Ülke Riskinin Hisse Senedi Fiyatlarına Etkisi: İMKB 100 Endeksi Üzerine Bir Araştırma

Öz

Anahtar Kelimeler

• -

ÜLKE RİSKİNİN HİSSE SENEDİ FİYATLARINA ETKİSİ: İMKB 100 ENDEKSİ ÜZERİNE BİR ARAŞTIRMA

Öz

Bu çalışmanın amacı ekonomik, politik ve finansal ülke risklerinin hisse senedi fiyatlarına etkisini tespit etmektir. Ülke risk primleri, son dönemlerde çalışmalarda oldukça sık kullanılan ve güvenilirliği kabul edilmiş ICRG (International Country Risk Guide)'den temin edilmiştir. 1986:1-2006:12 dönemini kapsayan bu çalışmada, İMKB 100 endeksi, ekonomik, finansal ve politik risk primi değişkenleri kullanılmıştır. Johansen- Juselius eş-bütünleşme testleri, ekonomik, finansal ve politik risk primleri ile İMKB 100 bileşik endeksi arasında uzun dönemli bir ilişki olduğunu, Granger nedensellik testleri ise ekonomik risk ve politik riskten İMKB 100 endeksine doğru bir nedenselliğin olduğunu göstermektedir. Çalışmada finansal risk ve İMKB 100 bileşik endeksi arasında herhangi bir nedensellik gözlenmemiştir. Yapılan regresyon tahminleri, ekonomik, finansal ve politik risklerin hisse senedi fiyatlarını olumsuz yönde etkilediğine işaret etmektedir.

Anahtar Kelimeler

• Ekonomik risk, finansal risk, politik risk, hisse senedi fiyatları, Granger nedensellik testleri

Kaynakça

1. ANATOLYEV, S. (2005), "A Ten-Year Retrospection of the Behavior of Russian Stock Returns," BOFIT Discussion Paper, 9: 1-43.
2. ANGELONI, I. /SHORT, B.K. (1980), The Impact of Country Risk Assessment on Eurocurrency Interest Spreads: A Cross Section Analysis (Washington D.C.: IMF).
3. BAILEY, W./CHANG, Y.P. (1995), "Exchange Rate Fluctuations, Political Risk, and Stock Returns: Some Evidence From An Emerging Market," Journal of Financial and Quantitative Analysis, 30: 541-561.
4. BALKAN, E.M. (1992), "Political Instability, Country Risk and Probability of Default," Applied Economies, 24: 999.1008.
5. BANSAL R./DAHLQUIST, M. (2001), "Sovereign Risk and Return in Global Equity Markets," CEPR Discussion Paper No: 3034, http://www.cepr.org/pubs/dps/DP3034.asp, 1'20, (14.12.2006).
6. BEIM, D./CALOMIRIS, C. (2001), Emerging Financial Markets (New York: McGraw Hill).
7. BEKAERT, G. (1995), "Market Integration and Investment Barriers in Emerging Equity Markets," World Bank Economic Review, 9/1: 75-107.
8. BEKAERT, G./HARVEY, e (1997), "Emerging Equity Market Volatility," Journal of Financial Economies, 43/1: 29-77.

9. BEKAERT, G./HARVEY, e (2002), "Research in Emerging Markets Finance: Looking to The Future," Emerging Markets Review, 3/4: 429-448.
10. BEKAERT, G./HARVEY, e (2003), "Emerging Markets Finance," Journal of Empirical Finance, 10/1: 3-56.
11. BITTLlNGMAYER, G. (1998), "Output, Stock Volatility, and Political Uncertainty in a Natural Experiment: Germany, 1880-1940," Journal of Finance, 53: 2243.2258.
12. BOLAK, M. (1991), Sermaye Piyasası, Menkul Kıymetler ve Portföy Analizi (istanbul). BREWER, T.L./RIVOLl, P. (1990), "Politics and Perceived Country Creditworthiness in International Banking," Journal of Money, Credit and Banking, 2213: 357-369.
13. CARMENT, D. (2001), "Assessing Country Risk: Creating an Index of Severity," CIFP Risk Assessment Template, 1-19, http://www.carleton.ca/cifp/docsllndexOfSeverity.pdf. 15.12.2006.
14. CARMICHAEL, B./SAMSON, L. (2003), "Expected Returns and Economic Risk in Canadian Financial Markets," Applied Financial Economies, 13: 177.189.
15. CHAN, Y./WEI, J. (1996), "Political Risk and Stock Price Volatility: The Case of Hong Kong," Pacific Basin Finance Journal, 4: 259-275.
16. CHEN, N.F., / ROLL, R. i ROSS,S,A. (1986), "Economic Forces and The Stock Market," Journal of Business, 59/3: 383-404.
17. CLAESSENS, S., DASGUPTA, S./GLEN, J. (1998), "The Cross.Section of Stock Returns: Evidence From Emerging Markets," Emerging Markets Quarterly, 2: 4-13.
18. CLARK E./KASSlMATIS, K. (2004), "Country Financial Risk and Stock Market Performance: The Case of Latin America," Journal of Economies and Business, 56/1: 21.41
19. COSSET, J.C./SURET, J.M. (1995), "Political Risk and the Benefits of International Portfolio Diversification, " Journal of International Business Studies, 26/2: 301.318.
20. CUTLER, D. / POTERBA, J. / SUMMERS, L. (1989), "What Moves Stock Prices?," Journal of Portfolio Management, 15: 4-11.
21. DIAMONTE, L.R. / LIEW, M.J. / STEVENS, L.R. (1996), "Political Risk in Emerging and Developed Markets," Financial Analysts Journal, 5213: 71-76.
22. EDWARDS, S. (1984), "LDC Foreign Borrowing and Default Risk: An Empirical investigation, " American Economic Revue, 74/3: 726-735.
23. ERB, CB. / HARVEY, CR. / VISKANTA, T.E. (1996a), "Political Risk, Financial Risk and Economic Risk," Financial Analysts Journal, 52/6: 28-46.
24. ERB, CB. / HARVEY, CR. / VISKANTA, T.E. (1996b), "Expected Returns and Volatility in 135 Countries," Journal of Portfolio Management, 22/3: 46.58.
25. ERB, CB. / HARVEY, CR. / VISKANTA, T.E. (1998), "Risk in Emerging Markets," The Financial Survey (July/August): 42.46.
26. FAMA, E.F. (1990), "Stock Returns, Expected Returns, and Real Activity," Journal of Finance, XLV: 1089-1108.
27. FEDER, G. / ROSS, K. (1982), "Risk Assessments and Risk Premiums in The Eurodollar Market," Journal of Finance, 37: 679-691.
28. FERSON, W.E. i CAMPBELL, R.H. (1998), "Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing," Journal of Banking and Finance, 21: 1625-1665.
29. FERSON, W.E ./ HARVEY, CR. (1997), "Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing," Journal of Banking & Finance, 21/11-12: 1625'1665.
30. FLANNERY, M.J. / PROTOPAPADAKIS, A-A. (2002), "Macroeconomic Factors do Influence Aggregate Stock Returns," The Review of Financial Studies, 15: 751.82.
31. GARCIA, R. / GHYSELS, E. (1998), "Structural Change and Asset Pricing in Emerging Markets," Journal of International Money and Finance, 17: 455-473.
32. GIRARD E. / OMRAN M. (2005), "What Are The Risks When investing in Thin Emerging Equity Markets: Evidence From The Arab World," Journal of International Financial Markets, institutions and Money, 1-22, http://www.sciencedirect.com/science?_ob=Mlmg&_imagekey=sdarticle. pdf
33. GOTZAMANN, W.N. / JORION, P. (1999), "Re.Emerging Market," Journal of Financial and Quantitative Analysis, 34: 1-32.
34. GORIAEV, A. / ZABOTKIN, A. (2006), "Risks Of Investing in The Russian Stock Market: Lessons of The First Decade," Emerging Markets Review, 7: 380.397.
35. GUJARATI, D.N. (1995), Basic Econometrics (New York: McGraw-Hill, Third Edition).
36. HANOUSEK, J. i FILER, R.K. (2000), "The Relationship Between Economic Factors and Equity Markets in Central Europe," Economics of Transition, 8/3: 623.638.
37. HARVEY, C (1995), "Predictable Risk and Return in Emerging Markets," Review of Financial Studies, 8: 773.816.
38. HARVEY, C / SOLNIK, B. i ZHOU, G. (2002), "What Determines Expected International Asset Returns?," Annals of Economics and Finance, 3/2: 249-298.
39. HASSAN, M.K. / MARONEY, N.C / EL-SADY, H.M. / TELFAH, A. (2003), "Country Risk and Stock Market Volatility, Predictability and Diversification in The Middle East and Africa," Economic Systems, 27: 63-82.
40. KADILAR, C (2000), Uygulamalı Çok Değişkenli Zaman Serileri Analizi (Ankara: Bizim Büro Basımevi).
41. KIM, H. i MEI, J. (2001), "What Makes The Stock Market Jump? An Analysis of Political Risk on Hong Kong Market Returns," Journal of International Money and Finance. 20: 1003. 16.
42. KOH, B. (2003), "Political Risk and Volatility of Stock Returns: A Case Study of Hong Kong," Singapore Management University, Office of Research, 1-37, http://www.smu.edu.sg/research/publications/pdf/BenedictKoh.politicalRiskHongKong.pdf. (13.12.2oo6).
43. LEVINE, R. / ZERVOS, S. (1998), "Stack Markets and Economic Growth," American Economic Review, 88/4: 537-558.
44. LYN, E. / ZYCHOWICZ, E. (2004), "Predicting Stock Returns in The Developing Markets of Eastern Europe," The Journal of Investing, 13/2: 63-72.
45. MATEUS, T. (2004), "The Risk and Predictability of Equity Returns of The EU Accession Countries," Emerging Markets Review, 5: 241-266.
46. MEI, J. i GUO, L. (2004), "Political Uncertainty, Financial Crisis and Market Volatility," European Financial Management, 10/4: 639-657.
47. PATELIS, A.D. (1997), "Stock Return Predictability and The Role of Monetary Policy," Journal of. Finance, 52: 1951-1972.
48. PEROTTI, E. / OIJEN, P. (2001), "Privatization, Market Development and Political Risk in Emerging Economies," Journal of International Money and Finance, 20/1: 43-69.
49. RAMCHARRAN, H. (2004), "Returns and Pricing in Emerging Markets," The Journal of Investing, 13/1: 45-55.
50. SAINI, K.G. / BATES, P.S. (1984), "A Survey of The Quantitative Approaches to Country Risk Analysis," Journal of Banking and Finance, 8: 341.356.
51. SURET, J.M. / L'HER, J.F. (1997), "Liberalization, Political Risk and Stock Market Returns in Emerging Markets, ClRANO, 1.30, http://www.cirano.gc.ca./pdf Ipublication/97s15pdf, (15.12.2006).
52. YILMAZ, Ö. / GÜNGÖR, B. / KAYA, V. (2006), "Hisse Senedi Fiyatları ve Makro Ekonomik Değişkenler Arasındaki Eş-bütünleşme ve Nedensellik," IMKB Dergisi, 34: 1-16.