Abstract:

This study aims to determine the relationship between BIST 100 index and interest rate, foreign exchange rate and gold price variables to get an efficient investment portfolio. In this study, monthly data are used for the period between 2001:03 and 2013:06. Also, 2001 country crisis and 2008 global financial crisis are integrated into the model, but finding not statistical significant they are excluded from the analysis. Data are found at the first difference stationary and no cointegration among the variables is identified. Therefore,Granger causality test, impulse-response analysis and variance decomposition method of unrestricted VAR (Vector autoregressive) analyses are conducted.The analysis results confirming each other indicate that all the variables can be used to diversify portfolio for the short run

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