Year 2019, Volume 27, Issue 41, Pages 113 - 128 2019-07-31

The Influence of Institutional Quality and Financial Risk on Stock Market Index: An Empirical Study for Turkey
Kurumsal Kalite ve Finansal Riskin Menkul Kıymetler Borsası Üzerine Etkisi: Türkiye İçin Ampirik Bir İnceleme

Yüksel İLTAŞ [1] , Gülbahar ÜÇLER [2]

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This paper aims to analyze the -possible- effects of institutional quality and (financial) risk level on BIST 100, BIST Industrial and BIST Financial Indexes via Carrioni-Silvestre (2009) multiple structural breaks unit root test, Maki (2012) multiple structural breaks co-integration test and Dynamic Ordinary Least Squares (DOLS) methodology. In the research model of the study, institutional structure is proxied by an institutional quality index derived from data related to bureaucratic quality, corruption, democratic accountability, ethnic tension, external conflict, government stability, internal conflict, political risk, law and order, and investment profile obtained from International County Risk Guide (ICRG). High values in institutional quality index represent weak institutional structure while low values represent high institutional structure. The high financial risk ratio represents a strong financial structure. The empirical findings of Maki (2012) test indicate that all indexes except BIST Financial Index and explanatory variables show co-integration relationship in the long term. Long run parameters estimated by DOLS methodology indicate that there exists a long-term negative relationship between institutional quality index and BIST 100 and BIST Industrial Indexes, while a positive relationship between financial risk level and BIST 100 and BIST Industrial Indexes.
Bu çalışmada, 1991:01-2014:12 dönemi için; Türkiye’de kurumsal kalite ve finansal risk düzeyinin BİST 100 Endeksi, BİST Sınai Endeksi ve BİST Mali Endeksi üzerindeki etkisi Carrioni-Silvestre vd. (2009) çoklu yapısal kırılmalı birim kök testi, Maki (2012) çoklu yapısal kırılmalı eş-bütünleşme testi ve dinamik en küçük kareler (DOLS) yöntemi ile araştırılmıştır. Çalışmada kurumsal yapıyı temsilen Uluslararası Ülke Risk Rehberi (ICRG) tarafından yayınlanan bürokratik kalite, yolsuzluk, demokratik hesap verilebilirlik, etnik gerginlik, dış çatışma, hükümet istikrarı, iç çatışma, politik risk, kanun ve düzen ile yatırım profili ölçütleri kullanılarak temel bileşenler analizi yöntemi ile kurumsal kalite endeksi oluşturulmuştur. Kurumsal kalite endeksinde yüksek değerler düşük kurumsal yapıyı, düşük değerler ise yüksek kurumsal yapıyı temsil etmektedir. Yüksek finansal risk rasyosu ise güçlü finansal yapıyı simgelemektedir. Analiz sonucunda, BİST Mali Endeksi hariç BİST 100 ve BİST Sınai Endeksleri ile açıklayıcı değişkenlerin uzun dönemde birlikte hareket ettiğini bulgusuna ulaşılmıştır. DOLS modellerinin uzun dönem katsayı tahmin sonuçları ise kurumsal kalite endeksi ile BIST 100 ve BIST Sınai Endeksleri arasında uzun dönemde negatif ve %99 önem düzeyinde istatistiksel olarak anlamlı ilişkilerin varlığını ortaya koymaktadır. Çalışmanın bir diğer önemli bulgusu ise finansal risk düzeyinin BİST 100 Endeksi ve BİST Sınai Endeksi üzerindeki pozitif yönlü etkisidir.
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Primary Language tr
Subjects Social
Journal Section Articles
Authors

Orcid: 0000-0001-8853-838X
Author: Yüksel İLTAŞ
Institution: KIRŞEHİR AHİ EVRAN ÜNİVERSİTESİ
Country: Turkey


Orcid: 0000-0002-5872-8577
Author: Gülbahar ÜÇLER (Primary Author)
Institution: KIRŞEHİR AHİ EVRAN ÜNİVERSİTESİ
Country: Turkey


Dates

Publication Date: July 31, 2019

Bibtex @research article { sosyoekonomi502643, journal = {Sosyoekonomi}, issn = {1305-5577}, address = {Sosyoekonomi Society}, year = {2019}, volume = {27}, pages = {113 - 128}, doi = {10.17233/sosyoekonomi.2019.03.06}, title = {Kurumsal Kalite ve Finansal Riskin Menkul Kıymetler Borsası Üzerine Etkisi: Türkiye İçin Ampirik Bir İnceleme}, key = {cite}, author = {İLTAŞ, Yüksel and ÜÇLER, Gülbahar} }
APA İLTAŞ, Y , ÜÇLER, G . (2019). Kurumsal Kalite ve Finansal Riskin Menkul Kıymetler Borsası Üzerine Etkisi: Türkiye İçin Ampirik Bir İnceleme. Sosyoekonomi, 27 (41), 113-128. DOI: 10.17233/sosyoekonomi.2019.03.06
MLA İLTAŞ, Y , ÜÇLER, G . "Kurumsal Kalite ve Finansal Riskin Menkul Kıymetler Borsası Üzerine Etkisi: Türkiye İçin Ampirik Bir İnceleme". Sosyoekonomi 27 (2019): 113-128 <http://dergipark.org.tr/sosyoekonomi/issue/47493/502643>
Chicago İLTAŞ, Y , ÜÇLER, G . "Kurumsal Kalite ve Finansal Riskin Menkul Kıymetler Borsası Üzerine Etkisi: Türkiye İçin Ampirik Bir İnceleme". Sosyoekonomi 27 (2019): 113-128
RIS TY - JOUR T1 - Kurumsal Kalite ve Finansal Riskin Menkul Kıymetler Borsası Üzerine Etkisi: Türkiye İçin Ampirik Bir İnceleme AU - Yüksel İLTAŞ , Gülbahar ÜÇLER Y1 - 2019 PY - 2019 N1 - doi: 10.17233/sosyoekonomi.2019.03.06 DO - 10.17233/sosyoekonomi.2019.03.06 T2 - Sosyoekonomi JF - Journal JO - JOR SP - 113 EP - 128 VL - 27 IS - 41 SN - 1305-5577- M3 - doi: 10.17233/sosyoekonomi.2019.03.06 UR - https://doi.org/10.17233/sosyoekonomi.2019.03.06 Y2 - 2019 ER -
EndNote %0 Sosyoekonomi Kurumsal Kalite ve Finansal Riskin Menkul Kıymetler Borsası Üzerine Etkisi: Türkiye İçin Ampirik Bir İnceleme %A Yüksel İLTAŞ , Gülbahar ÜÇLER %T Kurumsal Kalite ve Finansal Riskin Menkul Kıymetler Borsası Üzerine Etkisi: Türkiye İçin Ampirik Bir İnceleme %D 2019 %J Sosyoekonomi %P 1305-5577- %V 27 %N 41 %R doi: 10.17233/sosyoekonomi.2019.03.06 %U 10.17233/sosyoekonomi.2019.03.06
ISNAD İLTAŞ, Yüksel , ÜÇLER, Gülbahar . "Kurumsal Kalite ve Finansal Riskin Menkul Kıymetler Borsası Üzerine Etkisi: Türkiye İçin Ampirik Bir İnceleme". Sosyoekonomi 27 / 41 (July 2019): 113-128. https://doi.org/10.17233/sosyoekonomi.2019.03.06
AMA İLTAŞ Y , ÜÇLER G . Kurumsal Kalite ve Finansal Riskin Menkul Kıymetler Borsası Üzerine Etkisi: Türkiye İçin Ampirik Bir İnceleme. Sosyoekonomi. 2019; 27(41): 113-128.
Vancouver İLTAŞ Y , ÜÇLER G . Kurumsal Kalite ve Finansal Riskin Menkul Kıymetler Borsası Üzerine Etkisi: Türkiye İçin Ampirik Bir İnceleme. Sosyoekonomi. 2019; 27(41): 128-113.