The Effect of Macroeconomic Factors on Stock Returns: A Study of Turkey and Emerging Markets

Although there are many studies in the literature that investigate the relationship between stock returns and macroeconomic factors in the United States and other advanced economies, the number of studies that investigate this relationship in emerging market economies is astonishingly small. Hence, the main purpose of this study is to analyze the impact of macroeconomic factors on stock returns in emerging market economies using panel data. The study covers the period between 1996 and 2006. According to the empirical results of this study, it has been observed that stock returns are affected by exchange rates, inflation rates and the S&P 500 Index while the returns are not affected by interest rate, gross domestic product, money supply and oil prices in a statistically significant manner.