Effects of macroeconomic variables on Istanbul stock exchange indexes

Applied Financial Economics

Volumn 15, Issue 14, 2005, Pages 987-994

  Erdem, Cumhur ^a   Arslan, Cem Kaan ^a   Erdem, Meziyet Sema ^a  

^a GAZIOSMANPASA UNIVERSITY   (Turkey)

Author keywords

[No Author keywords available]

Indexed keywords

CAPITAL MARKET; INVESTMENT; MACROECONOMICS; STOCK ASSESSMENT;

EASTERN HEMISPHERE; EURASIA; ISTANBUL [TURKEY]; TURKEY; WORLD;

EID: 27644581912     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/09603100500120365     Document Type: Article

References (29)

1. Al-Khazali, O. M. (2003) Stock prices, inflation, and output: evidence from the emerging markets, Selected Paper, European Applied Business Research Conference, Venice, Italy.
2. Apergis, N. and Eleftheriou, S. (2002) Interest rates, inflation, and stock prices: the case of Athens Stock Exchange, Journal of Policy Modeling, 24, 231-6.
3. Bollerslev, T. (1986) Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31, 307-27.
4. Bollerslev, T. and Wooldridge, J. M. (1992) Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances, Econometric Reviews, 11, 143-72.
5. Bulmash, S. B. and Trivoli, G. W. (1991) Time-lagged interactions between stock prices and selected economic variables, Journal of Portfolio Management, 17, 61-7.
6. Chen, N. F., Roll, R. and Ross, S. A. (1986) Economic forces and stock market, Journal of Business, 59, 384-403.
7. Cheng, A. C. S. (1995) The UK stock market and economic factors: a new approach, Journal of Business Finance and Accounting, 22, 129-42.
8. Chopin, M. and Zhong, M. (2001) Stock returns, inflation and the post-war macroeconomy: the long- and short-run dynamics, Advances in Investment Analysis and Portfolio Management, 8, 1-18.
9. Dickey, D. and Fuller, W. (1979) Distributions of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association, 75, 427-31.
10. Dhakal, D., Kandil, M. and Sharma, S. C. (1993) Causality between the money supply and share prices: a VAR investigation, Quarterly Journal of Business and Economics, 32, 52-74.
11. Dritsaki, M. and Dritsaki, C. (2004) Macroeconomic determinants of stock price movements: an empirical investigation of the Greek stock market, Selected paper, 11th Annual Conference of Multinational Finance Society, Istanbul.
12. Fama, E. F. (1981) Stock returns, real activity, inflation, and money, American Economic Review, 71, 545-65.
13. Fama, E. F. (1990) Stock returns, expected returns, and real activity, Journal of Finance, 45, 1089-108.
14. Geske, R. and Roll, R. (1983) The fiscal and monetary linkage between stock returns and inflation, Journal of Finance, 38, 1-33.
15. Goodwin, B. K. and Schnept, R. (1998) Determinants of endogenous price risk in agricultural markets, Selected Paper, American Agricultural Economics Association Meeting, Salt Lake City.
16. Hamao, Y., Masulis, R. W. and Ng, V. (1990) Correlations in price changes and volatility across international stock markets, Review of Financial Studies, 3, 281-307.
17. Hashemzadeh, N. and Taylor, P. (1988) Stock prices, money supply, and interest rate: the question of causality, Applied Economics, 20, 1603-11.
18. Kanas, A. (1998) Volatility spillovers across equity markets: European evidence, Applied Financial Economics, 8, 245-6.
19. Kanas, A. and Kouretas, G. (2001) Volatility spillovers between black market and official markets for foreign currency in Greece, Journal of Financial Research, 24, 443-61.
20. Modigliani, F. and Cohn, R. A. (1978) Inflation, rational valuation, and the market, Financial Analysis Journal, 38, 24-44.
21. Morelli, D. (2002) The relationship between conditional stock market volatility and conditional macro-economic volatility: empirical evidence based on UK data, International Review of Financial Analysis, 11, 101-10.
22. Mukherjee, T. K. and Naka, A. (1995) Dynamic relations between macroeconomic variables and the Japanese stock market: an application of a vector error correction model, Journal of Financial Research, 18, 223-37.
23. Nelson, D. B. (1991) Conditional heteroskedasticity in asset returns: a new approach, Econometrica, 59, 347-70.
24. Phillips, P. and Perron, P. (1988) Testing for a unit root in time series regression, Biometrika, 65, 335-46.
25. Poon, S. and Taylor, S. J. (1991) Macro economic factors and UK stock market, Journal of Business Finance and Accounting, 18, 619-36.
26. Rapach, D. E. (2001) The long-run relationship between inflation and real stock prices, Journal of Macroeconomics, 24, 331-51.
27. Susmel, R. and Engle, R. F. (1994) Hourly volatility spillovers between international equity markets, Journal of International Money and Finance, 13(1), 3-25.
28. Theodossiou, P. and Lee, U. (1993) Mean and volatility spillovers across major national stock markets: further empirical evidence, The Journal of Financial Research, 16, 337-50.
29. Wongbangpo, P. and Sharma, S. C. (2002) Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries, Journal of Asian Economics, 13, 27-51.