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

Araştırma Makalesi

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

Yıl 2025, Cilt: 16 Sayı: 31, 467 - 494, 27.06.2025

Tuncer Yılmaz , Alirıza Ağ

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

Öz

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.

Anahtar Kelimeler

Makroekonomik göstergeler, işlem hacmi, Amihud likidite azlığı

Kaynakça

Abudy, M. M. (2020). Retail investor’s trading and stock market liquidity. The North American Journal of Economics and Finance, 54, 101281. https://doi.org/10.1016/j.najef.2020.101281.
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Ahmed, R., Hudson, R., & Gregoriou, A. (2023). The implications of liquidity ratios: evidence from Pakistan stock exchange limited. The Quarterly Review of Economics and Finance, 87, 235-243. https://doi.org/10.1016/j.qref.2020.12.006.
Akaike, H. (1974). A new look at the statistical model identification. IEEE Transactions on Automatic Control, 19(6), 716-723. https://doi.org/10.1109/tac.1974.1100705.
Alaoui Mdaghri, A., Raghibi, A., Thanh, C. N., & Oubdi, L. (2021). Stock market liquidity, the great lockdown and the Covid-19 global pandemic nexus in MENA countries. Review of Behavioral Finance, 13(1), 51-68. https://doi.org/10.1108/rbf-06-2020-0132.
Ali, S., Liu, B., & Su, J. J. (2017). Corporate governance and stock liquidity dimensions: panel evidence from pure order-driven Australian market. International Review of Economics & Finance, 50, 275-304. https://doi.org/10.1016/j.iref.2017.03.005.
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.
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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.
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MACROECONOMIC INDICATORS AND LIQUIDITY: LONG AND SHORT RUN DYNAMIC EFFECTS ON THE TÜRKİYE STOCK EXCHANGE WITH THE ARDL APPROACH

Yıl 2025, Cilt: 16 Sayı: 31, 467 - 494, 27.06.2025

Tuncer Yılmaz , Alirıza Ağ

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

Öz

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.

Anahtar Kelimeler

Macroeconomic indicators, trading volume, Amihud illiquidity

Kaynakça

Abudy, M. M. (2020). Retail investor’s trading and stock market liquidity. The North American Journal of Economics and Finance, 54, 101281. https://doi.org/10.1016/j.najef.2020.101281.
Admati, A. R., & Pfleiderer, P. (1988). A theory of intraday patterns: volume and price variability. The Review of Financial Studies, 1(1), 3-40. https://doi.org/10.1093/rfs/1.1.3.
Ahmed, R., Hudson, R., & Gregoriou, A. (2023). The implications of liquidity ratios: evidence from Pakistan stock exchange limited. The Quarterly Review of Economics and Finance, 87, 235-243. https://doi.org/10.1016/j.qref.2020.12.006.
Akaike, H. (1974). A new look at the statistical model identification. IEEE Transactions on Automatic Control, 19(6), 716-723. https://doi.org/10.1109/tac.1974.1100705.
Alaoui Mdaghri, A., Raghibi, A., Thanh, C. N., & Oubdi, L. (2021). Stock market liquidity, the great lockdown and the Covid-19 global pandemic nexus in MENA countries. Review of Behavioral Finance, 13(1), 51-68. https://doi.org/10.1108/rbf-06-2020-0132.
Ali, S., Liu, B., & Su, J. J. (2017). Corporate governance and stock liquidity dimensions: panel evidence from pure order-driven Australian market. International Review of Economics & Finance, 50, 275-304. https://doi.org/10.1016/j.iref.2017.03.005.
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.
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Toplam 73 adet kaynakça vardır.

Ayrıntılar

Birincil Dil	İngilizce
Konular	Maliye Politikası, Para Politikası, Finansal Ekonomi
Bölüm	Makaleler
Yazarlar	Tuncer Yılmaz 0000-0001-8956-5814 Alirıza Ağ 0000-0001-5345-6245
Yayımlanma Tarihi	27 Haziran 2025
Gönderilme Tarihi	11 Ocak 2025
Kabul Tarihi	14 Mayıs 2025
Yayımlandığı Sayı	Yıl 2025 Cilt: 16 Sayı: 31

Kaynak Göster

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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KAÜİİBFD, Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergi Yayıncılığı'nın kurumsal dergisidir.

KAÜİİBFD 2022 yılından itibaren Web of Science'a dahil edilerek, Clarivate ürünü olan Emerging Sources Citation Index (ESCI) uluslararası alan endeksinde taranmaya başlamıştır.

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