GELİŞEN PİYASALARDA HİSSE SENEDİ GETİRİSİNİ ETKİLEYEN MAKROEKONOMİK DEĞİŞKENLER ÜZERİNE BİR İNCELEME: PANEL VERİ ANALİZİ

Yıl 2012, Cilt: 26 Sayı: 3-4, 45 - 65, 20.03.2012

Hüseyin Dağlı Hasan Ayaydın

Öz

Çalışmanın amacı; panel veri analizi yöntemini kullanarak gelişen
piyasalarda hisse senetlerinin getirisi üzerinde etkili olan makroekonomik
değişkenleri belirleyip, hisse senedi getirisi ile bu değişkenler arasındaki ilişkiyi
bir model çerçevesinde test etmektir. Ayrıca çalışmada bu değişkenlerden
hangisinin hisse senedi getirisi üzerinde daha etkili olduğunun ortaya konulması
amaçlanmıştır. Bu ilişkinin yönünün ve miktarının tespit edilmesi açısından
literatüre katkı sağlanması hedeflenmiştir. Ampirik bulgulara göre çalışma
kapsamında yer alan bütün gelişen piyasalar örneklemlerinde hisse senedi
getirisinin; S&P 500 endeksinden pozitif etkilendiği; döviz kurundan, 1997-
1998 Doğu Asya Krizinden ve 2008 Küresel Finansal Krizinden negatif
etkilendiği saptanmıştır. Ayrıca, çalışma kapsamında yer alan bütün gelişen
piyasalar örneklemlerinde hisse senedi getirisinin mevduat faiz oranından
etkilenmediği bulgusuna ulaşılmıştır.

Anahtar Kelimeler

gelişen piyasalar, gelişen hisse senedi piyasaları, makroekonomik değişkenler, panel veri analizi

Kaynakça

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