The determinants of stock market index: VAR approach to Turkish stock market

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dc.authorid0000-0002-0809-7893
dc.contributor.authorBaşcı, Eşref Savaş
dc.contributor.authorKaraca, Süleyman Serdar
dc.date.accessioned2019-05-13T09:07:34Z
dc.date.available2019-05-13T09:07:34Z
dc.date.issued2013
dc.departmentHitit Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, Bankacılık ve Finans Bölümü
dc.description.abstractIn this paper, we examined the relationship between ISE 100 Index and a set of four macroeconomic variables using Vector Autoregressive (VAR) model. Variables we used in our model are Exchange, Gold, Import, Export and ISE 100 Index. ISE 100 Index is a dependent variable and the others are independent variables. In this study we used 190 observations for the sample period from January, 1996 to October, 2011. All variables have seasonal movements. After seasonal adjustments, all series have had stationary in their first difference. After determining optimal lag order, it was given one standard deviation shock for each series and their response. And in variance decomposition carried out subsequently, it has been determined that especially as of the second default of exchange, it was explained 31% by share indices. © 2013, Econjournals. All rights reserved.
dc.identifier.citationBaşçı, E. S., Karaca, S. S. (2012). The determinants of stock market index: VAR approach to Turkish stock market. International Journal of Economics and Financial Issues, 3(1), 163-171.
dc.identifier.endpage171en_US
dc.identifier.issn2146-4138
dc.identifier.issue1en_US
dc.identifier.scopusqualityN/A
dc.identifier.startpage163en_US
dc.identifier.urihttps://hdl.handle.net/11491/1830
dc.identifier.volume3en_US
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherEconjournals
dc.relation.ispartofInternational Journal of Economics and Financial Issues
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectImpulse Response Analysisen_US
dc.subjectMacroeconomic Variablesen_US
dc.subjectTurkeyen_US
dc.subjectVAR Modelen_US
dc.subjectVariance Decompositionen_US
dc.titleThe determinants of stock market index: VAR approach to Turkish stock market
dc.typeArticle

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