Asya-Pasifik Ülkelerinde Makroekonomik Faktörlerin Hisse Senedi Piyasası Gelişmişliğine Etkisi

Öz

Hisse senedi piyasaları, sermaye oluşumunu teşvik ederek ekonomik büyüme ve gelişmeye büyük bir katkı sağlamaktadır. Bu katkıyı sağlamaları ise gelişmişlik düzeyleri ile paralellik göstermektedir. Bu yüzden hisse senedi piyasalarının gelişmişliğini etkileyen faktörleri ortaya koymak oldukça önemlidir. Bu çalışmanın amacı Asya-Pasifik ülkelerinde 1995-2019 dönemine ilişkin yıllık verilerden faydalanılarak makroekonomik faktörlerin hisse senedi piyasası gelişmişliği üzerindeki etkisini panel veri analizi ile incelemektir. Çalışmada hisse senedi piyasası gelişmişliği, hisse senedi piyasa kapitalizasyonunun GSYH’ye oranı ile hesaplanmıştır. Hisse senedi piyasasının makroekonomik belirleyicileri olarak ise para arzı, yabancı sermaye girişleri, ihracat, tasarruf oranı, enflasyon, faiz oranı, kişi başına düşen GSYH ve işsizlik oranı kullanılmıştır. Araştırmada ilk olarak rassal veya sabit etkiler tahmincilerinden birini tercih etmek için Hausman testi yapılmıştır. Hausman testinin sonucuna göre sabit etkiler tahmincisinin daha uygun olduğu görülmüştür. Ayrıca modifiye edilmiş Wald testi ile değişen varyans problemi, Wooldridge testiyle de otokorelasyon problemi sınanmıştır. Bu bağlamda modelde hem değişen varyans hem de otokorelasyon problemi tespit edilmiştir. Her ikisini birden çözebilmek için dinamik panel analizi Arellano-Bover (GMM) modelinden yararlanılmıştır. Arellano-Bover (GMM) modelinden elde edilen sonuçlara göre para arzı, yabancı sermaye girişleri, ihracat ve kişi başına düşen GSYH’nin hisse senedi piyasası gelişmişliğini pozitif etkilediği, enflasyon ve işsizliğin ise negatif etkilediği bulunmuştur. Tasarruf oranı ve faiz oranının ise hisse senedi piyasası gelişmişliği üzerinde anlamlı herhangi bir etkisi olmadığı belirlenmiştir.

Anahtar Kelimeler

• Hisse Senedi Piyasası
• Hisse Senedi Piyasası Gelişmişliği
• Asya-Pasifik Ülkeleri
• Panel Veri Analizi
• Arellano-Bover (GMM) Modeli

The Effect of Macroeconomic Factors on the Stock Market Development in Asia-Pacific Countries

Abstract

Stock markets contribute greatly to economic growth and development by encouraging capital accumulation. This contribution is parallel with stock market’s development level. Therefore, it is very important to reveal the factors affecting the development of stock markets. The aim of this study is to examine the effect of macroeconomic factors on stock market development using annual panel data of Asia-Pacific countries for period 1995-2019. In the study, stock market development was measure using stock market capitalization as a percentage of GDP. Money supply, foreign capital inflows, exports, savings rate, inflation, interest rate, GDP per capita and unemployment rate were used as macroeconomic determinants of the stock market. Firstly, Hausman test was conducted to make a choice between the random effect model and the fixed effects model. According to the result of Hausman test, fixed effect method is confirmed as the most appropriate method to evaluate model of study. In addition, the heteroscedasticity problem was tested with the modified Wald test and the autocorrelation problem was tested with the Wooldridge test. In this context, both heteroscedasticity and autocorrelation problem were determined in the model. Dynamic panel analysis Arellano-Bover (GMM) model was conducted to fix heteroscedasticity and autocorrelation. According to the results obtained from the Arellano-Bover (GMM) model, it was found that money supply, foreign capital inflows, exports and GDP per capita positively affected stock market development, while inflation and unemployment had a negative effect. Savings rate and interest rate had no significant effect on stock market development.

Keywords

• Stock Market
• Stock Market Development
• Asia-Pacific Countries
• Panel Data Analysis
• Arellano-Bover (GMM) Model

Kaynakça

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