Özet:

The aim of this study is to explore the impact of macroeconomic factors on stock markets in Turkey and the United States. The study used data from January 2010-February 2019. The impact of selected macroeconomic variables on the S&P500 index from the New York Stock Exchange and the BIST100 index from the Borsa Istanbul and the results of the two countries have been compared. Time-series analysis methods were used. To investigate the relationship between the variables, it is necessary to first test whether the variables are stable. For this purpose, the Lee Strazicich unit root test, which took into account the structural breakdowns of the series, was applied. After that, according to the Akaike information criterion, the optimal delay length was determined. Then the Toda-Yamamoto Model was applied to determine whether there is any cause between the variables and the direction of the relationship. Finally, the variable has been tested. In the Toda-Yamamoto causality test, for Turkey, a bilateral causality between the money supply and the exchange rate and the BIST100 index has been identified. From the consumer price index to BIST100 and BIST100, the exports have a one-way causal relationship with the import satisfaction rate and the interest rate. But there is no cause between BIST100 and industrial production index, oil prices and gold prices. For the U.S., in the study period, only one-way causal relationship was found from cash supply to S&P500, while there was no causal relationship between the S&P500 and the consumer price index, the industrial production index, the import satisfaction rate, the interest rate, the price of oil and the price of gold.

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