ASYMMETRIC EFFECTS OF MONETARY POLICY ON STOCK RETURNS: CASE OF BIST100 BULL AND BEAR MARKETS
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Fluctuations in the stock market create significant effects on the macroeconomic structure. For this reason, the volatility in stock markets is considered as an important indicator of stability. The monetary policy, which has the advantages of fast and easy implementation, is primarily preferred economic policy tool in response to economic instabilities. Therefore, revealing the impact of monetary policy on stock markets is of vital importance for effective policy development. In this research, the effects of monetary actions on stock returns are discussed from both empirical and theoretical perspectives. For the empirical study, a quarterly data set covering the period 1998Q3-2020Q1 was used. On the other hand, it has been argued by economists since the Great Depression that the effects of monetary policy are not linear and differ according to the structure of the current economic regime. Therefore regime-dependent effects of monetary policy on stock returns were examined using Markov Regime Switching Model and it has obtained evidence that monetary actions of CBRT are more effective in the bull market.