The Effects of Macroeconomic Variables on the BIST 100 Index: ARDL and NARDL Approaches
The objective of this research is to analyze the signal, magnitude, and significance of both symmetric and asymmetric effects of interest rate, taxes, exchange rate, oil price, and gold price on the Turkish stock market (BIST100). The autoregressive distributed lag (ARDL) technique was used in bot...
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| Format: | Article |
| Language: | English |
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International Public Finance Conference/Turkey
2024-06-01
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| Series: | International Journal of Public Finance |
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| Online Access: | https://dergipark.org.tr/tr/download/article-file/3535609 |
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| author | Mohammed Algoni Mehmet İvrendi |
| author_facet | Mohammed Algoni Mehmet İvrendi |
| author_sort | Mohammed Algoni |
| collection | DOAJ |
| description | The objective of this research is to analyze the signal, magnitude, and significance of both symmetric and asymmetric effects of interest rate, taxes, exchange rate, oil price, and gold price on the Turkish stock market (BIST100). The autoregressive distributed lag (ARDL) technique was used in both linear and non-linear formats. The F-Bounds test of the linear ARDL test suggests that the variables do not exhibit long-term integration. Nevertheless, the F-bounds test of the nonlinear ARDL (NARDL) test confirms the presence of cointegration among the variables. Therefore, the research heavily relies on the NARDL model. The empirical evidence indicates the long-term influence of the exchange rates rate, gold price, and interest rate on the BIST100 index is asymmetric. Additionally, the asymmetrical effects of interest rates, taxes, exchange rates, oil prices, and gold prices in the short term have an impact on the BIST100. |
| format | Article |
| id | doaj-art-e326dfced8cc4a39a0cd859743f3328c |
| institution | Kabale University |
| issn | 2548-0499 |
| language | English |
| publishDate | 2024-06-01 |
| publisher | International Public Finance Conference/Turkey |
| record_format | Article |
| series | International Journal of Public Finance |
| spelling | doaj-art-e326dfced8cc4a39a0cd859743f3328c2025-02-03T18:24:50ZengInternational Public Finance Conference/TurkeyInternational Journal of Public Finance2548-04992024-06-019183 10410.30927/ijpf.1390392The Effects of Macroeconomic Variables on the BIST 100 Index: ARDL and NARDL ApproachesMohammed Algoni0https://orcid.org/0000-0003-1292-8765Mehmet İvrendi1https://orcid.org/0000-0002-5944-666X Pamukkale UniversityPamukkale UniversityThe objective of this research is to analyze the signal, magnitude, and significance of both symmetric and asymmetric effects of interest rate, taxes, exchange rate, oil price, and gold price on the Turkish stock market (BIST100). The autoregressive distributed lag (ARDL) technique was used in both linear and non-linear formats. The F-Bounds test of the linear ARDL test suggests that the variables do not exhibit long-term integration. Nevertheless, the F-bounds test of the nonlinear ARDL (NARDL) test confirms the presence of cointegration among the variables. Therefore, the research heavily relies on the NARDL model. The empirical evidence indicates the long-term influence of the exchange rates rate, gold price, and interest rate on the BIST100 index is asymmetric. Additionally, the asymmetrical effects of interest rates, taxes, exchange rates, oil prices, and gold prices in the short term have an impact on the BIST100.https://dergipark.org.tr/tr/download/article-file/3535609stock priceinterest rateexchange rateoil pricenonlinear ardl |
| spellingShingle | Mohammed Algoni Mehmet İvrendi The Effects of Macroeconomic Variables on the BIST 100 Index: ARDL and NARDL Approaches International Journal of Public Finance stock price interest rate exchange rate oil price nonlinear ardl |
| title | The Effects of Macroeconomic Variables on the BIST 100 Index: ARDL and NARDL Approaches |
| title_full | The Effects of Macroeconomic Variables on the BIST 100 Index: ARDL and NARDL Approaches |
| title_fullStr | The Effects of Macroeconomic Variables on the BIST 100 Index: ARDL and NARDL Approaches |
| title_full_unstemmed | The Effects of Macroeconomic Variables on the BIST 100 Index: ARDL and NARDL Approaches |
| title_short | The Effects of Macroeconomic Variables on the BIST 100 Index: ARDL and NARDL Approaches |
| title_sort | effects of macroeconomic variables on the bist 100 index ardl and nardl approaches |
| topic | stock price interest rate exchange rate oil price nonlinear ardl |
| url | https://dergipark.org.tr/tr/download/article-file/3535609 |
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