Stock Market In Turkey Research Articles

The impact of stock market development on economic growth in Turkey: ARDL analysis

The stock market has become more significant due to the globalization of financial markets, and there is a widespread perception that it propels economic growth. Nonetheless, some recent research has found that this effect differs throughout countries based on their financial infrastructures and degrees of development. In nations with established financial infrastructure and economic stability, the stock market aids in economic growth; nevertheless, it has no such effect in economies characterized by macroeconomic instability and uncertainty. Based on this, this study used quarterly data from 2006 to 2023 to examine the effects of Turkey's stock market development on economic growth using an autoregressive distributed lag (ARDL) method. The results show that while there was a negative and considerable short-term effect, stock market development in Turkey did not have a long-term detrimental impact on economic growth. According to the findings, for Turkey's stock market to positively impact economic growth, the country's financial system has to be modernized.

EXAMINATION OF THE RELATIONSHIP BETWEEN FOREIGN INVESTORS AND BIST-100 RETURN INDEX

Purpose- The aim of this study is to analyze the relationship of foreign portfolio investments, which are gaining importance in Turkey, with the Borsa Istanbul (BIST)-100 return index. Method- The relationship between foreign investor portfolio sizes and BIST-100 return index was examined based on quarterly periods covering the years 2010 and 2021. While the data on foreign portfolio sizes and the number of foreign investors were obtained from the central registry, data on the BIST-100 return index were obtained from the official website of the Central Bank. In the study, first of all, it was tested by correlation analysis whether there was a significant correlation between the data. If there is a relationship between the data, the direction of the relationship was investigated using the Granger Causality test method developed by Granger (1969), and econometric methods such as unit root test and stationarity analysis were used to make sense of the findings. Findings- The causality direction from BIST-100 index to Foreign portfolio value was determined by reaching the one-way causality relationship that the stock returns (BIST-100 return index) are the cause of the foreign investor portfolio value. Therefore, in this research, it is concluded that the performance of the stock market in Turkey acts independently from the portfolio values of foreign investors. Conclusion- Considering the dynamics and structural features of the financial markets in Turkey, the impact of the sectoral and company-level investments of foreign investors may differ according to the general stock returns. Therefore, although these results do not definitively show that there is no effect of foreign investors, they may reveal different dimensions of the effect of foreign investors, as will be discussed in this research. Keywords: Foreign investments, Borsa Istanbul, Capital Markets, Confidence Index, Granger Causality JEL Codes: G10, G11, G15

Testing the Adaptive Market Hypothesis in Equity Markets in Global Financial Crisis Periods: An Application on Borsa Istanbul Indices

We aim in this study to investigate the existence of the Adaptive Market Hypothesis in the Turkish stock market during the global crisis periods. In other words, it has been investigated whether there are periods in the stock market in Turkey is both efficient and inefficient. For this purpose, Borsa Istanbul's main index (XU100) and selected sector indices (XBANK, XGIDA, XTEKS, XTRZM) were tested in the crisis environments, the Asian Financial Crisis, the American "Dotcom" crisis, the Mortgage crisis, the European debt crisis and finally the Covid-19 crisis. Automatic Portmanteau and Wild Bootstrap Automatic Variance Ratio tests were used in the research. According to the results obtained, findings compatible with the Adaptive Market Hypothesis were reached in all Borsa Istanbul indices within the scope of the research. It has been observed that there may be fluctuations in market efficiency at different frequencies and durations in relation to the nature of the crisis and the source of its output. It is thought that the study is original and will contribute to the literature for the following reasons; the Adaptive Market Hypothesis for the Turkish stock market has been tested for all crisis periods in the recent history and the effects of the crises on the sectors are also examined in terms of effectiveness.

The influence of the pandemic on financial decisions made by individuals in Turkey: A cross-sectional study

The citizens of Turkey were confronted with the shock of the Covid-19 pandemic while struggling with high inflation and unemployment rates, and a weakening domestic currency. However, a noteworthy phenomenon during the year 2020 was the performance of stock market in Turkey, which was mostly driven by local individuals. Not only stocks, but cryptocurrencies are also popular investments favored by the populace, collectively signaling an increase in risk-taking behavior. Learning more about this point of interest is even more intriguing when considering the ongoing poor economic circumstances. In this study, the financial product decisions of individuals living in Turkey are examined for the first year of pandemic. The data were collected using an Internet survey. Information on participant’s demographics, financial product choices, declarations on changes in their interest in financial markets/products, financial status, and net income after Covid-19 was used. The results show that changes were associated with several product preferences, particularly with cryptocurrency. The findings indicate that regulators/authorities need to understand the reasons and conditions which influence those financial decisions and intervene if necessary because such excessive risk taking may eventually deteriorate social and financial wealth across the whole country.

Türkiye’de Yolsuzluk Endeksinin Borsa İstanbul-100 Endeksi Üzerine Etkisi

While corruption generally negatively affects growth by reducing predictability in the economy, it can have a positive effect on investments and thus growth by making easier to overcome rigidities in the bureaucratic environment at the micro-firm level. In this context, stock markets, which are the barometer of the economy, may be negatively affected by corruption and it is thought that the positive performance on the basis of the company will improve the stock market. In the study, it has been studied the relationships between stock market and corruption, using interest rate and per capita income as control variables, in the framework of the structural vector auto regressive model for the period from 1995 to 2019, The findings show that corruption enhances the stock market in Turkey. It can be said that the despotic Leviathan structure plays a deepening role in this situation. From this respect, the stock market, in an environment in which it acts with a semi-strong market efficiency motive, has almost the meaning of uncertainty for an investor and so makes it risky for the average investor to go towards the stock market. In sum, it can be said that the presence of such an image that the stock market rallies by virtue of corruption becomes a problem for Turkey which needs capital accumulation over long periods of time.

The impacts of foreign portfolio flows and monetary policy responses on stock markets by considering COVID-19 pandemic: Evidence from Turkey

This study researches the impacts of foreign portfolio flows (proxied by foreign investors' retention share) and monetary policy responses (proxied by the repurchase interest rate) on Turkey's stock market index taking the COVID-19 pandemic into consideration. A volatility index, credit default swap spreads, and foreign exchange rates are used as control variables, with a daily dataset between January 2, 2017, and October 20, 2020. After examining the stationarity and nonlinearity characteristics of the variables, we applied a nonlinear autoregressive distributed lag (NARDL) model and then conducted a Markov switching regression (MSR) for a robustness check. The results reveal that both foreign portfolio flows and monetary responses have an important effect on the index, and foreign portfolio flows have a higher effect than monetary responses. Accordingly, the results obtained from the NARDL and MSR models are robust and consistent.

Is Turkey's Stock Market More Affected by Covid-19 Indicators at National Scales or Global Scales

In the context of wait-and-see policies due to uncertainties in the economy, both real and financial economic decisions bring to the agenda a slowdown. Considering that uncertainty gets ever deeper in accidental situations like wars and disasters, we observe that Covid-19 has not only surrounded the world, but has also further deepened this uncertainty. On the other hand, countries continue to struggle with health problems, while receding back to Keynesian economics to minimize the effects on their socio-economic structure, as economies try to relieve both real and financial economies by implementing expansionary monetary and financial policies. These expansionary policies and interventions by governments against such negativities have created opposite effects. This study examines the oscillations regarding the BIST-100 index, an important indicator of the Turkish economy, against national and global Covid indicators. Using policies expansionary policies and stock exchange alternatives as control variables, this study included MS-VAR analyses for the period of 2019/12/31-2020/06/30. It was observed that BIST-100 was affected by Covid indicators at both national and global levels and that it showed oscillations in the form of expansion and shrinking. These findings indicate that the monetary and fiscal policies in Turkey should be designed based on a proactive approach to minimize the wait-and-see effects of global and national uncertainties on the real and particularly the financial decisions of economic actors.

The effects of the covid-19 pandemic on conventional and islamic stock markets in Turkey

In order to reveal the macroeconomic effects of the Covid-19 pandemic, financial markets should also be handled in addition to the real sector. Investigating the changes in the stock market may give clues to analyze the effects of the pandemic on financial markets. The researches in question can be carried out for a country group or a single country. Studies that are conducted for a single country allow researchers to analyze problems more precisely and put forward more specific and convenient policy suggestions. Furthermore, while investigating the effect of the pandemic on stock markets, handling conventional and Islamic stock markets together can provide more comparative and realistic data in determining the policies regarding financial markets. The aim of the study is to examine the reaction of conventional and Islamic stock markets to the Covid-19 outbreak in Turkey. In the study, the DCC-GARCH method was applied by using the daily data from Feb 10, 2011 to Sep 02, 2020. The empirical results indicated that Islamic stock markets are more stable to the global Covid-19 outbreak shock than the conventional stock market in Turkey. Based on these findings it can be suggested that Turkey should take steps to support the development of the Islamic financial system to have a sounder financial system.

Volatility Jump: The Effect of COVID-19 on Turkey Stock Market

This paper investigates the effect of Coronavirus (COVID-19) on Turkey stock market. For this purpose, montly realized volatilities of 23 primary sector indices traded on Borsa İstanbul are calculated for the period of June 2019 to July 2020. After analyzing realized volatility values, it is found that: (1) COVID-19 caused volatility jump for all sector indices in March 2020, when cases in Turkey appeared and increased rapidly; (2) While the most volatility jump occurred in stocks of sports companies due to COVID-19, the least volatility jump occurred in stocks of insurance firms; (3) After March 2020, realized volatility values back to normal for all sector indices and the effect of COVID-19 on Turkey stock market volatility has disappeared. This paper, showing the impact of COVID-19 on the Turkish stock market and the recent state of the markets, is believed to provides important implications for not only investors, portfolio managers, and policymakers, but also for academics in economics and finance, who are all looking to demonstrate economic and financial effects of COVID-19.

EXAMINATION OF VOLATILITY STRUCTURE BETWEEN TURKISH STOCK MARKET AND COMMODITY MARKETS: A PERSPECTIVE FOR THE PERIOD OF 2015-2019

Commodity markets, both in the past and in modern times, have had an extraordinary economic impact on individuals and societies. Although it is not known exactly when and where commodity markets started, it is thought that it started about 6000 years ago with rice trade in China. Commodities, as raw material providers used in production, have an intensive usage area. This study aims to examine the global commodity prices such as gold ounce price, silver ounce price, copper price, Brent crude oil price, and natural gas prices, and the volatility structure in the Borsa Istanbul 100 index, representing the Turkey Stock Market. For this purpose, daily closing prices for the period of 2015 January-2019 December were examined in the study. To investigate the time evolution of correlations between the commodities and stock market, the dynamic conditional correlation (DCC) GARCH model is used. The results show that the volatility between the BIST 100 index and commodity prices has constant effects and a comprehensive volatility clustering arises.

Time-varying propagations between oil market shocks and a stock market: Evidence from Turkey

We use a Bayesian time-varying parameter vector autoregression (TVP-VAR) model to examine the time-varying transmission mechanisms between structural oil price shocks and Borsa Istanbul, Turkey's stock market (BIST). Our data span the period February 1988 to December 2018, and include monthly West Texas Intermediate (WTI) spot crude oil prices, world crude oil production data, a measure of global real economic activity (the Kilian Index), and BIST data. Accordingly, we contribute to the literature by using a novel approach to estimate the time-varying propagations between oil-specific shocks and financial activity in Turkey. Our results are in line with those of related studies, thus verifying the consistency of the TVP-VAR model in capturing the time-varying nature of oil price shocks.

Finansal Piyasalar Arasındaki Uzun Dönem Çapraz Korelasyon İlişkisi: Türkiye ile BRICS Ülkeleri Örneği

In the study the cross correlations between Turkey stock market volatility and the stock market volatilities of BRICS countries are investigated in the period from February 3, 2012 to June 1, 2018. This study contributes to the literature by employing the MF-X-DMA method to analyse the effect of stock market volatilities of the BRICS countries to the Turkish stock market. Emprical results show that cross correlations between volatilities of Turkey-Brazil, volatilities of Turkey-Russia, volatilities of Turkey-India, volatilities of Turkey-China and volatilities of Turkey-South Africa have strong multifractal features. Moreover, the effects of small and large shocks in cross correlations are persistant in the long run.

Impacts of Bitcoin on USA, Japan, China and Turkey stock market indexes: Causality analysis with value at risk method (VAR)

In this study, the impacts of Bitcoin on Japan, China, Turkey and USA stock indexes were investigated. Nikkei225, SSE380, BIST100 and S&P500 were selected as the stock market indexes. The weekly data including dates between January 03, 2016 and December 16, 2018 were analyzed using EViews program and firstly the time-dependent, non-stationary data set was stabilized. Then, the stabilized data was analyzed with VAR(3) model according to Akaike information criteria. According to the Johansen cointegration test, 2nd model was selected as the most appropriate model for the study. The variables were rearranged with error correction model and then Granger causality analysis was performed. As a result of these analysis, it was determined that Bitcoin only affected BIST100 and that there were two-way causality relation between them. In addition, a one-way causality from Nikkei225 to SSE380, from SSE380 to Bitcoin, from S&P500 to Nikkei225 and from Nikkei225 to Bitcoin were observed.

Short-Term Return Impact of Share Repurchase Announcements

Share repurchase transactions are seen as a corporate financing tool that plays a substantial role in the distribution of idle cash within the company, and are often considered as an alternative to cash dividend payments. The purpose of this study is to determine the effect of the share repurchase programs announcements on stock returns in Turkey stock market. In this study focused on, the effect of the 146 announcements on the stock returns of the companies that are traded in Borsa Istanbul between the years 2010-2018 which initiated share repurchase programs was examined by the event study method. As the conclusion of the study, it was determined that share repurchase announcements produced statistically significant cumulative abnormal returns before and after the announcement date. Also, considering CAAR values calculated in the realization of the share repurchase announcements result in international markets, the impact on stock returns of the share repurchase announcements in Turkey, compared to many other countries, were found to be suggestively higher. Keywords: Share Repurchase, Stock Returns, Abnormal Return, Cumulative Abnormal Return, Event Study. DOI : 10.7176/RJFA/10-12-03 Publication date :June 30 th 2019

Dynamic linkages between strategic commodities and stock market in Turkey: Evidence from SVAR-DCC-GARCH model

After the financial liberalization in the emerging economies, their stock markets have grown very rapidly in terms of value and volumes. However, a sharp increase in the prices of strategic commodities like oil and gold can have negative effects on the macroeconomics of the emerging economies and their stock markets. This study analyses the dynamic relationship between oil, gold and stock market returns in Turkey. It particularly investigates volatility spillover from oil and gold to the Borsa Istanbul Stock Exchange Index after the global financial crises. Movement of the BIST index with the international oil and gold prices are examined by using different versions of the SVAR-DCC-GARCH framework. The bootstrap causality test which accounts for the non-normal distribution of errors is utilized to specify the SVAR model. Our results support the presence of time-varying co-movement and volatility spillover from gold and oil to the Turkish stock market. Volatilities are high, and gold has stronger impact on the stock market than oil; therefore, gold cannot be used as a safe haven against volatility risk. The results imply that Turkey needs dynamic macroeconomic policies to manage the spillover effects of volatility after the global crisis.

Stock market interactions among Iran, USA, Turkey, and UAE

Due to advanced and progressive satellite digital communications not only economic but social and cultural changes from one country effects on other countries. These in turn affect not only the mean but also on variances of variables regarding the sizes of correlations and partial correlations between the internal and external variables. Therefore, information about the direction and intensity of the influences of the shock and volatility of financial markets on each other is important for investment, policy makers and financial markets planners. In this study, a multivariate GARCH model is estimated using weekly stock index data from December 15 2008 to April 10, 2017 in order to examine the interactions among Iran, United States, Turkey and the United Arab Emirate. The results indicate strong and significant within country effects of ARCH and GARCH. Due to the relatively very large size of the US economy, no effects have been observed from any other country on US stock market. There is bi-directional volatility effect between the Turkey stock market and the stock market of the UAE. Also, the volatility of the Iran stock market unidirectional affects to the stock market in Turkey and the United Arab Emirates, due to the regional and the economic interactions. Most of the eigenvalues of the matrix of the ARCH and GARCH effects are close to one, which shows a low degree of relative stability. The volatility spillover index of Diebold and Yilmaz (2012) indicates that interactions among these markets have been relatively significant.

BITCOIN: IS IT AN ALTERNATIVE FOR THE STOCK EXCHANGES? A COMPARATIVE PANEL DATA ANALYSIS FOR THE FAR EAST ASIAN COUNTRIES AND TURKEY UNDER THE CROSS-SECTIONAL DEPENDENCE

In this study, we investigated whether bitcoin crypto money is an alternative to the stock exchange as an investment tool. For this purpose, the relationship between bitcoin and the stock market was examined in terms of the returns and liquidity. In the analysis, daily returns of the 9 Far East countries and Turkey's stock markets and daily returns of the bitcoin were used for the period of 22.02.2012-15.08.2018. According to the results of the model, an increase of the Bitcoin's returns has reduced the return on the stock market in Turkey and Far East countries. From point of this, it can be seen that the as an investment tool, bitcoin cryptocurrency has been becoming the substitute for the country stock exchanges included in the sample. The highest impact of bitcoin on the stock exchange was observed in Turkey and Indonesia while the least effect was seen on the Malaysia, Singapore and Korea respectively.

DARALMA VE GENİŞLEME DÖNEMLERİNDE ULUSLARARASI PORTFÖY YATIRIMLARI NASIL ETKİLENİYOR? TÜRKİYE ÖRNEĞİ

Turkey stock market is one of the most effected markets from the liquidity in international capital markets. Numerous variables affecting the global economy, such as monetary policy decisions made by the Federal Reserve (FED) and the European Central Bank (ECB), and country-specific variables are simultaneously affecting capital flows to the stock markets. In the study which analyzes the international net portfolio investments to Turkey stock market in the context of the relationship with USD/TRY exchange rate, equity market index and Turkey's 5 years credit default swap's (CDS) premiums', Multivariate Markov Switching Vector Autoregressive Models (MMS-VAR) are used. The model that best describes the relationship between variables is the three regimed (recession, moderate growth and expansion) MSIH(3)-VAR(2) model. The recession and expansion regimes in the model can also be expressed as bear (recession) market and bullish (expansion) markets in financial markets. In the study that uses the weekly observations beginning from 2013 to 2016, one of the empirical findings that draw attention is the relationships between net portfolio investments and exchange rate is different via the market is in the recession regime or growth regime.

Ocak Ayı Etkisinin Türk Sermaye Piyasalarında Farklı BIST Endekslerine Göre Analizi

Davranışsal finans, sermaye piyasalarındaki anomalileri, yatırımcı davranışlarına ve piyasa etkinliğine yön veren psikolojik ve duygusal faktörler ile açıklamaya çalışmaktadır. Çalışmada bir piyasa anomalisi olarak kabul edilen Ocak ayı etkisi, Gu (2003) tarafından geliştirilen güç oranı yöntemiyle test edilmiştir. Analizde, 2008-2016 yıllarını kapsayan dönem bakımından XU100, XUHIZ, XUMAL, XUSIN ve XUTEK Endeksleri aylık logaritmik getirileri kullanılmıştır. İlgili dönem bakımından, bir tanesi hariç olmak üzere, beş endeksin kalan dört tanesinde Ocak ayı etkisinin varlığı saptanmıştır.

Türkiye Ekonomisinde Güven-Hisse Senedi Getiri İlişkisi - Confidence-Stock Yield Relation in Turkish Economy

Ensuring regular cash flow to equity markets means the continuation of the functioning of these markets. In order to realize this situation, economic decision makers need to have positive outlook toward overall economy. The reciprocity of positive outlook is the confidence at the economy. The study aims to investigate how Consumer Confidence and Real Sector Confidence indices lead to the return of the stock market in Turkey. The relationship between the specified variables were investigated with time series analysis using the monthly data of the period of 2012(1)- 2017(8). In practice, the stability levels of variables were determined by first unit root test. In econometric analysis, ARDL cointegration and Toda-Yamamoto causality tests were used because of the variables were at different stability levels. As a result of ARDL cointegration analysis, a significant relationship between variables has been found. It is also found that there is a causality relationship exist from BIST 100 return index toward real sector confidence index by using Toda-Yamamoto causality analysis. As a result, Bist 100 return index in Turkey, affect the real sector confidence index.