Özet:

The aim of the paper is to investigate the asymmetric effects of changes in industrial production, real exchange rate, consumer price index, interest rate, and the World oil price index on the stock market returns in G-7 countries by using the NARDL model and monthly data from the period of 1999:01 to 2017:12. The study, overall, finds that the effects of the changes in independent domestic and external variables on stock returns are significant and asymmetric with expected signs for the G-7 countries. Also, the effects of the changes in the industrial production index on stock market returns are asymmetrical only in Euro area countries. The effects of the changes in the real exchange rate on stock market returns are asymmetrical for all countries, except Japan. Interestingly, while the real appreciation of the currency causes stock returns to increase in the Anglo-Saxon countries, the opposite occurs in Euro area countries. The effects of the changes in the consumer price index on stock market returns are asymmetrical only in Canada and France. The effects of the changes in the interest rate on stock market returns are asymmetrical for all countries, except for the UK and the USA. Additionally, there exist inelastic interest elasticity of stock returns in all countries, except Japan. Empirical results suggest that the policymakers as well as the market participants should consider asymmetry between selected macroeconomic variables and stock returns when they evaluate any policy.

Anahtar Kelimeler: