CAUSALITY RELATIONSHIP BETWEEN BALTIC DRY INDEX AND FINANCIAL MARKETS: PANDEMIC PERIOD EVIDENCE FROM TURKEY

Abstract

The Baltic dry index (BDI) is a concept of maritime logistics which shows the daily commercial activities of dry cargo transportation. The index is accepted as one of the common leading indicators of economic activities. This study researches the BDI and ISE-100 index which represents the Turkish stock market with benchmark interest rates in the pandemic period of March 2020-June 2022. The data were obtained from the bloomberght platform.  Simple and multiple linear regression equations were used to investigate the variables. The econometric analysis was done in three stages. In the first stage, Ng-Perron and Lee-Strazicich unit root tests are used in the unit root analysis of the series. This was followed by the examination of the cointegration relationship between the series using ARDL bounds test. The causality relationships between the series were determined in the last stage. Analysis results cannot show causality from BDI to ISE-100 index, benchmark interest rate, and general model. There is causality from ISE-100 index to BDI, benchmark interest rate, and general model. It is detected that there is no causality from benchmark interest rate to BDI and ISE-100 index while the causality is detected in the general model.