MACROECONOMIC INDICATORS AND LIQUIDITY: LONG AND SHORT RUN DYNAMIC EFFECTS ON THE TÜRKİYE STOCK EXCHANGE WITH THE ARDL APPROACH

Tuncer Yılmaz; Alirıza Ağ

doi:10.36543/kauiibfd.2025.018

Research Article

MAKROEKONOMİK GÖSTERGELER VE LİKİDİTE: TÜRKİYE BORSASINDA ARDL YAKLAŞIMI İLE UZUN VE KISA DÖNEMLİ DİNAMİK ETKİLER

Year 2025, Volume: 16 Issue: 31, 467 - 494, 27.06.2025

Tuncer Yılmaz , Alirıza Ağ

https://doi.org/10.36543/kauiibfd.2025.018

Abstract

Borsa likiditesi, hisse senedi piyasasının iyi işlediğini, piyasada istikrarın olduğunu ve yatırımcıların hisse senetlerine olan duyarlılığını gösteren en önemli göstergelerden biridir. Borsa likiditesi aynı zamanda para ve sermaye piyasasındaki likiditenin ve piyasa dinamiklerinin derinliğini görmek açısında da önemli bir belirleyici olarak öne çıkmaktadır. Borsa likiditesinin öneminden yola çıkarak bu makalede, para, maliye ve genel ekonomik görünüme ait bazı makroekonomik göstergelerin uzun ve kısa dönemde borsa likiditesi üzerindeki dinamik etkisi simetrik ARDL yöntemi ile incelemek amaçlanmıştır. ARDL bulgularında faiz, döviz kuru, merkezi yönetim harcamaları, petrol, sanayi üretim endeksi ve tüketici fiyat endeksinin borsa likiditesi üzerindeki etkisinin varlığını göstermektedir.

Keywords

Makroekonomik göstergeler, işlem hacmi, Amihud likidite azlığı

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MACROECONOMIC INDICATORS AND LIQUIDITY: LONG AND SHORT RUN DYNAMIC EFFECTS ON THE TÜRKİYE STOCK EXCHANGE WITH THE ARDL APPROACH

Year 2025, Volume: 16 Issue: 31, 467 - 494, 27.06.2025

Tuncer Yılmaz , Alirıza Ağ

https://doi.org/10.36543/kauiibfd.2025.018

Abstract

Stock market liquidity is a key indicator of market functionality, stability and investor sentiment. Furthermore, stock market liquidity serves as a crucial indicator for gauging the depth of liquidity and market dynamics in money and capital markets. In light of the pivotal role of stock market liquidity, this article seeks to examine the dynamic influence of select macroeconomic indicators pertaining to monetary, fiscal, and general economic outlook on stock market liquidity in both the long and short run. To this end, the symmetric ARDL method is employed. The ARDL findings indicate that interest rate, exchange rate, central government expenditures, oil, industrial production index, and consumer price index exert a discernible impact on stock market liquidity.

Keywords

Macroeconomic indicators, trading volume, Amihud illiquidity

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Altunöz, U. (2021). Vadeli işlem sözleşmelerinin (futures) getiri, hacim ve volatilitesinde makroekonomik göstergelerin rolü: vadeli işlem opsiyon piyasası (VIOP) üzerine bir uygulama. Journal of International Social Research, 14(79), 134-151. https://doi.org/10.17719/jisr.2021.35948.
Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets, 5(1), 31-56. https://doi.org/10.1016/S1386-4181(01)00024-6.
Amihud, Y., Mendelson, H., & Pedersen, L. H. (2006). Liquidity and asset prices. Foundations and Trends in Finance, 1(4), 269-364. http://dx.doi.org/10.1561/0500000003.
Arjoon, V., Bougheas, S., & Milner, C. (2016). Lead-lag relationships in an embryonic stock market: exploring the role of institutional ownership and liquidity. Research in International Business and Finance, 38, 262-276. https://doi.org/10.1016/j.ribaf.2016.04.012.
Bekhet, H. A., & bt Othman, N. S. (2012). Examining the role of fiscal policy in Malaysian stock market. International Business Research, 5(12), 59-67. https://doi.org/10.5539/ibr.v5n12p59.
Brandao-Marques, M. L. (2016). Stock market liquidity in Chile. IMF Working Papers, WP/16/223, 1-26. https://doi.org/10.5089/9781475554656.001.
Brennan, M. J., Chordia, T., Subrahmanyam, A., & Tong, Q. (2012). Sell-order liquidity and the cross-section of expected stock returns. Journal of Financial Economics, 105(3), 523-541. https://doi.org/10.1016/j.jfineco.2012.04.006.
Brogaard, J., Li, D., & Xia, Y. (2017). Stock liquidity and default risk. Journal of Financial Economics, 124(3), 486-502. https://doi.org/10.1016/j.jfineco.2017.03.003.
Brown, R. L., Durbin, J., & Evans, J. M. (1975). Techniques for testing the constancy of regression relationships over time. Journal of the Royal Statistical Society: Series B (Methodological), 37(2), 149-163. https://doi.org/10.1111/j.2517-6161.1975.tb01532.x.
Butler, A., Grullon, G., & Weston, J. (2005). Stock market liquidity and the cost of issuing equity. J. Financ. Quant. Anal, 40(2), 331-348. https://doi.org/10.1017/s0022109000002337.
Camba Jr, A. C., & Camba, A. L. (2020). The dynamic relationship of domestic credit and stock market liquidity on the economic growth of the Philippines. The Journal of Asian Finance, Economics and Business, 7(1), 37-46. https://doi.org/10.13106/jafeb.2020.vol7.no1.37.
Canbaz, M. (2019). Milli gelir, bankacılık kredi ve mevduat hacmi ile menkul kıymetler borsası işlem hacmi etkileşimi. OPUS International Journal of Society Researches, 13(19), 2592-2626. https://doi.org/10.26466/opus.588751.
Chang, X., Chen, Y., & Zolotoy, L. (2017). Stock liquidity and stock price crash risk. Journal of Financial and Quantitative Qnalysis, 52(4), 1605-1637. https://doi.org/10.1017/S0022109017000473.
Chiad, F., & Hadj Sahraoui, H. (2022). Macroeconomic determinants of stock market development: evidence from panel data analysis. MPRA Paper No. 113797, 4, 1-10. Available at: https://mpra.ub.uni-muenchen.de/id/eprint/113797.
Choi, W. G., & Cook, D. (2006). Stock market liquidity and the macroeconomy: evidence from Japan. IMF Working Papers, WP/05/6, 1-29. Available at: http://www.nber.org/chapters/c10146.
Chordia, T., Roll, R., & Subrahmanyam, A. (2001). Market liquidity and trading activity. The Journal of Finance, 56(2), 501-530. https://doi.org/10.1111/0022-1082.00335.
Chowdhury, A., Uddin, M., & Anderson, K. (2018). Liquidity and macroeconomic management in emerging markets. Emerging Markets Review, 34, 1-24. https://doi.org/10.1016/j.ememar.2017.10.001.
Çiftçi, G., & Reis, Ş. G. (2020). Risk iştahı ile piyasa likiditesi arasındaki nedensellik ilişkisi. Ekonomi Politika ve Finans Araştırmaları Dergisi, 5(2), 389-403. https://doi.org/10.30784/epfad.687595.
Darolles, S., & Le Fol, G. (2014). Trading volume and arbitrage. GSTF: Journal on Business Review, 3(3), 1-12. http://dx.doi.org/10.5176/2010-4804_3.3.321.
Das, K. K., & Yaghoubi, M. (2023). Stock liquidity and firm-level political risk. Finance Research Letters, 51, 103419. https://doi.org/10.1016/j.frl.2022.103419.
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Primary Language	English
Subjects	Policy of Treasury, Monetary Policy, Financial Economy
Journal Section	Articles
Authors	Tuncer Yılmaz 0000-0001-8956-5814 Alirıza Ağ 0000-0001-5345-6245
Publication Date	June 27, 2025
Submission Date	January 11, 2025
Acceptance Date	May 14, 2025
Published in Issue	Year 2025 Volume: 16 Issue: 31

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APA	Yılmaz, T., & Ağ, A. (2025). MACROECONOMIC INDICATORS AND LIQUIDITY: LONG AND SHORT RUN DYNAMIC EFFECTS ON THE TÜRKİYE STOCK EXCHANGE WITH THE ARDL APPROACH. Kafkas Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 16(31), 467-494. https://doi.org/10.36543/kauiibfd.2025.018

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