Determination of the impact of macroeconomic variables on stock returns traded on bist-30 by using arbitrage pricing theory

This study aims to determine the impacts of macroeconomic variables on stock returns by using Arbitrage Pricing Theory. According to this aim, stocks traded on BIST-30 and some macroeconomic variables have been included in this analysis for the period of January 2003–March 2013. Macroeconomic variables used in this study are BIST-100 index, M2 money supply, current account balance, currency basket, inflation rate, deposit interest rate, gold exchange rate, export/import ratio, industrial production index and capacity utilisation rate. Models have been conducted for all stocks to analyze the relationship between stock returns and macroeconomic variables. Result of this study, macroeconomic variables have significant impacts on stock returns, and stock returns can be determined by using Arbitrage Pricing Theory.