THE EFFECT OF MACRO-ECONOMIC INDICATORS ON STOCK PRICES: HETEROGENEOUS PANEL DATA ANALYSIS

Year 2024, Issue: 45, 199 - 212, 31.10.2024

Zeynep Kalaycıoğlu

https://doi.org/10.18092/ulikidince.1518324

Abstract

This study investigates the effects of countries' main macroeconomic indicators on stock prices. Although many studies have been conducted on the effects of macroeconomic indicators on stock prices, the results of these studies do not overlap with each other. For this reason, a heterogeneous panel data model was created to determine the effect of the main macroeconomic indicators, which exchange rates, interest rates, inflation, and economic growth in 27 countries, on stock prices over the 22-year period between 2000 and 2021 and was analyzed with the help of the Extended Average Group Estimator (AMG). Although the results of the analysis differ in units, they show that economic growth has a positive and significant effect on stock prices across the entire panel. Other variables had no significant effect on the entire panel. The fact that the analysis results differ on the basis of all panels and units reveals the importance of country-specific factors.

Keywords

Stock Prices, Macro Economic Indicators, Heterogeneous Panel Data Analysis

Project Number

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MAKRO-EKONOMİK GÖSTERGELERİN HİSSE SENEDİ FİYATLARI ÜZERİNDEKİ ETKİSİ: HETEROJEN PANEL VERİ ANALİZİ

Abstract

Bu çalışma, ülkelerin temel makroekonomik göstergelerinin hisse senedi fiyatları üzerindeki etkilerini incelemektedir. Makroekonomik göstergelerin hisse senedi fiyatları üzerindeki etkileri üzerine birçok çalışma yapılmış olmasına rağmen, bu çalışmaların sonuçları birbiriyle örtüşmemektedir. Bu nedenle, 27 ülkedeki temel makroekonomik göstergeler olan döviz kurları, faiz oranları, enflasyon ve ekonomik büyümenin, 2000-2021 yılları arasındaki 22 yıllık dönemde, hisse senedi fiyatları üzerindeki etkisini belirlemek amacıyla heterojen panel veri modeli oluşturulmuş ve Genişletilmiş Ortalama Grup Tahmincisi (AMG) yardımı ile analiz edilmiştir. Analiz sonuçları, birim bazında farklılık gösterse de, panelin tamamı ekonomik büyümenin hisse senedi fiyatları üzerinde pozitif ve anlamlı bir etkiye sahip olduğunu göstermektedir. Diğer değişkenlerin panelin tamamı üzerinde anlamlı bir etkisi yoktur. Analiz sonuçlarının tüm panel ve birimler bazında farklılık göstermesi ülkeye özgü faktörlerin önemini ortaya koymaktadır.

Keywords

Hisse Senedi Fiyatları, Makro-Ekonomik Göstergeler, Heterojen Panel Veri Analizi

Supporting Institution

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Project Number

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Thanks

Araştırma süreci boyunca sürekli destek ve geri bildirimleri için Prof. Dr. Ahmet KURTARAN’a minnettarım.

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