ADR ve Hisse Senetleri Fiyatlarının Makroekonomik Göstergeler ile Arasındaki İlişkinin Belirlenmesi: Türkiye Örneği

Öz

Hisse senedini dayanak varlık olarak kabul edip depo sertifası yönetimiyle işlem gören American Depositary Receipts (ADR) günümüzde sık kullanılan bir yatırım aracı haline gelmiştir. ADR’ lerin dayanak hisse senedine bağlı olması nedeniyle fiyatının belirlenmesinde birden çok değişken mevcuttur. Bu değişkenlerin ADR fiyatına etkileri temel hisse senedi ile ADR getirisi arasında bir arbitraj kazancına yol açabilme olasılığı taşımaktadır. Çalışmanın amacı, Türkiye ADR fiyatlarına etki eden göstergelerin tespit edilerek ADR’ lerin arbitraj fırsatlarının mevcudiyetini ortaya koymaktır. Araştırmada Türkiye ADR’ lerinin fiyatını etkileyen ekonomik göstergeler tespit edilmiştir. Analizde kullanılmak üzere ekonomik gösterge olarak; döviz kuru, CDS primi, çeşitli borsa endeksleri seçilmiştir. 2014-2024 yılları arasında günlük verilerin kullanıldığı çalışmada Regresyon yöntemi kullanılmıştır. Sekiz farklı ADR üzerine yapılan çalışma sonucunda ADR ile hisse senedinin getiri farklılıklarının çeşitli ekonomik göstergelerden etkilendiği tespit edilmiştir. Ayrıca bu farklılığın rastgele bir yürüyüş izlememesi yani tahmin edilebilir olması, etkin piyasa hipotezi çerçevesinde ADR piyasasının etkin olmadığına yönelik kanıtlar sunmaktadır.

Anahtar Kelimeler

• ADR
• Macroekonomik Göstergeler
• Arbitraj

Investigating the Relationship between ADR, Stock Prices and Macroeconomic Indicators: The Case of Türkiye

Öz

American Depositary Receipts (ADRs), which are traded through depositary receipt management by accepting the stock as an underlying asset, have become a frequently used investment instrument today. Since ADRs are linked to the underlying stock, there are multiple variables in determining their price. The effects of these variables on the ADR price may lead to an arbitrage gain between the underlying stock and the ADR return. The aim of the study is to identify the indicators affecting the Turkish ADR prices and to reveal the existence of arbitrage opportunities in ADRs. In the study, economic indicators affecting the price of Turkish ADRs were identified. Exchange rate, CDS premium, and various stock market indices were selected as economic indicators to be used in the analysis. Regression analysis was used in the study, where daily data were used between 2014 and 2024. As a result of the study on eight different ADRs, it is determined that the return differences between ADRs and stocks are affected by various economic indicators. Moreover, the fact that this difference does not follow a random walk, i.e., it is predictable, provides evidence that the ADR market is inefficient within the framework of the efficient market hypothesis.

Anahtar Kelimeler

• ADR
• Macroecomomic Indicators
• Arbitrage

Kaynakça

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