Abstract:

After globalization, all the markets in the world are known as competitive fields, and accordingly, economic interactions emerge more strongly. Similarly, national and international economic variables can affect the Istanbul stock market. This study analyses the relationship between stock price and some selected economic variables using cointegration in STAR, Maki (2010), and KSS (2006) in Turkey from January 2000 to June 2019. Because of the difference between the results of the Maki (2010) and KSS (2006) test, it has been tried to find the model that has less constraint, and then this model has been used to analyze these relationships. Our findings support the long-run relationship between stock price and other economic variables with STAR adjustment. Findings also show that adjusting the relationship between stock price, gold price, and exchange rate take much time, while adjusting the relationship between stock price, interest rate, and inflation does not take much time. Moreover, there is a long-run causality between stock price and other variables except for interest rate. Estimating the adjustment speed of the relationship can be helpful for portfolio management and also financial risk management.

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