ss. 59-82.
  6. Barro, R. (1990). The Stock Market and Investment. Review of Financial Studies, 3, pp.115–131.
  7. Basdas, U. & Soytas, U. (2009). Do Stock Returns Trigger Economic Growth? Evidence from Turkey. 13.th Annual International Conference on Macroeconomic Analysis and International Finance.
  8. Best, R. (2008). An Introduction to Error Correction Models. Oxford Spring School for Quantative Methods in Social Research.
  9. Bist Co. (2025). https://www.borsaistanbul.com/tr/endeks-detay/18/bist-tum Access Date (01.03.2025).
  10. Bosworth, B. (1975). The Stock Market and the Economy. Brookings Papers on Economic Activity, 2, pp.257–290.
  11. Brainard, W. & Tobin, J. (1968). Pitfalls in Financial Model Building. American Economic Review, 58, pp. 99–122.
  12. Camilleri, S., Scicluna, N. & Bai, Y. (2019). Do Stock Markets Lead or Lag Macroeconomic Variables? Evidence from Select European Countries. The North American Journal of Economics and Finance, vol. 48, pp. 170-186.
  13. Colacito, R., Croce, M., Ho, S., & Howard, P. (2018). BKK the EZ Way: International Long-Run Growth News and Capital Flows. American Economic Review, 108(11), 3416–3449.
  14. Dallas, H. & Hess, M.K. (2005). Financial development and Stock Returns. Journal of International Money and Finance, 24 (6), pp. 891-912.
  15. Dickey, D. A. & Fuller, W. A. (1979). Distribution of Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, vol. 74, no. 366, pp. 427-431.
  16. Dickey, D. A. & Fuller, W. A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root. Econometrica: Journal of the Econometric Society, 49, pp. 1057-1072.
  17. Endres, W. (1995). Applied Econometric Time Series. John Wiley and Sons, Canada.
  18. Engle, R. F. & Granger, C. W. J. (1987). Cointegration and Error Correction: Representation, Estimation and Testing. Econometrica, vol. 25, no. 2, pp: 251-276.
  19. Fama, E. (1981). Stock returns, Real Activity, Inflation and money. American Economic Review, 71, pp. 545–565.
  20. Fama, E. (1990). Stock returns, Expected Returns and Real Activity. Journal of Finance, 45, pp. 1089–1108.
  21. Fichtner, F. & Joebges, H. (2024). Stock Market Returns and GDP Growth. IMK Study No. 90, Hans-Böckler-Stiftung, Institut für Makroökonomie und Konjukturforschung (IMK), Düsseldorf.
  22. Gökdeniz, I., Erdoğan, M. & Kalyüncü, K. (2003). Finansal Piyasaların Ekonomik Büyümeye Etkisi: Türkiye Örneği (1989-2002). Journal of Trade and Tourism Education Faculty, ss. 107-117.
  23. Goldsmith, R. (1969). Financial Structure and Development. New Haven: Yale University Press.
  24. Granger, C. W. J., (1969). Investigating Causal Relations by Econometric Models and Cross-Spectral Methods. Econometrica, 37, pp. 424-38.
  25. Gujarati, D. N. & Porter, D. C. (2012). Basic Econometrics (Çev. Ümit Şenses and Gülay Günlük Şenses). Fifth Edition. İstanbul: Literature Publishing.
  26. Hassapis, C. & Kalyvitis, S. (2002). Investing the Links between Growht and Real Share Price Changes with Empirical Evidence from G-7 Economies. Quarterly Review of Economics and Finance Abstract, vol. 30 (1), pp. 1-45.
  27. Holden, D. & Perman, R. (1994). Unit Roots and Cointegration for the Economists, Cointegration for the Applied Economists, (Edit By: B. Bhaskaro Rao). The Mac Millan Press Ltd., London.
  28. Hossain, M. & Hossain, A. (2015). An Empirical Relationship between Share Price and Economic Growth: New Evidence on Selected Industrial Economies. American Journal of Economics, 5 (3), pp. 353-362. Investing. (2025). https://tr.investing.com/indices Access Date (05.03.2025).
  29. Karakayalı, H. (2005). Makro Ekonomi. Emek Matbaası, Manisa.
  30. Madsen, J. B., Dzhumashev, R. & Yao, H. (2011). Stock Returns and Economic Growth. Applied Economics, (45), pp. 1257-1271.
  31. Mauro, P. (2000). Stock Returns and Output Growth in Emerging and Advanced Economies, IMF Working Papers, 89, pp. 1-35.
  32. Morc, R., Sheliefer A. and Vishny R. (1990). The Stock Market and Investment: Is the Stock Market a Sideshow?. Brookings Papers on Economic Activity, 2, pp. 157-202.
  33. Onay, C. (2006). A Cointegration Analysis Approach to European Union Integration: The Case of Acceding and Candidate Countries. European Integration online Papers, 10, 1-16.
  34. Osterholm, P. (2016). The Long-Run Relationship between Stok Prices and GDP in Sweden. Economic Notes by Banca Monte dei Paschi Siena SpA, vol. 45, no. 2, pp. 283-297.
  35. Phillips, P. C. B. & Perron, P. (1988). Testing for a Unit Root in Time Series Regression. Biometrika, 75 (2), pp. 335-346.
  36. Reddy, D. V. L. (2012). Impact of Infalation and GDP on Stock Market Returns in India. International Journal of Advanced Research in Management and Social Sciences, vol. 1, no.16, pp. 121-136.
  37. Schwert, W. (1990). Stock Returns and Real Activity: A Century of Evidence. Journal of Finance, 45, pp.1237–1257.
  38. Sims, C. A. (1980). Macroeconomics and Reality. Econometrica: Journal of the Econometric Society, pp. 1-48.
  39. Şentürk, M., Sayar Özkan, G. & Akbaş, Y. E. (2014). The Relationship between Economic Growth and Stock Returns: An Example from Turkey. Doğuş Üniversitesi Dergisi, 15 (2), ss. 155-164.
  40. Tachiwou, A. M. (2010). Stock Market Development and Economic Growth: The Case of West African Monetary Union. International Journal of Economics and Finance, (2), pp. 97-97.
  41. Tarı, R. (2010). Ekonometri. Genişletilmiş 6. Baskı, Kocaeli: Umuttepe Yayınları.
  42. TurkStat. (2025). https://data.tuik.gov.tr/ Access Date (06.03.2025).
  43. Turnovsky, S. (1995). Methods of Macroeconomic Dynamics. Cambridge: MIT Press.
  44. Wooldridge, J. M. (2013a). Ekonometriye Giriş Modern Yaklaşım Cilt 2 (Çev. Edt. Doç. Dr. Ebru Çağlayan). Nobel Akademi Yayıncılık, Ankara.
  45. Wooldridge, J. M. (2013b). Ekonometriye Giriş Modern Yaklaşım Cilt 1 (Çev. Edt. Doç. Dr. Ebru Çağlayan). Ankara: Nobel Akademi Yayıncılık.
  46. Dallas, H. & Hess, M.K. (2005). Financial development and Stock Returns. Journal of International Money and Finance, 24 (6), pp. 891-912.