TÜRKİYE’DE İMALAT SEKTÖRÜNDEKİ ŞİRKETLERİN HİSSE SENEDİ GETİRİLERİNİ ETKİLEYEN MAKROEKONOMİK FAKTÖRLER: COVİD-19 PANDEMİ DÖNEMİ

Öz

Bu çalışma Borsa Istanbul (BIST) bünyesinde işlem gören imalat sektöründe yer alan şirketlerin hisse senedi getirileri üzerindeki döviz kurunun, tüketici güveninin ve petrol fiyatlarının etkilerini Covid-19 pandemi dönemi ve sonrası (Mart 2020 – Eylül 2022) için araştırmaktadır. İmalat sektöründeki firmalar, BIST hisse senedi piyasasının büyük bir bölümünü oluşturduğu için bu şirketlerin kompozit endeksi olan BISTSINAI endeksi bağımlı değişken olarak seçilmiştir. Gecikmesi dağıtılmış otoregresif (autoregressive distributed lag - ARDL) sınır testi yönteminin aylık zaman serilerine uygulanması ile değişkenler arasında eşbütünleşme ilişkisi tespit edilmiştir. Ampirik bulgular aynı zamanda uzun dönemde petrol fiyatlarının hisse senedi getirileri üzerinde en çok etkiyi yapan değişken olduğuna işaret etmektedir. İmalat sektöründe petrolün en önemli üretim girdilerinden biri olduğu göz önüne alındığında, petrol fiyatlarında oluşan artış dolayısıyla üretim maliyetlerinde meydana gelen artışın hisse senedi fiyatlarını olumsuz yönde etkilemesi kaçınılmaz olmaktadır. Diğer taraftan, bu sektörün hisse senedi getirileri üzerinde döviz kurunun ve tüketici güveninin uzun dönemli ve istatistiksel olarak anlamlı etkileri bulunamamıştır.

Anahtar Kelimeler

• Hisse Senedi Piyasası
• Döviz Kuru
• Tüketici Güveni
• Petrol Fiyatları

THE MACROECONOMIC DETERMINANTS OF THE STOCK MARKET RETURNS OF TURKISH MANUFACTURING FIRMS: THE COVID-19 PANDEMIC PERIOD

Öz

This study explores the impacts of the exchange rate, consumer confidence, oil prices on the stock returns of the Borsa Istanbul (BIST) manufacturing firms for the timeline aftermath of the Covid-19 pandemic (March 2020 – September 2022). As the manufacturing companies comprise the majority of the stock market of the BIST, the composite index of these industrial companies (XUSIN) is selected as the response variable. Implementing the autoregressive distributed lag (ARDL) bounds-testing methodology on the monthly time series data, the cointegration existence is detected among the series. The empirical results also show that oil price is the most significant determinant among these variables affecting manufacturing companies’ returns for the long-run. When considering oil as a vital production input in industries, the decreases in stock prices resulting from oil price rises (i.e. increases in production costs) are inevitable. However, the significant long-run effects of exchange rates and the consumer confidence index on stock returns of this industry cannot be detected for the Covid-19 period.

Anahtar Kelimeler

• Stock Market
• Exchange Rates
• Consumer Confidence
• Oil Prices
• BIST

Kaynakça

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