THE CASUALITY AND COINTEGRATION RELATIONSHIPS BETWEEN STOCK MARKET AND CONSUMER CONFIDENCE INDEX: A CASE STUDY IN BORSA ISTANBUL

Abstract

Consumers' expectations about the economic trend predict the future of the economy at a certain level. On the other hand, the relations such as whether consumers' expectations about the economy affect stock returns, or vice versa, are a separate concern. In this study, the relations between the Consumer Confidence Index which has been began to be announced since 2004 in Turkey and BIST 100 index have been studied. In this study, with the data obtained from TurkStat and the Central Bank and the relationships between causality and cointegration were investigated. Engle-Granger cointegration, Johansen cointegration and Granger causality analysis methods were used. As a result of the study, a unilateral relationship was determined from the direction of BIST 100 to TGE. This means that increasing or decreasing the BIST 100 index value is a Granger cause of consumer confidence increasing or decreasing. In addition, the long-term cointegration relationship between the series was determined. This result shows that the series moves together in the long term