Ülke Riskinin Hisse Senedi Fiyatlarına Etkisi: İMKB 100 Endeksi Üzerine Bir Araştırma

Abstract

Keywords

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ÜLKE RİSKİNİN HİSSE SENEDİ FİYATLARINA ETKİSİ: İMKB 100 ENDEKSİ ÜZERİNE BİR ARAŞTIRMA

Abstract

Bu çalışmanın amacı ekonomik, politik ve finansal ülke risklerinin hisse senedi fiyatlarına etkisini tespit etmektir. Ülke risk primleri, son dönemlerde çalışmalarda oldukça sık kullanılan ve güvenilirliği kabul edilmiş ICRG (International Country Risk Guide)'den temin edilmiştir. 1986:1-2006:12 dönemini kapsayan bu çalışmada, İMKB 100 endeksi, ekonomik, finansal ve politik risk primi değişkenleri kullanılmıştır. Johansen- Juselius eş-bütünleşme testleri, ekonomik, finansal ve politik risk primleri ile İMKB 100 bileşik endeksi arasında uzun dönemli bir ilişki olduğunu, Granger nedensellik testleri ise ekonomik risk ve politik riskten İMKB 100 endeksine doğru bir nedenselliğin olduğunu göstermektedir. Çalışmada finansal risk ve İMKB 100 bileşik endeksi arasında herhangi bir nedensellik gözlenmemiştir. Yapılan regresyon tahminleri, ekonomik, finansal ve politik risklerin hisse senedi fiyatlarını olumsuz yönde etkilediğine işaret etmektedir.

Keywords

• Ekonomik risk, finansal risk, politik risk, hisse senedi fiyatları, Granger nedensellik testleri

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