The Relationship of cointegration between some macroeconomic factors and shares prices: an empiric research with the ardl bound testing approach

Abstract

Introduction: The issue of factors affecting stock prices has always been an important and current issue, both for institutions and individual investors. Aim: The aim of this study is to analyze whether there is a cointegration relationship between macroeconomic factors and stock prices in Turkey with the ARDL Bounds Test. Method: Monthly BIST100 index prices and macroeconomic factors such as interest, gold and exchange rates between 2008 and 2020 are included in the analysis. First, the stationarity of the series was examined and then it was tried to be determined by using the ARDL bounds testing whether there is a cointegration relationship between stocks and macroeconomic factors. Findings: Analysis results showed that there is a cointegration relationship between stock prices and macroeconomic factors.