BibTex RIS Kaynak Göster

Tüketici Güveni Ve Hisse Senedi Getirileri ilişkisi: imkb Mali Sektör Şirketleri Üzerinde Bir Uygulama

Yıl 2006, Cilt: 15 Sayı: 2, 217 - 230, 01.06.2006

Dr. Serkan Yılmaz Kandır

Öz

Aim of this study is to investigate the forecasting ability of consumer confidence index for ISE financial sector stock returns Regression analysis method is employed In this context stock returns of 28 financial sector companies are used as dependent variables for the period that spans from February 2002 to June 2005 Change in CNBC E Consumer Confidence Index and three control variables are used as independent variables Control variables are size premium value premium and ISE GDS Index returns Analysis results suggest that consumer confidence index is a significant factor for majority of the financial sector stocks Using control variables has not altered those results Key Words: Consumer confidence index ISE financial sector companies stock returns

Anahtar Kelimeler

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Kaynakça

  • Acemoglu, Daron ve Andrew Scott (1994), “Consumer confidence and rational expectations: are agents' beliefs consistent with the theory?”, Economic Journal, c.104. S.422. ss.1-19.
  • Barber, Brad M. ve John D. Lyon (1997), “Firm size, book-to-market ratio, and security returns: A holdout sample of financial firms”, Journal of Finance, c.52. S.2. ss.875-883.
  • Batchelor, Roy ve Pami Dua (1998), “Improving macro-economic forecasts the role of consumer confidence”, International Journal of Forecasting, c.14. ss.71–81.
  • Bram, Jason ve Sydney Ludvigson (1998), “Does consumer confidence forecast household expenditure? A sentiment index horse race”, FRBNY Economic Policy Review, c.4. S.2. ss. 59-78.
  • Breusch (1978), “Testing for Autocorrelation in Dynamic Linear Models,” Australian Economic Papers 17: 534-355.
  • Carroll, Christopher D., Jeffrey C. Fuhrer ve David W. Wilcox (1994), “Does consumer sentiment forecast household spending? If so, why?”, American Economic Review, c.84. S.5. ss.1397-1408.
  • Charoenrook, Anchanda (2003), “Deoes sentiment matter?”, 2004 FMA Annual Meeting – New Orleans, No: 3301937.
  • Christ, Kevin P. ve Dale S. Bremmer (2003), “The relationship between consumer sentiment and stock prices”, 78th Annual Conference of the Western Economics Association International, 15 Temmuz 2003, Denver-ABD.
  • Dickey, David A. ve Wayne A. Fuller (1979), “Distribution of the estimators for autoregressive time series with a unit root”, Journal of the American Statistical Association, c.74. S.366. ss.427-431.
  • Doğukanlı Hatice ve Serkan Yılmaz Kandır (2002), “Çoklu beta finansal varlıkları değerleme modeli ve Türkiye’de bir uygulama”, İMKB Dergisi, c.6. S.23. ss.1- 14.
  • Elton, Edwin J, Martin J. Gruber ve Jeffrey A. Busse (1998), “Do investors care about sentiment?”, Journal of Business, c.71. S.4. ss.477-500.
  • Ertek, Tümay (1996), Ekonometriye Giriş (İkinci Basım), İstanbul: Beta Yayınları.
  • Fama, Eugene F. and Kenneth R. French (1992), “The cross-section of expected stock returns”, Journal of Finance, c.47. S.2. ss.427-465.
  • Fama, Eugene F. and Kenneth R. French (1995), “Size and book-to-market factors in earnings and returns”, Journal of Finance, c.50. S.1. ss.131-155.
  • Fisher, Kenneth L. ve Meir Statman (2003), “Consumer confidence and stock returns”, Journal of Portfolio Management, Fall 2003, ss.115-127.
  • Ghosh, Asim ve Ronnie Clayton (2004), “The relationship between the consumer sentiment index and the stock market”, 2004 FMA European Conference, 2-4 Haziran 2004, Zürih-İsviçre.
  • Godfrey (1978), “Testing Against General Autoregressive and Moving Average Error Models when the Regressors include Lagged Dependent Variables,” Econometrica 46: 1293-1303.
  • Gönenç, Halit ve Mehmet Baha Karan (2003), “Do value stocks earn higher returns than growth stocks in an emerging market? Evidence from the İstanbul Stock Exchange”, Journal of International Financial Management and Accounting, c.14. S.1. ss.1-24.
  • Howrey, E. Philip (2001), “The predictive power of the index of consumer sentiment”, Brookings Papers on Economic Activity, c.1. ss. 175-207.
  • http://www.hazine.gov.tr/stat/e-gosterge.htm
  • http://www.imkb.gov.tr/malitablo.htm
  • http://www.imkb.gov.tr/sirket/fiyat_getiri_aciklama.htm
  • http://www.imkb.gov.tr/veri.htm
  • http://www.ntv.com.tr/news/147595.asp?cp1=1
  • http://www.ntv.com.tr/news/171785.asp
  • İMKB Aylık Bültenleri Çeşitli Sayılar, http://www.imkb.gov.tr/veri.htm, Ziyaret Tarihi: Ağustos 2006.
  • Jansen, W. Jos ve Niek J. Nahuis (2003), “The stock market and consumer confidence: European evidence”, Economics Letters, c.79. ss.89-98.
  • Lemmon, Michael ve Evgenia Portniaguina (2006), “Consumer confidence and asset prices: Some empirical evidence”, Review of Financial Studies, c.19. S.4. ss.1429-1529.
  • Lin, Chien-Ting, Chia-Cheng Ho ve Victor Fang (2005), “Australian consumer sentiment and sector returns”, European Financial Management Association 2005 Annual Meetings, 29 Haziran – 2 Temmuz 2005, Milano İtalya.
  • Ludvigson, Sydney C. (2004), “Consumer confidence and consumer spending”, Journal of Economic Perspectives, c.18. S.2. ss.29–50.
  • Philips, Peter C. B. ve Pierre Perron (1988), “Testing for a unit root in time series regression”, Biometrika, c.75. S.2. ss.335-346.
  • Qiu Lily ve Ivo Welch (2004), “Investment sentiment measures”, NBER Working Paper No: W10794.
  • White, Halbert (1980), “A heteroscedasticity-consistent covariance matrix estimator and a direct test for heteroscedasticity”, Econometrica, c.48. S.4. ss.817-838.

TÜKETİCİ GÜVENİ VE HİSSE SENEDİ GETİRİLERİ İLİŞKİSİ: İMKB MALİ SEKTÖR ŞİRKETLERİ ÜZERİNDE BİR UYGULAMA

Yıl 2006, Cilt: 15 Sayı: 2, 217 - 230, 01.06.2006

Dr. Serkan Yılmaz Kandır

Öz

Bu çalışmanın amacı, tüketici güven endeksinin İMKB mali sektör şirketlerinin hisse
senedi getirilerini tahmin etme kabiliyetini incelemektir. Çalışmada regresyon analizi
yönteminden yararlanılmıştır. Bu bağlamda, Şubat 2002 – Haziran 2005 dönemi için 28
mali sektör şirketinin hisse senedi getirileri bağımlı değişken olarak kullanılmıştır.
CNBC-E tüketici güven endeksinde değişim ile üç adet kontrol değişkeninden ise
bağımsız değişkenler olarak yararlanılmıştır. Kontrol değişkenleri, büyüklük primi,
değer primi ve İMKB DİBS endeksi getirisidir. Analiz sonuçları, tüketici güven
endeksinin mali sektör hisse senetlerinin çoğunluğu için önemli bir faktör olduğunu
göstermiştir. Modelde, kontrol değişkenlerine yer verilmesi de bu sonucu
değiştirmemiştir

Anahtar Kelimeler

Tüketici güven endeksi İMKB mali sektör şirketleri hisse senedi getirileri

Kaynakça

  • Acemoglu, Daron ve Andrew Scott (1994), “Consumer confidence and rational expectations: are agents' beliefs consistent with the theory?”, Economic Journal, c.104. S.422. ss.1-19.
  • Barber, Brad M. ve John D. Lyon (1997), “Firm size, book-to-market ratio, and security returns: A holdout sample of financial firms”, Journal of Finance, c.52. S.2. ss.875-883.
  • Batchelor, Roy ve Pami Dua (1998), “Improving macro-economic forecasts the role of consumer confidence”, International Journal of Forecasting, c.14. ss.71–81.
  • Bram, Jason ve Sydney Ludvigson (1998), “Does consumer confidence forecast household expenditure? A sentiment index horse race”, FRBNY Economic Policy Review, c.4. S.2. ss. 59-78.
  • Breusch (1978), “Testing for Autocorrelation in Dynamic Linear Models,” Australian Economic Papers 17: 534-355.
  • Carroll, Christopher D., Jeffrey C. Fuhrer ve David W. Wilcox (1994), “Does consumer sentiment forecast household spending? If so, why?”, American Economic Review, c.84. S.5. ss.1397-1408.
  • Charoenrook, Anchanda (2003), “Deoes sentiment matter?”, 2004 FMA Annual Meeting – New Orleans, No: 3301937.
  • Christ, Kevin P. ve Dale S. Bremmer (2003), “The relationship between consumer sentiment and stock prices”, 78th Annual Conference of the Western Economics Association International, 15 Temmuz 2003, Denver-ABD.
  • Dickey, David A. ve Wayne A. Fuller (1979), “Distribution of the estimators for autoregressive time series with a unit root”, Journal of the American Statistical Association, c.74. S.366. ss.427-431.
  • Doğukanlı Hatice ve Serkan Yılmaz Kandır (2002), “Çoklu beta finansal varlıkları değerleme modeli ve Türkiye’de bir uygulama”, İMKB Dergisi, c.6. S.23. ss.1- 14.
  • Elton, Edwin J, Martin J. Gruber ve Jeffrey A. Busse (1998), “Do investors care about sentiment?”, Journal of Business, c.71. S.4. ss.477-500.
  • Ertek, Tümay (1996), Ekonometriye Giriş (İkinci Basım), İstanbul: Beta Yayınları.
  • Fama, Eugene F. and Kenneth R. French (1992), “The cross-section of expected stock returns”, Journal of Finance, c.47. S.2. ss.427-465.
  • Fama, Eugene F. and Kenneth R. French (1995), “Size and book-to-market factors in earnings and returns”, Journal of Finance, c.50. S.1. ss.131-155.
  • Fisher, Kenneth L. ve Meir Statman (2003), “Consumer confidence and stock returns”, Journal of Portfolio Management, Fall 2003, ss.115-127.
  • Ghosh, Asim ve Ronnie Clayton (2004), “The relationship between the consumer sentiment index and the stock market”, 2004 FMA European Conference, 2-4 Haziran 2004, Zürih-İsviçre.
  • Godfrey (1978), “Testing Against General Autoregressive and Moving Average Error Models when the Regressors include Lagged Dependent Variables,” Econometrica 46: 1293-1303.
  • Gönenç, Halit ve Mehmet Baha Karan (2003), “Do value stocks earn higher returns than growth stocks in an emerging market? Evidence from the İstanbul Stock Exchange”, Journal of International Financial Management and Accounting, c.14. S.1. ss.1-24.
  • Howrey, E. Philip (2001), “The predictive power of the index of consumer sentiment”, Brookings Papers on Economic Activity, c.1. ss. 175-207.
  • http://www.hazine.gov.tr/stat/e-gosterge.htm
  • http://www.imkb.gov.tr/malitablo.htm
  • http://www.imkb.gov.tr/sirket/fiyat_getiri_aciklama.htm
  • http://www.imkb.gov.tr/veri.htm
  • http://www.ntv.com.tr/news/147595.asp?cp1=1
  • http://www.ntv.com.tr/news/171785.asp
  • İMKB Aylık Bültenleri Çeşitli Sayılar, http://www.imkb.gov.tr/veri.htm, Ziyaret Tarihi: Ağustos 2006.
  • Jansen, W. Jos ve Niek J. Nahuis (2003), “The stock market and consumer confidence: European evidence”, Economics Letters, c.79. ss.89-98.
  • Lemmon, Michael ve Evgenia Portniaguina (2006), “Consumer confidence and asset prices: Some empirical evidence”, Review of Financial Studies, c.19. S.4. ss.1429-1529.
  • Lin, Chien-Ting, Chia-Cheng Ho ve Victor Fang (2005), “Australian consumer sentiment and sector returns”, European Financial Management Association 2005 Annual Meetings, 29 Haziran – 2 Temmuz 2005, Milano İtalya.
  • Ludvigson, Sydney C. (2004), “Consumer confidence and consumer spending”, Journal of Economic Perspectives, c.18. S.2. ss.29–50.
  • Philips, Peter C. B. ve Pierre Perron (1988), “Testing for a unit root in time series regression”, Biometrika, c.75. S.2. ss.335-346.
  • Qiu Lily ve Ivo Welch (2004), “Investment sentiment measures”, NBER Working Paper No: W10794.
  • White, Halbert (1980), “A heteroscedasticity-consistent covariance matrix estimator and a direct test for heteroscedasticity”, Econometrica, c.48. S.4. ss.817-838.
Toplam 33 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Dr. Serkan Yılmaz Kandır Bu kişi benim

Yayımlanma Tarihi 1 Haziran 2006
Gönderilme Tarihi 29 Aralık 2013
Yayımlandığı Sayı Yıl 2006 Cilt: 15 Sayı: 2

Kaynak Göster

APA Kandır, D. S. Y. (2006). TÜKETİCİ GÜVENİ VE HİSSE SENEDİ GETİRİLERİ İLİŞKİSİ: İMKB MALİ SEKTÖR ŞİRKETLERİ ÜZERİNDE BİR UYGULAMA. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 15(2), 217-230.