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Makale Özeti:
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Investment analysis should be carefully performed in stock markets. Therefore, firms take
necessary actions according to stock market behavior and macroeconomic variables. Therefore, the
predictability of stock market determinants becomes important. This study aims to identify the
effects of selected macroeconomic factors (interest rate, exchange rates, inflation-consumer price
index, current account deficit, unemployment rates and sector indices) on stock returns of selected
48 companies in 11 different sectors of Istanbul Stock Exchange including electric, food,
communication, paper, chemistry, metal-main, metal-product, stone, textile, commerce and
transportation sectors. The study employs ARDL approach on the period between the second
month of 2005 and the second month of 2012 including 85 monthly observations. According to the
results, Sector Indices are found to be quite influential through the selected sectors. Exchanges
rate is also significantly influential on almost all the sectors except Communication and Textile
sectors. The impacts of Interest Rate, Inflation Rate, Current Account Deficit, and
Unemployment Rate are various through the selected sectors. Moreover, the influence of
Istanbul Stock Exchange Market on the stock returns of considered companies is significantly clear
through the sectors except six companies (two companies from Paper sector, one company from
Metal-Main sector, two companies from Stone sector and one company from Textile sector) out of
48 companies. Since it includes a wide range of companies and sectors, this study is expected to be
useful for all policy makers and investment decisions.
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