MICRO AND MACROECONOMIC DETERMINANTS OF STOCK PRICES: THE CASE OF TURKISH BANKING SECTOR

Rjoub H., CİVCİR İ., Resatoglu N. G.

ROMANIAN JOURNAL OF ECONOMIC FORECASTING, cilt.20, sa.1, ss.150-166, 2017 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 20 Sayı: 1
  • Basım Tarihi: 2017
  • Dergi Adı: ROMANIAN JOURNAL OF ECONOMIC FORECASTING
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.150-166
  • Anahtar Kelimeler: Turkish banking sector, stock prices, micro and macro factors, MARKET RETURNS, INFLATION
  • Ankara Üniversitesi Adresli: Evet

Özet

This paper investigates the relationship between Turkish banks stock prices and a set of micro and macro variables. The study carried out via applying a fixed panel data analysis and Dumitrescu and Hurlin panel Granger causality test for the period spans from 1995 3rd quarter to 2015 4th quarter. In general, both macro and micro variables can reliably price the bank stocks. Specifically, the findings show that asset quality, management quality, earning, size, money supply and interest rate are significantly related to stock price. Also, bidirectional causality found between bank size, asset quality, money supply and bank stock price. In other words, investors should pay attention to bank specific information in their decision. Moreover, the result indicates that bank stock prices react negatively to economic crisis.