Abstract. In this study, microeconomic factors affecting the average returns of stocks traded in Stock Exchange Istanbul (BIST) were analyzed by panel ARDL method. For this purpose, 25 microeconomic variables owned by 130 companies which operate in the manufacturing sector and being processed continuous trade on stock exchange in the 2000:Q1 – 2017:Q3 period and 4 dummy variables belonging to Turkey’s economy were used and there were established 23 different econometric models to investigate the relationships between these variables. In this study, of time series analysis methods Levin, Lin and Chu (2002), Im, Pesaran and Shin (2003) and Hadri (2000) Panel unit root tests and Panel ARDL methods were used with Carrion-i Silvestre et al. (2009) multiple structural fractured unit root tests. As a result of the analyzes made, it was found that the rise in stock turnover rate and net profit to total assets ratio affected positively share earnings both in the short term and in the long term and it was seen that the effect in the short term was higher. It was designated that total sales increased share earnings of growth of increase rate and increases in the growth of total assets in the long term. It was determined that increases of on current ratio, on the ratio of equity capital ratio to tangible assets, on the ratio of own capital to assets, on accounts receivables turnover rate, net profits, on the ratio of equity, the marketing values of companies, on the ratio of book value increased share earnings in a short term and increases of on the ratio of debt to tangible assets and asset turnover decreased share earnings in a short term significantly.

Keywords: stock exchange, microeconomic factors, liquidity ratios, multiple structural breakdown unit root test, panel ARDL.