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DOES TURKISH STOCK MARKET CONTRIBUTE TO TURKEY’S LONG-RUN GROWTH: AN ANALYSIS WITH STRUCTURAL BREAKS

Journal of Applied Research in Finance and Economics

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Title DOES TURKISH STOCK MARKET CONTRIBUTE TO TURKEY’S LONG-RUN GROWTH: AN ANALYSIS WITH STRUCTURAL BREAKS
 
Creator AKPOLAT, Ahmet Gökçe
 
Description This study addresses the question of whether there exists a long-run cointegration and causality relationship between Turkish stock market (named BIST or Borsa İstanbul) and real GDP over the period of 1998:1-2014:3. BIST index is used as proxy variable. The issue is examined by means of recently developed Maki cointegration test (2012) allowing for an unknown number of structural breaks. The test result shows the evidence that there exists a cointegration relationship between BIST index and real GDP. After then, VAR model-based Toda-Yamamoto (1995) Granger causality test is applied to determine the direction of causality. As a result, the existence of unidirectional causality from BIST index to real GDP is detected. Finally; FMOLS cointegrated regression model is used by adding structural breaks to the model as dummy variables, which are previously determined by Maki cointegration test. FMOLS model results indicate that both BIST index and structural breaks have statistically and economically significant signs. Moreover, FMOLS model accounts for about 97 or 98 % change in real GDP for the examined period.
 
Publisher Journal of Applied Research in Finance and Economics
 
Date 2016-09-30
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://www.jarfe.org/index.php/jarfe/article/view/11
 
Source Journal of Applied Research in Finance and Economics; Vol 2 No 3 (2016): Issue 2-3; 1-13
2458-8083
 
Language eng
 
Relation http://www.jarfe.org/index.php/jarfe/article/view/11/11
 
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