Effects of macroeconomic variables on Istanbul stock exchange indexes

Cumhur Erdem · Cem Kaan Arslan · Meziyet Sema Erdem

108 citations0/0 files storedApplied Financial Economics

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

Price volatility spillovers in ISE indexes were analysed based on monthly data from January 1991 to January 2004 for exchange rate, interest rate, inflation, industrial production and M1 money supply. The Exponential Generalized Autoregressive Conditional Heteroscedasticity model was used to test univariate volatility spillovers for macroeconomic variables. It was found that there exists unidirectional strong volatility spillover from inflation, interest rate to all stock price indexes. There are spillovers from M1 money supply to financial index, and from exchange rate to both IMKB 100 and industrial indexes. There is no volatility spillover from industrial production to any index.

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References

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