The Impact of Macroeconomic Factors on Stock Returns

This study focuses on analyzing the effects of independent variables on two different stock markets, namely France and Turkey. To investigate these effects, a number of independent factors, including interest rates, inflation, exchange rate and GDP growth were analyzed. The study was carried out over a 21-year period, from January 2003 to December 2023, using quarterly data. The impact of the macroeconomic variables and the causal relationship between both countries are studied using methods such as the Unit Root test, Co-integration test, Heteroskedacity test, Autocorrelation test, Correlation, and Regression. The results show a significant positive relationship between GDP growth and stock index in both markets, as well as a positive relationship between exchange rate and stock returns. However, the difference occurs in the other independent variables, for inflation rate the impact is positive in Turkish market and is statistically insignificant in French case. Interest rate affects French market negatively and was found insignificant in Turkish case. These findings provide valuable insights for investors in understanding the drivers of stock market performance. Further research is needed to explore additional factors influencing stock returns.