Relationship Between the Volatility of Stock Returns and the Volatility of Macroeconomic Variables: A Case of Turkey

Tuğba Dayıoğlu; Yılmaz Aydın

doi:doi:10.11648/j.ajtab.20190502.13

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Relationship Between the Volatility of Stock Returns and the Volatility of Macroeconomic Variables: A Case of Turkey

Tuğba Dayıoğlu, Yılmaz Aydın

Published in American Journal of Theoretical and Applied Business (Volume 5, Issue 2)

Received: 5 July 2019 Accepted: 9 August 2019 Published: 24 September 2019

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Abstract

In this paper, we examined the relationship between BIST-100 Index (SPI) and a set of macroeconomic variables volatility using Vector Autoregressive (VAR) model. The relationship between the stock market and macroeconomic variables has been subjected to serious economic research. A stock market plays important role for the reallocation of funds in many sectors of an economy. The macroeconomic factors make investors to choose the stock because investors are interested to know about the factors affecting the working of stock to manage their portfolios. Some investors show the stock prices volatility is based on directional trend in the stock prices but actually volatility is amount of fluctuation in stock prices. For this purpose we used the volatility of the variables. This study period 2006-2018 stock market using monthly data for Turkey is to examine the relationship between stock return volatility and macroeconomic volatility. We used the macroeconomic variables volatility these are industrial production (IP), money supply (M1), inflation rate (CPI), US dollar equivalent exchange rate (EX) and oil prices (OIL). We used montly data for the period between january 2006 and december 2018. Asymmetric GARCH models are used for the series volatility. The best performing GARCH model in these models are considered as volatlity. Exchange rate and industrial production index have an important effect on stock market volatility.

Published in	American Journal of Theoretical and Applied Business (Volume 5, Issue 2)
DOI	10.11648/j.ajtab.20190502.13
Page(s)	40-46
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2019. Published by Science Publishing Group

Keywords

Stock Markets Volatility, Asymmetric GARCH Models, VAR Model

References

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Tuğba Dayıoğlu, Yılmaz Aydın. (2019). Relationship Between the Volatility of Stock Returns and the Volatility of Macroeconomic Variables: A Case of Turkey. American Journal of Theoretical and Applied Business, 5(2), 40-46. https://doi.org/10.11648/j.ajtab.20190502.13

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ACS Style

Tuğba Dayıoğlu; Yılmaz Aydın. Relationship Between the Volatility of Stock Returns and the Volatility of Macroeconomic Variables: A Case of Turkey. Am. J. Theor. Appl. Bus. 2019, 5(2), 40-46. doi: 10.11648/j.ajtab.20190502.13

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AMA Style

Tuğba Dayıoğlu, Yılmaz Aydın. Relationship Between the Volatility of Stock Returns and the Volatility of Macroeconomic Variables: A Case of Turkey. Am J Theor Appl Bus. 2019;5(2):40-46. doi: 10.11648/j.ajtab.20190502.13

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@article{10.11648/j.ajtab.20190502.13,
  author = {Tuğba Dayıoğlu and Yılmaz Aydın},
  title = {Relationship Between the Volatility of Stock Returns and the Volatility of Macroeconomic Variables: A Case of Turkey},
  journal = {American Journal of Theoretical and Applied Business},
  volume = {5},
  number = {2},
  pages = {40-46},
  doi = {10.11648/j.ajtab.20190502.13},
  url = {https://doi.org/10.11648/j.ajtab.20190502.13},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ajtab.20190502.13},
  abstract = {In this paper, we examined the relationship between BIST-100 Index (SPI) and a set of macroeconomic variables volatility using Vector Autoregressive (VAR) model. The relationship between the stock market and macroeconomic variables has been subjected to serious economic research. A stock market plays important role for the reallocation of funds in many sectors of an economy. The macroeconomic factors make investors to choose the stock because investors are interested to know about the factors affecting the working of stock to manage their portfolios. Some investors show the stock prices volatility is based on directional trend in the stock prices but actually volatility is amount of fluctuation in stock prices. For this purpose we used the volatility of the variables. This study period 2006-2018 stock market using monthly data for Turkey is to examine the relationship between stock return volatility and macroeconomic volatility. We used the macroeconomic variables volatility these are industrial production (IP), money supply (M1), inflation rate (CPI), US dollar equivalent exchange rate (EX) and oil prices (OIL). We used montly data for the period between january 2006 and december 2018. Asymmetric GARCH models are used for the series volatility. The best performing GARCH model in these models are considered as volatlity. Exchange rate and industrial production index have an important effect on stock market volatility.},
 year = {2019}
}

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TY - JOUR
T1 - Relationship Between the Volatility of Stock Returns and the Volatility of Macroeconomic Variables: A Case of Turkey
AU - Tuğba Dayıoğlu
AU - Yılmaz Aydın
Y1 - 2019/09/24
PY - 2019
N1 - https://doi.org/10.11648/j.ajtab.20190502.13
DO - 10.11648/j.ajtab.20190502.13
T2 - American Journal of Theoretical and Applied Business
JF - American Journal of Theoretical and Applied Business
JO - American Journal of Theoretical and Applied Business
SP - 40
EP - 46
PB - Science Publishing Group
SN - 2469-7842
UR - https://doi.org/10.11648/j.ajtab.20190502.13
AB - In this paper, we examined the relationship between BIST-100 Index (SPI) and a set of macroeconomic variables volatility using Vector Autoregressive (VAR) model. The relationship between the stock market and macroeconomic variables has been subjected to serious economic research. A stock market plays important role for the reallocation of funds in many sectors of an economy. The macroeconomic factors make investors to choose the stock because investors are interested to know about the factors affecting the working of stock to manage their portfolios. Some investors show the stock prices volatility is based on directional trend in the stock prices but actually volatility is amount of fluctuation in stock prices. For this purpose we used the volatility of the variables. This study period 2006-2018 stock market using monthly data for Turkey is to examine the relationship between stock return volatility and macroeconomic volatility. We used the macroeconomic variables volatility these are industrial production (IP), money supply (M1), inflation rate (CPI), US dollar equivalent exchange rate (EX) and oil prices (OIL). We used montly data for the period between january 2006 and december 2018. Asymmetric GARCH models are used for the series volatility. The best performing GARCH model in these models are considered as volatlity. Exchange rate and industrial production index have an important effect on stock market volatility.
VL - 5
IS - 2
ER -

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Tuğba Dayıoğlu
Yılmaz Aydın

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APA Style

Tuğba Dayıoğlu, Yılmaz Aydın. (2019). Relationship Between the Volatility of Stock Returns and the Volatility of Macroeconomic Variables: A Case of Turkey. American Journal of Theoretical and Applied Business, 5(2), 40-46. https://doi.org/10.11648/j.ajtab.20190502.13

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ACS Style

Tuğba Dayıoğlu; Yılmaz Aydın. Relationship Between the Volatility of Stock Returns and the Volatility of Macroeconomic Variables: A Case of Turkey. Am. J. Theor. Appl. Bus. 2019, 5(2), 40-46. doi: 10.11648/j.ajtab.20190502.13

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AMA Style

Tuğba Dayıoğlu, Yılmaz Aydın. Relationship Between the Volatility of Stock Returns and the Volatility of Macroeconomic Variables: A Case of Turkey. Am J Theor Appl Bus. 2019;5(2):40-46. doi: 10.11648/j.ajtab.20190502.13

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@article{10.11648/j.ajtab.20190502.13,
  author = {Tuğba Dayıoğlu and Yılmaz Aydın},
  title = {Relationship Between the Volatility of Stock Returns and the Volatility of Macroeconomic Variables: A Case of Turkey},
  journal = {American Journal of Theoretical and Applied Business},
  volume = {5},
  number = {2},
  pages = {40-46},
  doi = {10.11648/j.ajtab.20190502.13},
  url = {https://doi.org/10.11648/j.ajtab.20190502.13},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ajtab.20190502.13},
  abstract = {In this paper, we examined the relationship between BIST-100 Index (SPI) and a set of macroeconomic variables volatility using Vector Autoregressive (VAR) model. The relationship between the stock market and macroeconomic variables has been subjected to serious economic research. A stock market plays important role for the reallocation of funds in many sectors of an economy. The macroeconomic factors make investors to choose the stock because investors are interested to know about the factors affecting the working of stock to manage their portfolios. Some investors show the stock prices volatility is based on directional trend in the stock prices but actually volatility is amount of fluctuation in stock prices. For this purpose we used the volatility of the variables. This study period 2006-2018 stock market using monthly data for Turkey is to examine the relationship between stock return volatility and macroeconomic volatility. We used the macroeconomic variables volatility these are industrial production (IP), money supply (M1), inflation rate (CPI), US dollar equivalent exchange rate (EX) and oil prices (OIL). We used montly data for the period between january 2006 and december 2018. Asymmetric GARCH models are used for the series volatility. The best performing GARCH model in these models are considered as volatlity. Exchange rate and industrial production index have an important effect on stock market volatility.},
 year = {2019}
}

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