INDUSTRIAL PRODUCTION INDEX, GOLD, OIL PRICES AND TRADER INDEX: A PANEL ARDL ANALYSIS ON BRICS-T COUNTRIES
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DOI:
https://doi.org/10.26450/jshsr.1644Keywords:
Gold Prices, Oil Prices, İndustrial Production İndex, Stock İndex, ARDL (Autoregressive. Distributed Lag)Abstract
In this study, the effect of selected economic indicators for BRIC-T countries (Brazil, Russia, India, China and Turkey) on their
stock market indices was tested with monthly data for the period 2010-2018 using panel data analysis. The model was estimated
using industrial production index, gold, oil prices and stock market index series as variable.
According to the results of co-integration bound test-ARDL (autoregressive distributed lag) empiric analysis, a 1% increase
industrial production index will increase the stock market indices of THE BRICS-T countries by 0.45%, the same rate of
increase in the oil price will reduce this index by 0.30% in the long-run. In the short-term analysis, the sign of the model's error
correction terms is negative which means that the process shows gradually convergence process in the long run.
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