ANALYZING THE LONG-RUN RELATIONSHIPS BETWEEN THE BIST100 INDEX AND MACROECONOMIC INDICATORS: EMPIRICAL EVIDENCE FROM TÜRKİYE USING THE RALS COINTEGRATION METHOD

This study examines the long-run effects of key macro-financial variables—exchange rate, money supply (M2), and the policy-related interest rate—on the Borsa İstanbul 100 Index (BIST100) using monthly data for 2005M1–2025M9. To account for non-normality frequently observed in financial series, the analysis applies the Residual Augmented Least Squares (RALS) cointegration framework and its enhanced Engle–Granger procedure. ADF and RALS-ADF results confirm that all variables are integrated of order one, and the RALS-EG test provides strong evidence of cointegration. Long-run coefficients are estimated using Dynamic OLS (DOLS) and Fully Modified OLS (FMOLS). The findings indicate that money supply and the policy interest rate exert positive and significant long-run effects on BIST100, while the exchange rate does not exhibit a meaningful long-run impact. Overall, the results suggest that Türkiye’s stock market dynamics are shaped primarily by domestic monetary conditions rather than persistent exchange-rate movements.