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Dergiler / Gaziantep Üniversitesi Sosyal Bilimler Dergisi / 2021 / Cilt: 20 - Sayı: 1

Macroeconomic Variables and Sector-Specific Returns: Evidence from Turkish Stock Exchange Market

Ayşen SİVRİKAYA
Sayfa
72–89
Yayın Tarihi
2021-01-31
DOI
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

The study extends our understanding of sectoral stock market behavior in a developing country.

📌 3 Maddede Bu Makale

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Amaç & Hipotez:This study investigates the impact of macroeconomic variable shocks on industrial and financial stock returns in the Borsa Istanbul.
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Temel Bulgular & Veri:The results show that inflation, the growth rate of the money supply, and the exchange rate provide significant information for forecasting industrial and financial stock market volatility.
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Sonuç & Katkı:The study extends our understanding of sectoral stock market behavior in a developing country.
🔬Tür:Araştırma Makalesi
📍Kapsam:Genişletilmiş Akademik Örneklem
⚙️Değişkenler:Macroeconomic variables · Stock Returns · Variance Decomposition

Abstract

This study investigates the impact of macroeconomic variable shocks on industrial and financial stock returns in the Borsa Istanbul. To this end, we use the generalized forecast error variance decompositions and generalized impulse responses. The results show that inflation, the growth rate of the money supply, and the exchange rate provide significant information for forecasting industrial and financial stock market volatility. The impact of industrial production on stock returns appears to be negligible, both in the short and long horizons. The study extends our understanding of sectoral stock market behavior in a developing country.

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Bu Makaleye Atıf Yap

SİVRİKAYA, A. (2021). Macroeconomic Variables and Sector-Specific Returns: Evidence from Turkish Stock Exchange Market. Gaziantep Üniversitesi Sosyal Bilimler Dergisi, Cilt: 20 - Sayı: 1, 72–89. https://ajindex.com/articles/87094

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Kaynakça (14)

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