Search for causal relationship of macroeconomic variables and testing the market efficiency: An analytical approach to Turkish stock market
Başlık çevirisi mevcut değil.
- Tez No: 53664
- Danışmanlar: DOÇ. DR. OSMAN GÜRBÜZ
- Tez Türü: Doktora
- Konular: İşletme, Business Administration
- Anahtar Kelimeler: Borsa, Makroekonomik değişkenler, Türkiye, Zaman serileri, İMKB, Stock exchange, Macroeconomic variables, Turkey, Time series, İstanbul Stock Exchange
- Yıl: 1996
- Dil: İngilizce
- Üniversite: Marmara Üniversitesi
- Enstitü: Sosyal Bilimler Enstitüsü
- Ana Bilim Dalı: Belirtilmemiş.
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: Belirtilmemiş.
Özet
Özet yok.
Özet (Çeviri)
ABSTRACT The relationship between macroeconomic variables among themselves and the stock market has been a point of concern for researchers. This study investigates the relationships between stock returns, interest rates, money supply, real activity and inflation and tests the market efficiency in the weak-form in Turkey for the years 1986- 1995. Previous research showed no efficiency in the recently established and emerging Turkish stock market, and our findings are on the same side. In addition, due to the unavailability of sufficient data, there has been no detailed research to this date on the relationship between the stock returns and major macroeconomic variables. However, the Turkish stock market's constant growth and development allows for the data to be obtained more properly. In the near future, the trading size, the liquidity, and the number of institutional investors in the market are expected to increase while the insider trading activities are very likely to diminish, thus increasing the market's efficiency. In order to obtain the results, the variables are tested for unit roots. Then Granger causality tests are applied for pairs of variables. The results are further analyzed in a VAR framework and the possibility of cointegration in the models is looked for and VEC is applied where possible. Previous research in other countries show a relationship between real asset returns and inflation. This is against the well-known Fisher Hypothesis, which predicts that the interest rates and stock returns are a hedge against inflation. Also previous findings point out a relation between the real stock returns and industrial production. The results of this study are in line with Fama's findings, but do not indicate a relationship between the real stock returns and industrial production in Turkey. The study also indicates a strong relationship between the real interest rates and real stock returns, where real interest rates have an explanatory effect on real stock returns. There is also a negative relationship between industrial production and real interest rates. This can be connected to the Government's inability to collect tax nrevenues which increases the public sector borrowing requirements. The need for increased public sector borrowing pushes the real interest rates upward, increasing the cost of investment finance. The ensuing decline in the private sector investment would cause the stock returns to decline in the future. Turkish stock market being an emerging market with a lower market capitalization than developed capital markets, the effect of industrial production on real stock returns is not significant, but there is a high level of significance between the real interest rates and industrial production. If the stock market were a mirror of the enterprise sector in the economy, there would be a high correlation between the companies listed in the stock market and the industrial production. The real asset returns are negatively correlated with inflation. As Turkey is a high inflation country, the effect of inflation is higher on the stock and bond returns than the other countries analyzed in previous research. The nominal stock return is found to lead the real activity, which in turn leads money supply, thus explaining the variation in inflation In this study, variance ratio tests are used to test for weak-form market efficiency. The results with daily data showed that the market is not efficient in the weak-form. The tests on weekly data fail to reject efficient market hypothesis due to small sample size. These results are also in line with the findings of previous research on the Turkish stock market which found that the market is inefficient in the semi- strong form. m
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