Abstract:

In this study, the Consumer Price Index (TÜFE), 5 year state bond return, real effective currency rate, credit volume, Industrial Production Index (SÜE), deposit interest rate, CDS (Credit Default Swaps-Credit Temerrüt Exchange) premiums and the effects of Gayri Net Domestic Treasury (GSYH) on Borsa Istanbul (BIST) financial and BIST exam index. While the relationship of selected macroeconomic variables with stock index was also studied, the effect of COVID-19 in this relationship was also tested. In the study, two separate models were established, the method was preferred as the Autoregressive Distributed Lag Bound (ARDL) Border Test and Toda-Yamamoto Granger Cause Test. The time size of the study covers the periods 2008:Q1-2022:Q2. According to the limit test results of the study, there is a strong par-integration relationship between the variables. In particular, CDS primes have a negative impact on both models. Added to the 2020: Q1 period, the doll variable shows that COVID-19 pandemic affects the exchanges. Finally, according to the causality results of Toda Yamamoto Granger, there is a strong causality relationship between the variables. According to the first model, all the variables are the cause of BIST Mali's Granger. According to the second model, all other variables, except TUBE, are the cause of BIST Sınai's Granger. In short, it has been found that selected stock exchange indicators are significantly affected by the main macroeconomic variables.

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