Abstract:

The aim of this study is to explore the effects of the Consumer Trust Index (TGE), the Financial Services Trust Index (FHGE) and the credit interest exchange premiums (CDS) on the shares. The study used the monthly data of the TGE, FHGE and BIST100 index between May 2012 and September 2019, when the Financial Services Trust Index began to be published, and the CDS premiums between January 4, 2016 and September 30, 2019 and the daily closing data of the BIST100 index. The effects of selected macroeconomic variables on the BIST100 index have been studied and findings have been revealed. Time-series analysis methods were used. To investigate the relationship between the variables, it is necessary to first test whether the variable series are stable. For this purpose, the Lee Strazicich unit root test, which also takes into account the structural breakdowns of the series, was applied. The optimal length of delay is determined according to the Akaike information criterion. Then the Toda-Yamamoto test determined whether there was any causal relationship between the variables, and if there was a causal, what the direction of the relationship was. According to the Toda-Yamamoto test results, one-way causes have been identified from TGE and CDS to BIST100. A one-way causality from BIST100 to FHGE has also been found.

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