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This study investigates the causal relationship between selected domestic and international macroeconomic variables and the stock returns in Turkey by using ARDL methodology for the period of 2003:1-2016:12. By taking S&P500 and World Oil Price Index as exogenous control variables, the study finds that the main determinants of Turkish stock returns are the changes in industrial production index, consumer price index , current account to export ratio, real effective exchange rate, Standard & Poor's 500 Index, World Oil Price Index and the interest difference between Turkish Central Bank policy rate and the Federal Funds Rate of the USA in the long-run. The signs of industrial production index , consumer price index, current account to export ratio, real effective exchange rate, S&P500 and World Oil Price Index are statistically significant and positive and the sign of the interest difference between Turkish policy rate and the FFR is negative. The test results also show that Turkish unemployment rate does not have any effect on Turkish stock returns.

The aim of this study is twofold; the first one is, by using "Augmented Neo-classical Growth Model" as a base, to investigate the determinants of the long-run economic growth of Turkey benefiting from the ARDL approach for the period of 1965 to 2015, using annual data. The second aim is to confirm and emphasize the results of ARDL approach by using the new co-integration methods of FMOLS, DOLS and CCR. Empirical results show that the determinants of long run economic growth are the growth of physical capital stock and the growth of energy use. However, empirical results support that, different from the literature, the contribution of human capital to economic growth in Turkey is none or weakly statistically significant.

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