Abstract:

The Bursa Istanbul 100 (BIST 100) Index, which is the main index in terms of the stock market, has the characteristic of being an index that best reflects the state of the Bursa Istanbul, since the market value and the volume of transactions are the highest. There are several macroeconomic variables that affect this index. In the study, the relationship between inflation and external trade gap from the macroeconomic variables in the 2004:M1 - 2017:M12 period with the BIST 100 Index was studied using the Johansen and Gregory&Hansen matching tests. Before the integration tests were carried out, under the assumption that each variable containing unit root should be stable at the same level, both the traditional unit root test, ADF (Augmented Dickey Fuller), and LS (Lee & Strazicich) unit root tests were carried out taking into account structural breakdowns. Some non-stop variables of the series have also been applied VAR (Vector Autoregressive) model after it has been made stable. As a result of the analysis, the existence of a long-term relationship between the variables was supported by two different matching tests. Furthermore, short-term gambling in the BIST 100 Index reaches a long-term balance with a period of 14 months.