Determination of Internal Factors Affecting the Price of Dual Listed Stocks by Dynamic Panel Data Analysis

Abstract

Globalization and development of technology; it enabled the stocks of multinational companies to be traded on the foreign stock exchanges. It is believed that this situation has led to significant increases in the value and volume of cross-border transactions and capital flows in financial markets. This study aimed to determine the internal factors affecting the price of the shares of companies whose stocks are traded both on Stock Exchange Istanbul and overseas between 2013-2018 by dynamic panel data analysis. As a result of the analysis, a positive relationship is determined among the foreign price of the stock and the domestic price of the stock, the liquidity ratio, leverage ratio and asset profitability. A negative relationship between the foreign price of the stock and the beta value and the turnover rate is determined. No statistically significant relationship could be determined between the foreign price of the stock and the market value / book value, dividend yield and stock return. In addition, it was determined that the international prices of stocks were positively affected by the foreign prices of stocks in the previous period.

Keywords

• ADR
• Dual Listed Stocks
• Dynamic Panel Data Analysis

Çifte Kayıtlı Hisse Senetlerinin Fiyatlarını Etkileyen İçsel Faktörlerin Dinamik Panel Veri Analizi İle Belirlenmesi

Abstract

Küreselleşme ve teknolojinin gelişmesi; çokuluslu şirketlerin hisse senetlerini yabancı borsalarda işlem görmesine olanak tanımıştır. Bu durumun finansal piyasalarda sınır ötesi işlemler ile sermaye akışlarının değerinde ve hacminde önemli artışlara yol açtığı düşünülmektedir. Bu çalışma 2013-2018 yılları arasında hem Borsa İstanbul’da hem de yurtdışında hisse senetleri işlem gören şirketlerin yurt dışı hisse senedi fiyatlarını etkileyen içsel faktörleri Dinamik Panel Veri Analizi ile belirlemeyi amaçlamıştır. Analiz sonucunda hisse senedinin yurt dışı fiyatı ile hisse senedinin yurt içi fiyatı, likidite oranı, kaldıraç oranı ve aktif kârlılık oranı arasında pozitif yönlü bir ilişki tespit edilmiştir. Hisse senedinin yurt dışı fiyatı ile beta değeri ve aktif devir hızı arasında negatif yönlü bir ilişki olduğu saptanmıştır. Hisse senedinin yurt dışı fiyatı ile piyasa değeri/defter değeri, temettü verimi ve hisse senedi getirisi arasında istatistiki olarak anlamlı bir ilişki belirlenememiştir. Ayrıca hisse senetlerinin yurt dışı fiyatlarının, bir önceki dönem hisse senedi yurt dışı fiyatlarından olumlu etkilendiği tespit edilmiştir.

Keywords

• ADR
• Çifte Kayıtlı Hisse Senetleri
• Dinamik Panel Veri Analizi

References

1. Ajupov, A. A. and Polteva, T. V. (2014). Handling depositary receipts for global financial markets. Life Science Journal, 11(6), 464-468. Retrieved from http://www.lifesciencesite.com
2. Akarım, Y. D. (2013). Uluslararası çapraz kotasyonun risk ve getiri üzerine etkisi: Türkiye örneği. Journal of Accounting & Finance, 57, 137-148. Erişim adresi: http://journal.mufad.org.tr
3. Aksoy, A. ve Dayı, F. (2019). Çifte kayıtlı hisse senedi fiyatının belirleyicileri. Hitit Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 12(2), 271-289. https://doi.org/10.17218/hititsosbil.598953
4. Alaganar, V. T. and Bhar, R. (2001). Diversification gains from American depositary receipts and foreign equities: Evidence from Australian stocks. Journal of International Financial Markets, Institutions and Money, 11(1), 97-113. https://doi.org/10.1016/S1042-4431(00)00038-X
5. Aquinoa, K. P. and Poshakwaleb, S. (2006). Price determinants of American depositary receipts (ADR): A cross-sectional analysis of panel data. Applied Financial Economics, 16, 1225-1237. https://doi.org/10.1080/09603100500447503
6. Arellano, M. and Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. The Review of Economic Studies, 58(2), 277-297. https://doi.org/10.2307/2297968
7. Bae, S. C., Kwon, T. H. and Li, M. (2008). Foreign exchange rate exposure and risk premium in international investments: Evidence from American depositary receipts. Journal of Multinational Financial Management, 18(8), 165-179. https://doi.org/10.1016/j.mulfin.2007.07.001
8. Bedi, J., Richards, A. and Tennant, P. (2003). The characteristics and trading behavior of dual listed companies (Reserve Bank of Australia Research Discussion Paper No. 2003-06). Retrieved from https://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.201.3019&rep=rep1&type=pdf

9. Berkowitz, M. K. (1998). Estimating the market risk for nontraded securities: An application to Canadian Public Utilities. International Rewiev of Financial Analysis, 7(2), 171-179. https://doi.org/10.1016/S1057-5219(99)80033-7
10. Bowman, R. G. (1979). The theoretical relationship between systematic risk and financial (accounting) variables. The Journal of Finance, 34(3), 617-630. https://doi.org/10.2307/2327430
11. Breusch, 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. Retrieved from https://www.jstor.org
12. Brockman, P and Hao, Q. (2011). Short selling and price discovery: Evidence from American. The Journal of Financial Research, 34(4), 569-588. https://doi.org/10.1111/j.1475-6803.2011.01302.x
13. Chang, C. R. and Chiou, K.S. (2004). On the relation of systematic risk and accounting variables. Conference Managerial Finance, 33(8), 517-533. https://doi.org/10.1108/03074350710760278
14. Chen, H. C., Fauver, L. and Yang, P.C. (2009). What do investment banks charge to underwrite American depositary receipts?. Journal of Banking and Finance, 33(4), 609-618. https://doi.org/10.1016/j.jbankfin.2008.12.004
15. Chena, H., Choi, P. M. S. and Kim, H. (2008). American depositary receipts: Asia–Pacific evidence on convergence and dynamics. Journal of Multinational Financial Management, 18(4), 346-368. https://doi.org/10.1016/j.mulfin.2007.12.004
16. Choi, Y. K. and Kim, D. (2000). Determinants of American depositary receipts and their underlying stock returns: implications for international diversification. International Review of Financial Analysis, 9(4), 351-368. https://doi.org/10.1016/S1057-5219(00)00041-7
17. Christodoulos, A. and Louca, C. (2009). Cross-listing and operating performance: Evidence from exchange-listed American depositary receipts. Journal of Business Finance and Accounting, 36(1), 99-129. https://doi.org/10.1111/j.1468-5957.2009.02123.x
18. Chung, K. E. and Zhang, B.H. (2010). Insider trading regulation and market quality: Evidence from American depositary receipts. Asia-Pacific Journal of Financial Studies, 39, 340-360. https://doi.org/10.1111/j.2041-6156.2010.01013.x
19. Didia, D. O. (2015). Emerging markets American depositary receipts and international diversification. Journal of International Business and Economics, 3(2), 43-50. Retrieved from http://jibe-net.com
20. Eichler, S. (2012). Limited investor attention and the mispricing of American depositary receipts. Economics Letters, 115(3), 490-492. https://doi.org/10.1016/j.econlet.2011.12.111
21. Ejara, D. D. and Ghosh. C. (2004). Underpricing and aftermarket performance of American depositary receipts (ADR) IPOs. Journal of Banking and Finance, 28(12), 3151-3186. https://doi.org/10.1016/j.jbankfin.2004.05.006
22. Ely, D. and Salehizadeh, M. (2001). American depositary receipts: An analysis of international stock price movements. International Review of Financial Analysis, 10(4), 343-363. https://doi.org/10.1016/S1057-5219(01)00058-8
23. Er, Ş. (2009). Dinamik panel veri analizi ve bir uygulama (Yayımlanmamış doktora tezi). İstanbul Üniversitesi Sosyal Bilimler Enstitüsü İşletme Anabilim Dalı, İstanbul.
24. Ersoy, E. (2011). Development of organized derivatives markets in Turkey and in the world. Journal of Accounting and Finance, 5, 63-80. Retrieved from http://journal.mufad.org.tr
25. Fang, H. and Loo, J. C. (2002). Pricing of American depositary receipts under market segmentation. Global Finance Journal, 13(2), 237-252. https://doi.org/10.1016/S1044-0283(02)00044-3
26. Hansda, S. K. and Ray, P. (2003). Stock market integration and dually listed stocks: Indian ADR and domestic stock prices. Economic and Political Weekly, 38(8), 741-754. Retrieved from https://www.epw.in
27. Harris, R. D. and Tzavalis, E. (1999). Inference for unit roots in dynamic panels where the time dimension is fixed. Journal of Econometrics, 91(2), 201-226. https://doi.org/10.1016/S0304- 4076(98)00076-1
28. Jun, A., Alaganar, V.T., Partington, G. and Stevenson, M. (2008). Price and volume behavior around the exdividend day: Evidence on the value of dividends from American depository receipts and their underlying Australian stock. International Review of Finance, 8(1/2), 21-55. https://doi.org/10.1111/j.1468-2443.2008.00073.x
29. Karolyi, G. A. (2004). The role of American depositary receipts in the development of emerging equity markets. Review of Economics and Statistics, 86(3), 670-690. https://doi.org/10.1162/0034653041811699
30. Kaul, A. and Mehrotra, V. (2006). The role of trades in price convergence: A study of dual -listed Canadian stocks. Journal of Empirical Finance, 14, 196-219. https://doi.org/10.1016/j.jempfin.2006.03.005
31. Kayali, M. M. and Çelik, S. (2009). Impact of international cross listings on risk and return: Evidence from Turkey. The Empirical Economics Letters, 8(7), 657-664. Retrieved from http://journal.mufad.org.tr
32. Kim, O. and Pinnuck, M. (2014). Competition among exchanges through simplified disclosure requirements: evidence from the American and Global depositary receipts. Accounting and Business Research, 44(1), 1-40. https://doi.org/10.1080/00014788.2013.849193
33. Kumar, M. (2006). Depositary receipts: concept, evolution and recent trends. http://dx.doi.org/10.2139/ssrn.951425
34. Levin, A., Lin, C. F. and Chu, J. CS. (2002). Unit root tests in panel data: Asymptotic and finite-sample properties. Journal of Econometrics, 108, 1-24. https://doi.org/10.1016/S0304-4076(01)00098-7
35. Magnusson, E. and Gustafsson, J. (2011). Depositary receipts and their underlying shares: A study on volatility (Working Paper No. 3914). Retrieved from http://lup.lub.lu.se/studentpapers/record/2158136
36. Moel, A. (2001). The role of American depositary receipts in the development of emerging markets. In L. L. Jacque and P. M. Vaaler (Eds.), Financial Innovations and the Welfare of Nations (pp. 127- 153). Boston: Springer. https://doi.org/10.1007/978-1-4615-1623-1_7
37. Oudni, A., Lesot, M.J., Rifqi, M. and Ballini, R. (2015). Analysis of the emission of American depositary receipts of Brazilian companies through the extraction of linguistic summaries. Paper presented at the 2015 IEEE International Conference on Fuzzy Systems (FUZZ-IEEE). Istanbul, Turkey. Retrieved from https://ieeexplore.ieee.org/document/7338104
38. Patro, D. M. (2000). Return behavior and pricing of American depositary receipts. Journal of International Financial Markets, Institutions and Money, 10(1), 43-67. https://doi.org/10.1016/S1042-4431(99)00024-4
39. Pesaran, M. H. (2004). General diagnostic tests for cross section dependence in panels (Cambridge Working Papers in Economics Working Paper No. 1270). Retrieved from http://ftp.iza.org/dp1240.pdf
40. Pesaran, M. H. (2007). A simple panel unit root test in the presence of cross‐ section dependence. Journal of Applied Econometrics, 22(2). 265-312. https://doi.org/10.1002/jae.951 Pesaran, M. H., Ullah, A. and Yamagata, T. (2008). A bias-adjusted LM Test of error cross-section independence. Econometrics Journal, 11, 105-127. https://doi.org/10.1111/j.1368- 423X.2007.00227.x
41. Pinegar, J. M. and Ravichandran, R. (2010). Raising capital in emerging markets with restricted global depositary receipts. Journal of Corporate Finance, 5(16), 622-636. https://doi.org/10.1016/j.jcorpfin.2010.06.007
42. Rakesh, G. and Thadavillil, J. (2008). Time-varying correlations and optimal allocation in emerging market equities for Australian investors: A study using east European depositary receipts. International Research Journal of Finance and Economics, 8, 127-141. Retrieved from https://ssrn.com/abstract=1395066
43. Roevekamp, I. (2019). US monetary policy and the pricing of American depositary receipts. Finance Research Letters, 39, 418-424. https://doi.org/10.1016/j.frl.2019.01.006
44. Sharma, S. (2017). Oil price shocks and American depositary receipt stock returns. Research in International Business and Finance, 42, 1040-1056. https://doi.org/10.1016/j.ribaf.2017.07.040
45. Silva, D. N. (2004). The market response to American depositary receipts (Working Paper No. 1337555). Retrieved from http://lup.lub.lu.se/student-papers/record/1337555
46. Tsai, B. H. (2014, Nowember). Examination of ex-dividend day trading using big data of American depositary receipts. Paper presented at the 2014 Second International Conference on Advanced Cloud and Big Data. Huangshan, China. Retrieved from https://ieeexplore.ieee.org/document/7176069
47. Uğur, A. (2009). Hisse senedi getirilerinin panel veri analizi ile tahmini: İstanbul Menkul Kıymetler Borsasında bir inceleme (Yayımlanmamış doktora tezi). İnönü Üniversitesi Sosyal Bilimler Enstitüsü İşletme Anabilim Dalı, Malatya.
48. Yerdelen Tatoğlu, F. (2012). İleri panel veri analizi (1. Baskı). Beta Basım Yayım Dağıtım: İstanbul.
49. Young, W. and Li, C. A. (2011). Price transmission between stocks of European countries and their American depositary receipts. Applied Financial Economics, 21(11), 825-835. https://doi.org/10.1080/09603107.2010.537633