Determination of Internal Factors Affecting the Price of Dual Listed Stocks by Dynamic Panel Data Analysis

Öz

Globalization and development of technology; it enabled the stocks of multinational companies to be traded on the foreign stock exchanges. It is believed that this situation has led to significant increases in the value and volume of cross-border transactions and capital flows in financial markets. This study aimed to determine the internal factors affecting the price of the shares of companies whose stocks are traded both on Stock Exchange Istanbul and overseas between 2013-2018 by dynamic panel data analysis. As a result of the analysis, a positive relationship is determined among the foreign price of the stock and the domestic price of the stock, the liquidity ratio, leverage ratio and asset profitability. A negative relationship between the foreign price of the stock and the beta value and the turnover rate is determined. No statistically significant relationship could be determined between the foreign price of the stock and the market value / book value, dividend yield and stock return. In addition, it was determined that the international prices of stocks were positively affected by the foreign prices of stocks in the previous period.

Anahtar Kelimeler

• ADR
• Dual Listed Stocks
• Dynamic Panel Data Analysis

Çifte Kayıtlı Hisse Senetlerinin Fiyatlarını Etkileyen İçsel Faktörlerin Dinamik Panel Veri Analizi İle Belirlenmesi

Öz

Küreselleşme ve teknolojinin gelişmesi; çokuluslu şirketlerin hisse senetlerini yabancı borsalarda işlem görmesine olanak tanımıştır. Bu durumun finansal piyasalarda sınır ötesi işlemler ile sermaye akışlarının değerinde ve hacminde önemli artışlara yol açtığı düşünülmektedir. Bu çalışma 2013-2018 yılları arasında hem Borsa İstanbul’da hem de yurtdışında hisse senetleri işlem gören şirketlerin yurt dışı hisse senedi fiyatlarını etkileyen içsel faktörleri Dinamik Panel Veri Analizi ile belirlemeyi amaçlamıştır. Analiz sonucunda hisse senedinin yurt dışı fiyatı ile hisse senedinin yurt içi fiyatı, likidite oranı, kaldıraç oranı ve aktif kârlılık oranı arasında pozitif yönlü bir ilişki tespit edilmiştir. Hisse senedinin yurt dışı fiyatı ile beta değeri ve aktif devir hızı arasında negatif yönlü bir ilişki olduğu saptanmıştır. Hisse senedinin yurt dışı fiyatı ile piyasa değeri/defter değeri, temettü verimi ve hisse senedi getirisi arasında istatistiki olarak anlamlı bir ilişki belirlenememiştir. Ayrıca hisse senetlerinin yurt dışı fiyatlarının, bir önceki dönem hisse senedi yurt dışı fiyatlarından olumlu etkilendiği tespit edilmiştir.

Anahtar Kelimeler

• ADR
• Çifte Kayıtlı Hisse Senetleri
• Dinamik Panel Veri Analizi

Kaynakça

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