EXAMINING RELATIONSHIP BETWEEN COMPOSITE LEADING INDICATORS AND BORSA ISTANBUL SECTOR INDICES

Fluctuations in economic activity are affecting stock market as well as in all markets. Composite leading indicators show expectations regarding the economy. In this study, it is tested whether there is a relationship between composite leading indicators index and 12 stock market sector index returns for the period of 2006:01-2016:10. Cointegration relations are investigated by Bound Test because of series are stationary at different orders. Consequently it has been determined that there is a long-term and short-term relationship between the composite leading indicators and all the sector indices in the study. In addition, it has been determined that an increase in composite leading indicators has positive effect on all sector indices in the short term. The results of the causality show that the composite leading indicators are the cause for the most of the indices