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Başlıca Borsa İstanbul Endekslerinin Etkinliği: Kurumsal Yönetişim ve Hisse Senedi Fiyatları Arasındaki Etkileşime İlişkin Piyasa Modeli Yaklaşımına Dayalı Ampirik Bir Araştırma

Year 2019, Volume: 1 Issue: 3, 237 - 245, 31.08.2019
https://doi.org/10.38009/ekimad.579900

Abstract

Bu çalışmada, kurumsal yönetişim kalitesi ve hisse senedi getirileri
arasındaki bağlantı sorgulanmakta olup, Türkiye’deki önde gelen hisse senedi
piyasa endeksleri ile kurumsal yönetişim arasındaki muhtemel bir ilişkiyi
ortaya çıkarmaya yönelik olarak endeks getirileri ile kurumsal yönetişim
endeksi getirilerini basit piyasa modeli kullanılarak ilişkilendirmeye çalışan
nispeten farklı bir yaklaşım ortaya konulmuştur. Bununla birlikte, piyasa
portföylerinin nispi etkinlik düzeylerinin, kurumsal yönetişim endeksine
verdikleri tepkiler doğrultusunda karşılaştırılması amaçlanmıştır. Bu
doğrultuda, Kurumsal Yönetişim Endeksi’nin yanı sıra Borsa İstanbul’daki üç
piyasa endeksi - BİST 30, BİST 100 ve BİST TÜM - incelenmiş olup,  En Küçük Kareler (EKK) ve Çok Değişkenli
Uyumlu Regresyon Uzanımları (MARS) teknikleri kullanılarak söz konusu piyasa
endeksi getirileri ile Kurumsal Yönetişim Endeksi getirileri arasındaki
ilişkiler modellenmiştir. Elde edilen bulgular, piyasa endeks getirileri ile
Kurumsal Yönetişim Endeksi getirileri arasında pozitif ve anlamlı bir ilişki
olduğunu göstermiş ve BİST 100 portföyünün  
 BİST 30 ve BİST TÜM endeks
portföylerine kıyasla daha etkin bir portföy olarak değerlendirilebileceğine
dair bazı kanıtlar ortaya koymuştur.    

References

  • Allen, F., & Gale, D. (2002). A comparative theory of corporate governance. Wharton Financial Institutions Center.
  • Aman, H., & Nguyen, P. (2008). Do stock prices reflect the corporate governance quality of Japanese firms? Journal of the Japanese and International Economies, 22(4), 647-662.
  • Copeland, T. E., & Weston, J. F. (2005). Financial Theory and Corporate Policy: Addison-Wesley.
  • Core, J. E., Guay, W. R., & Rusticus, T. O. (2006). Does weak governance cause weak stock returns? An examination of firm operating performance and investors' expectations. The Journal of Finance, 61(2), 655-687.
  • Craven, P., & Wahba, G. (1978). Smoothing noisy data with spline functions. Numerische Mathematik, 31(4), 377-403.
  • Fama, E. F. (1970). Multiperiod consumption-investment decisions. The American Economic Review, 163-174.
  • Gompers, P., Ishii, J., & Metrick, A. (2003). Corporate governance and equity prices. The Quarterly Journal of Economics, 118(1), 107-156.
  • Gu, L., & Hackbarth, D. (2013). Governance and equity prices: Does transparency matter? Review of Finance, 17(6), 1989-2033.
  • Jensen, M. C., & Meckling, W. H. (1976). Theory of the firm: Managerial behavior, agency costs and ownership structure. Journal of Financial Economics, 3(4), 305-360.
  • Johnson, S. A., Moorman, T. C., & Sorescu, S. (2009). A reexamination of corporate governance and equity prices. The Review of Financial Studies, 22(11), 4753-4786.
  • Lambert, R. A. (2001). Contracting theory and accounting. Journal of Accounting and Economics, 32(1), 3-87.
  • Oktar, S., & Yüksel, S. (2016). Bankalarin Türev Ürün Kullanimini Etkileyen Faktörler: Mars Yöntemi ile Bir Inceleme/Determinants of the Use Derivatives in Banking: An Analysis with MARS Model. Finans Politik & Ekonomik Yorumlar, 53(620), 31.
  • Saldanli, A. (2012). Analyse of corporate governance index performance. The International Journal of Economic and Social Research, 8(8), 137-154.
  • Solomon, J., & Solomon, A. (2004). Corporate Governance and Accountability: John Wiley & Sons.
  • Uzunkaya, S. Ş., Dinçer, H., & Yüksel, S. A Historical Analysis of The Economic Development of The USA (1947-2017). MANAS Sosyal Araştırmalar Dergisi, 8(1), 209-222.
  • Yu, J. (2011). Stock price informativeness and corporate governance: An international study. International Review of Finance, 11(4), 477-514.
  • Yüksel, S., & Zengin, S. (2016). leading indicators of 2008 global crisis: an analysis with logit and mars methods. Finansal Araştırmalar ve Çalışmalar Dergisi, 8(15), 495-518.
  • Yüksel, S., & Özsarı, M. (2017). Türkiye’nin Kredi Notunu Etkileyen Faktörlerin MARS Yöntemi İle Belirlenmesi. Politik Ekonomik Kuram, 1(2), 16-31.
  • Yüksel, S., & Zengin, S. (2017). Influencing factors of net interest margin in Turkish banking sector. International Journal of Economics and Financial Issues, 7(1).

Efficiency of the Major Borsa Istanbul Indexes: An Empirical Investigation about the Interaction between Corporate Governance and Equity Prices Through a Market Model Approach

Year 2019, Volume: 1 Issue: 3, 237 - 245, 31.08.2019
https://doi.org/10.38009/ekimad.579900

Abstract

This paper is intended to argue the connection between corporate
governance quality and stock returns and aimed to present a slightly different
approach to capturing relationship between the fundamental stock market indexes
and corporate governance in Turkey by relating the major index returns to the
corporate governance index returns through a simple market model. Moreover, it
is also aimed to compare relative efficiencies of the market portfolios
included to one another according to their reactional behaviors against the
corporate governance index. For this purpose, three market indexes in Borsa
Istanbul, namely BIST 30, BIST 100 and BIST ALL as well as the Corporate
Governance Index (CGI) have been considered and analyzed. The returns on each
of these three market indexes are regressed on the returns of the corporate
governance index through the Ordinary Least Squares (OLS) and Multivariate
Adaptive Regression Splines (MARS) techniques. Our findings suggest that the
market index returns are positively correlated with the corporate governance
index returns and provide some evidence supporting the conclusion that the BIST
100 index can be considered to be relatively efficient as compared to BIST 30
and BIST ALL.  

References

  • Allen, F., & Gale, D. (2002). A comparative theory of corporate governance. Wharton Financial Institutions Center.
  • Aman, H., & Nguyen, P. (2008). Do stock prices reflect the corporate governance quality of Japanese firms? Journal of the Japanese and International Economies, 22(4), 647-662.
  • Copeland, T. E., & Weston, J. F. (2005). Financial Theory and Corporate Policy: Addison-Wesley.
  • Core, J. E., Guay, W. R., & Rusticus, T. O. (2006). Does weak governance cause weak stock returns? An examination of firm operating performance and investors' expectations. The Journal of Finance, 61(2), 655-687.
  • Craven, P., & Wahba, G. (1978). Smoothing noisy data with spline functions. Numerische Mathematik, 31(4), 377-403.
  • Fama, E. F. (1970). Multiperiod consumption-investment decisions. The American Economic Review, 163-174.
  • Gompers, P., Ishii, J., & Metrick, A. (2003). Corporate governance and equity prices. The Quarterly Journal of Economics, 118(1), 107-156.
  • Gu, L., & Hackbarth, D. (2013). Governance and equity prices: Does transparency matter? Review of Finance, 17(6), 1989-2033.
  • Jensen, M. C., & Meckling, W. H. (1976). Theory of the firm: Managerial behavior, agency costs and ownership structure. Journal of Financial Economics, 3(4), 305-360.
  • Johnson, S. A., Moorman, T. C., & Sorescu, S. (2009). A reexamination of corporate governance and equity prices. The Review of Financial Studies, 22(11), 4753-4786.
  • Lambert, R. A. (2001). Contracting theory and accounting. Journal of Accounting and Economics, 32(1), 3-87.
  • Oktar, S., & Yüksel, S. (2016). Bankalarin Türev Ürün Kullanimini Etkileyen Faktörler: Mars Yöntemi ile Bir Inceleme/Determinants of the Use Derivatives in Banking: An Analysis with MARS Model. Finans Politik & Ekonomik Yorumlar, 53(620), 31.
  • Saldanli, A. (2012). Analyse of corporate governance index performance. The International Journal of Economic and Social Research, 8(8), 137-154.
  • Solomon, J., & Solomon, A. (2004). Corporate Governance and Accountability: John Wiley & Sons.
  • Uzunkaya, S. Ş., Dinçer, H., & Yüksel, S. A Historical Analysis of The Economic Development of The USA (1947-2017). MANAS Sosyal Araştırmalar Dergisi, 8(1), 209-222.
  • Yu, J. (2011). Stock price informativeness and corporate governance: An international study. International Review of Finance, 11(4), 477-514.
  • Yüksel, S., & Zengin, S. (2016). leading indicators of 2008 global crisis: an analysis with logit and mars methods. Finansal Araştırmalar ve Çalışmalar Dergisi, 8(15), 495-518.
  • Yüksel, S., & Özsarı, M. (2017). Türkiye’nin Kredi Notunu Etkileyen Faktörlerin MARS Yöntemi İle Belirlenmesi. Politik Ekonomik Kuram, 1(2), 16-31.
  • Yüksel, S., & Zengin, S. (2017). Influencing factors of net interest margin in Turkish banking sector. International Journal of Economics and Financial Issues, 7(1).
There are 19 citations in total.

Details

Primary Language English
Subjects Business Administration
Journal Section Articles
Authors

Fatih Yiğit 0000-0002-1988-7962

Erol Muzır 0000-0001-9968-581X

Publication Date August 31, 2019
Submission Date June 19, 2019
Published in Issue Year 2019 Volume: 1 Issue: 3

Cite

APA Yiğit, F., & Muzır, E. (2019). Efficiency of the Major Borsa Istanbul Indexes: An Empirical Investigation about the Interaction between Corporate Governance and Equity Prices Through a Market Model Approach. Ekonomi İşletme Ve Maliye Araştırmaları Dergisi, 1(3), 237-245. https://doi.org/10.38009/ekimad.579900