Macroeconomic influences on ETF prices: Evidence from iShares MSCI Türkiye

Exchange-traded funds (ETFs) are among the most widely used financial instruments for accessing financial markets today. This study investigates the influence of key macro-financial indicators—namely the BIST100 index, exchange rate, interest rate, foreign direct investment inflows, Türkiye's CDS premiums, and the VIX—on the price dynamics of the iShares MSCI Türkiye. The analysis employs quarterly data spanning 2013–2024 and uses the ARDL methodology. The results indicate a cointegration relationship between the variables. In the long run, the iShares MSCI Türkiye exhibits a statistically significant positive association with the BIST100 index, whereas it demonstrates a statistically significant negative association with the exchange rate. It is determined that shocks to iShares MSCI Türkiye prices are effective in the short term and that at least 95% of them spill over to the next period. Still, these shocks are offset in the following period and lead to convergence. Based on the Granger causality analysis, the exchange rate and foreign direct investment inflows are the Granger causes of the iShares MSCI Türkiye. Therefore, BIST100, exchange rates, and foreign direct investment inflows are important for iShares MSCI Türkiye investors and fund managers in determining their investment strategies.