Research Article
The Effects of the Corporate Governance Quality of Companies on the Price Performance: A New Generation of Panel Data Analysis on the Companies Listed in the Borsa İstanbul Corporate Governance Index
Abstract
In this study; The effects of corporate governance quality assessment notes (corporate governance rating ) of firms traded on Borsa Istanbul on the stock prices of firms were investigated with the help of the New Generation Panel Data Analysis methods of 27 firms using the annual data of 2012-2018 period. The presence of cross-sectional dependence among firms included in the analysis; Breusch and Pagan (1980) were tested by LM test, Pesaran (2004) LM test, Pesaran (2004) CD test and Baltagi, Feng and Kao (2012) LMBC test and it was found that there was a horizontal cross-sectional dependence between firms. Stability of series; Pesaran (2007) was examined with CADF panel unit root test and all series were determined as I (0). The coefficients in the models were estimated by using Westerlund (2007) OLSAdj method and when the corporate governance quality of the firms increased by 1 unit, it was determined that the stock prices would increase by TL 1.13.
Causality relations between series; Dumitrescu and Hurlin (2012) method was examined and one-way causality relationships were found between firms' corporate governance quality and share prices.
References
- Acungüç, A. Ç. (2017). Kurumsal Yönetim Uygulamalarının Hisse Senetleri Borsada İşlem Gören Şirketler Üzerindeki Etkisi ve Değerlendirilmesi. İstanbul:T.C. OkanÜniversitesi Sosyal Bilimler Enstitüsü
- Aksu, M., Aytekin,S. (2015), Kurumsal Yönetim İlkelerine Uyum Notu İle Hisse Senedi Getirisi İlişkisi: BIST Kurumsal Yönetim Endeksi (XKURY) Üzerine Bir Uygulama, Gümüşhane Üniversitesi Sosyal Bilimler Elektronik Dergisi, Sayı:13, Cilt:6, S: 201-2019, DOI: 10.17823/gusb.193
- Bai, J. and Kao, C. (2006). On the Estimation and Inference of a Panel Cointegration Model with Cross Sectional Dependence. in Badi Baltagi (Ed.), Panel Data Econometrics: Theoretical Contributions and Empirical Applications, Amsterdam: Elsevier Science, pp. 3- 30.
- Baltagi, B. H, Feng, Q. and C. Kao (2012). A Lagrange Multiplier test for Cross-sectional Dependence in a Fixed Effects Panel Data Model. Journal of the Econometrics, 170, 164–177.
- Bayraktaroğlu, H. ve Çelik, İ. (2015), Kurumsal Yönetim Uygulamalarının Getiri Oynaklığı Üzerine Etkisi: Borsa İstanbul’da Bir Araştırma, Akdeniz Üniversitesi İİBF Dergisi, Cilt XVII Sayı:1,S: 97-108Breusch, T.S and Pagan, A.R. (1980). The Lagrange Multiplier Test and Its Applications to Model Specification Tests in Econometrics. Review of Economic Studies, 47, 239-53.
- Brown,R.(2009), Treasury Working Paper, http://archive.treasury.gov.au/documents/ l495/PDF/ TWP 2009-02.pdf
- Demirbaş, M., Uyar, S. (2006). Kurumsal Yönetim İlkeleri ve Denetim Komitesi. İstanbul : Güncel Yayıncılık.Dumitrescu, E.I. and Hurlin, C. (2012). Testing for Granger Non-Causality inHeterogeneous Panels. Economic Modelling, 29(4), 1450-1460.Eberhardt, M. and Bond, S. (2009). Cross-section Dependence in Nonstationary Panel Models: ANovel Estimator. MPRA Paper, No. 17870.
- Ertuna, B., ve Tükel, A. (2008), Şirketlerin Kamuyu Aydınlatma Düzeyleri: Ortaklık Yapısı Ve Kurumsal Yönetimin Etkileri, İ.M.K.B. Dergisi, Sayı:40.Pesaran, M.H. (2004). General Diagnostic Tests for Cross Section Dependence in Panels, Cambridge Working Papers in Economics, 435.
- Sakarya, Ş. (2011), İMKB Kurumsal Yönetim Endeksi Kapsamındaki Şirketlerin Kurumsal Yönetim Derecelendirme Notu ve Hisse Senedi Getirileri Arasındaki İlişkinin Olay Çalışması (Event Study) Yöntemi İle Analizi, Zonguldak Karaelmas Üniversitesi Sosyal Bilimler Dergisi, Cilt:7, Sayı:13, S: 147–162
- TKYD ve Delolitte . (2006). Nedir Bu Kurumsal Yönetim? İstanbul: TKYD ve Deloitte Ortak Yayını.
- Westerlund, J. (2007). Estimating Cointegrated Panels with Common Factors and the Forward Rate Unbiasedness Hypothesis. Journal of Financial
The Effects of the Corporate Governance Quality of Companies on the Price Performance: A New Generation of Panel Data Analysis on the Companies Listed in the Borsa İstanbul Corporate Governance Index
Abstract
In this study; The effects of corporate governance quality assessment notes (corporate governance rating ) of firms traded on Borsa Istanbul on the stock prices of firms were investigated with the help of the New Generation Panel Data Analysis methods of 27 firms using the annual data of 2012-2018 period. The presence of cross-sectional dependence among firms included in the analysis; Breusch and Pagan (1980) were tested by LM test, Pesaran (2004) LM test, Pesaran (2004) CD test and Baltagi, Feng and Kao (2012) LMBC test and it was found that there was a horizontal cross-sectional dependence between firms. Stability of series; Pesaran (2007) was examined with CADF panel unit root test and all series were determined as I (0). The coefficients in the models were estimated by using Westerlund (2007) OLSAdj method and when the corporate governance quality of the firms increased by 1 unit, it was determined that the stock prices would increase by TL 1.13.
Causality relations between series; Dumitrescu and Hurlin (2012) method was examined and one-way causality relationships were found between firms' corporate governance quality and share prices.
Causality relations between series; Dumitrescu and Hurlin (2012) method was examined and one-way causality relationships were found between firms' corporate governance quality and share prices.
References
- Acungüç, A. Ç. (2017). Kurumsal Yönetim Uygulamalarının Hisse Senetleri Borsada İşlem Gören Şirketler Üzerindeki Etkisi ve Değerlendirilmesi. İstanbul:T.C. OkanÜniversitesi Sosyal Bilimler Enstitüsü
- Aksu, M., Aytekin,S. (2015), Kurumsal Yönetim İlkelerine Uyum Notu İle Hisse Senedi Getirisi İlişkisi: BIST Kurumsal Yönetim Endeksi (XKURY) Üzerine Bir Uygulama, Gümüşhane Üniversitesi Sosyal Bilimler Elektronik Dergisi, Sayı:13, Cilt:6, S: 201-2019, DOI: 10.17823/gusb.193
- Bai, J. and Kao, C. (2006). On the Estimation and Inference of a Panel Cointegration Model with Cross Sectional Dependence. in Badi Baltagi (Ed.), Panel Data Econometrics: Theoretical Contributions and Empirical Applications, Amsterdam: Elsevier Science, pp. 3- 30.
- Baltagi, B. H, Feng, Q. and C. Kao (2012). A Lagrange Multiplier test for Cross-sectional Dependence in a Fixed Effects Panel Data Model. Journal of the Econometrics, 170, 164–177.
- Bayraktaroğlu, H. ve Çelik, İ. (2015), Kurumsal Yönetim Uygulamalarının Getiri Oynaklığı Üzerine Etkisi: Borsa İstanbul’da Bir Araştırma, Akdeniz Üniversitesi İİBF Dergisi, Cilt XVII Sayı:1,S: 97-108Breusch, T.S and Pagan, A.R. (1980). The Lagrange Multiplier Test and Its Applications to Model Specification Tests in Econometrics. Review of Economic Studies, 47, 239-53.
- Brown,R.(2009), Treasury Working Paper, http://archive.treasury.gov.au/documents/ l495/PDF/ TWP 2009-02.pdf
- Demirbaş, M., Uyar, S. (2006). Kurumsal Yönetim İlkeleri ve Denetim Komitesi. İstanbul : Güncel Yayıncılık.Dumitrescu, E.I. and Hurlin, C. (2012). Testing for Granger Non-Causality inHeterogeneous Panels. Economic Modelling, 29(4), 1450-1460.Eberhardt, M. and Bond, S. (2009). Cross-section Dependence in Nonstationary Panel Models: ANovel Estimator. MPRA Paper, No. 17870.
- Ertuna, B., ve Tükel, A. (2008), Şirketlerin Kamuyu Aydınlatma Düzeyleri: Ortaklık Yapısı Ve Kurumsal Yönetimin Etkileri, İ.M.K.B. Dergisi, Sayı:40.Pesaran, M.H. (2004). General Diagnostic Tests for Cross Section Dependence in Panels, Cambridge Working Papers in Economics, 435.
- Sakarya, Ş. (2011), İMKB Kurumsal Yönetim Endeksi Kapsamındaki Şirketlerin Kurumsal Yönetim Derecelendirme Notu ve Hisse Senedi Getirileri Arasındaki İlişkinin Olay Çalışması (Event Study) Yöntemi İle Analizi, Zonguldak Karaelmas Üniversitesi Sosyal Bilimler Dergisi, Cilt:7, Sayı:13, S: 147–162
- TKYD ve Delolitte . (2006). Nedir Bu Kurumsal Yönetim? İstanbul: TKYD ve Deloitte Ortak Yayını.
- Westerlund, J. (2007). Estimating Cointegrated Panels with Common Factors and the Forward Rate Unbiasedness Hypothesis. Journal of Financial
There are 11 citations in total.
Details
| Primary Language | English |
|---|---|
| Subjects | Engineering |
| Journal Section | Articles |
| Authors | |
| Publication Date | August 31, 2019 |
| Published in Issue | Year 2019 Issue: 16 |
