The Analysis of Macroeconomic Indicators that Affect Equity Returns in Turkey with Arbitrage Pricing Model

In this study, the sensitivity of the monthly returns of the shares that have been continuously traded on the Borsa Istanbul (BIST) 30 index for the period of February 2010 - September 2017 to the macroeconomic indicators were analyzed by using the Arbitrage Pricing Model. The Arbitrage Pricing Model assumes that the return on a financial asset investment is based on multiple factors. As a result of the analysis period, the share returns of the 28 companies included in the BIST 30 index and 8 basic macroeconomic indicators were used. After examining the stationarity tests, the regression equations for each share return were estimated by using the Backward Elimination method, and the best-performing models were determined. As a result, it is understood that Borsa ？stanbul share returns have different effects in different degrees and in different directions depending on both national and international economic and political factors. The Arbitrage Pricing Model can be used in the process of determining the macroeconomic indicators that affect the share returns in Borsa Istanbul. It can be said that investors can make investment decisions by taking into consideration the macroeconomic factors, especially the inflation rate and the previous returns