Investigating the Cointegration Relationship Between the BIST100 and Sector Indices and Macro-Financial Factors Using the Fractional Frequency Bootstrap Fourier ARDL Approach

Creative Commons License

Varol G., Baygin B. K.

EKONOMI POLITIKA & FINANS ARASTIRMALARI DERGISI-JOURNAL OF RESEARCH IN ECONOMICS POLITICS & FINANCE, vol.11, no.2, pp.721-746, 2026 (ESCI)

Abstract

The aim of this study is to examine the effects of global risk appetite and macroeconomic shocks on the Turkish stock market within the scope of the BIST 100 general index and its sectoral sub-indices (Banking, Financial, Industrial, and Technology). Accordingly, the effects of gold, silver, and Brent oil prices, the VIX index, and the USD/TRY exchange rate are analyzed using monthly data for the 2000:08-2025:10 period. To model structural breaks, current econometric methods are employed: the stationarity and asymmetric shock responses of the series are tested with the Fourier Quantile Unit Root Test, while the short-and long-term cointegration dynamics are examined through the Fractional Frequency Bootstrap Fourier ARDL approach. The results show that the VIX index has a negative long-term effect on the indices where cointegration is detected (BIST 100, Banking, Financial, and Technology), whereas exchange rate increases affect the stock market positively in the long run. Gold prices positively affect the Banking and Technology indices in the long term, while silver affects them negatively. In the short term, exchange rate shocks create selling pressure, and the persistence of these shocks exhibits asymmetry. The findings confirm the sensitivity of these markets to macro-financial shocks.