FINANCIAL MARKET AND ASYMMETRIC STRUCTURE: AN EMPIRICAL APPLICATION ON TURKISH STOCK MARKET

In this study, the relationship between Borsa Istanbul benchmark index (BIST100) and selected macroeconomic variables for the period 2014:01-2024:01 is analysed in non-linear form. In the model, BIST100 is taken as the dependent variable and deposit interest rate (INT), industrial production index (IPI), M2 money supply (M2) and volatility index (VIX) are considered as explanatory variables. The relationship between BIST100 and the explanatory variables is analysed with the non-linear ARDL (NARDL) approach, which allows the asymmetric structure to be taken into account. According to the empirical findings, there is a long-run cointegration relationship between BIST100 index and explanatory variables (INT, IPI, M2 and VIX). When the coefficient results are analysed, increases in M2 positively affect the BIST100 index. Increases in INT lead to a decrease in BIST100 index and this effect is statistically significant. Positive shocks in IPI, which shows an asymmetric effect, have a statistically significant effect on BIST100, while negative shocks have a downward effect on BIST100 but are statistically insignificant. The effect of negative shocks in VIX, another asymmetric variable, on BIST100 is statistically insignificant. Positive shocks, on the other hand, have a downward effect on BIST100 as expected. These findings make it possible for researchers who will forecast the BIST100 to make inferences about the future movements of the index by looking at macroeconomic variables.