文章基本信息

标题：STOCK RETURNS, MACROECONOMIC FACTORS AND STRUCTURAL BREAKS: AN APPLICATION FOR THE TURKISH STOCK MARKET
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作者：Funda Yurdakul ; Alpaslan Akçoraoðlu
期刊名称：Ekonomik Yaklasim
印刷版ISSN：1300-1868
出版年度：2005
卷号：16
期号：55
页码：17-30
DOI：10.5455/ey.10518
语种：Turkish
出版社：International Medical Journal Management and Indexing System
摘要：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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