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Makroekonomik Faktörlerin Hisse Senedi Getirilerine Etkisi: Türkiye Ve Gelişmekte Olan Piyasalar Üzerine Bir İnceleme

Year 2011, Volume: 5 Issue: 1, 73 - 96, 01.06.2011

Güven Sayılgan Cemil Süslü

Abstract

Literatürde, hisse senedi getirileri ve makroekonomik faktörler arasındaki ilişkiyi; ABD ve gelişmiş ülkeler için inceleyen çalışmalara sık rastlanılmakla birlikte, bu ilişkiyi gelişmekte olan ülkeler için inceleyen çalışma sayısının azlığı dikkat çekicidir. Bu çalışmanın temel amacı, gelişmekte olan ülkelerdeki makroekonomik faktörlerin hisse senedi getirilerine etkisini dengeli panel veri analizi ile incelemektir. Araştırma dönemi 1999–2006 yılları arasını kapsamaktadır. Ampirik bulgulara göre, çalışma kapsamındaki gelişmekte olan ülkelerdeki hisse senedi getirilerinin; döviz kurundan, enflasyon oranından ve Standart and Poors 500 endeksinden etkilendiği saptanmış; ancak faiz oranı, gayri safi yurtiçi hasıla, para arzı ve petrol fiyatları ilehisse senedi getirileri arasında istatistiksel olarak anlamlı bir ilişki saptanmamıştır

Keywords

Hisse Senedi Getirileri Makroekonomik Faktörler Panel Veri Analizi

References

  • Brigham, E. F.. (2006). Finansal Yönetimin Temelleri (Çev. Ö. Akmut ve H. Sarıaslan). Ankara: Ankara Üniversitesi Rektörlüğü Yayınları. 1.cilt.
  • Ceylan, A. ve Korkmaz, T.. (1998). Borsada Uygulamalı Portföy Yönetimi. Bursa: Ekin Kitabevi.
  • Chen, N., Roll, R. ve Ross, S.. (1986). Economic Forces And The Stock Market. Journal of Business, 59 (3): 383 – 403.
  • Çaşkurlu, S. İ.. (2001). Kısa Vadeli Sermaye Hareketlerinin Gelişmekte Olan Ülkelere Etkileri Ya Da Modern Bir Kırmızı Başlıklı Kız Masalı. Mülkiye Dergisi, 25 (229): 163 – 184.
  • Çıtak, L.. (2003). Para ve Maliye Politikalarının İMKB Endeksi Üzerindeki Etkilerinin İncelenmesi: İMKB, Makroekonomik Politikalar Açısından Bilgi Etkin Midir? Dumlupınar Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 9: 1 – 13.
  • Darrat, A. F.. (1990). Stock Returns, Money and Fiscal Defecits. Journal of Financial and Quantitative Analysis, 25 (3): 387 – 398.
  • Dritsaki–Bargiota, M. ve Dritsaki, C.. (2005). Macroecnomic Determinants of Stock Price Movements: An Empirical Investigation of the Stock Market. http://mfs.rutgers.edu/MFC/MFC11/mfcindex/files/MFC- 107%20DritsakiDritsaki.pdf. Erişim Tarihi: 17.05.2009.
  • Durukan, M. B.. (1997). İstanbul Menkul Kıymetler Borsasında Makroekonomik Değişkenlerin Hisse Senedi Fiyatlarına Etkisi. İMKB Dergisi, 3(11): 19 – 47.
  • Ely, D. ve Robinson, K. J.. (1997). Are Stocks A Hedge Against Inflation? International Evidence Using A Long Run Approach. Journal of International Money and Finance, 16 (1): 141 – 167.
  • Erbaykal, E., Okuyan, H.A. ve Kadıoğlu, O.. (2008). Real Macroeconomic Variables and Stock Prices: Test of Proxy Hypothesis in Turkey. Yeditepe International Research Conference On Business Strategies 13 – 15 June 2008. Erişim Tarihi: 17.05.2009. http://ssrn.com/abstract=1321678.
  • Ewing, B. T.. (2002). Macroeconomic News and the Returns of Financial Companies. Managerial and Decision Economics, 23(8): 439–446.
  • Fama, E. ve Schwert, G. W.. (1977). Asset Returns and Inflation. Journal of Financial Economics, 5 (2): 115 – 146.
  • Fama, E.. (1981). Stock Returns, Real Activity, Inflation and Money. The American Economic Review, 71(4): 545 – 565.
  • Garbade, K. D. ve Silber, W. L.. (1979). Dominant and Satellite Markets: A Study of Dually- Traded Securities. The Review of Economics and Statistics, 61(3): 455 – 460.
  • Gay, R. D. Jr.. (2008). Effect of Macroeconomic Variables On Stock Market Returns For Four Emerging Economies: Brazil, Russia, India and China. International Business and Economics Research Journal, 7(3): 1 – 8.
  • Geske, R. ve Roll, R.. (1983). The Fiscal and Monetary Linkage Between Stock Returns and Inflation. The Journal of Finance, 38(1): 1 – 33.
  • Glezakos, M., Merika, A. ve Kaligosfiris, H.. (2007). Interdependence of Major World Stock Exchanges: How is the Athens Stock Exchange Affected? International Research Journal of Finance and Economics, 7: 24 – 39. http://www.eurojournals.com/IRJFE%20ISSUE%207%20glezakos.pdf
  • Greene, W. H.. (2003). Econometric Analysis. Prentice Hall.
  • Habibullah, M. S. ve Baharumshah, A. Z.. (1996). Money, Output, And Stock Prices In Malaysia: An Application Of The Co–Integratin Tets. International Economic Journal, 10(2): 121 – 130.
  • Hashemzadeh, N. ve Taylor, P.. (1988). Stock Prices, Money Supply, And Interest Rates: The Question of Causality. Applied Economics, 20(12): 1603 - 1611.
  • Hatemi-J, A. ve Irandoust, M.. (2002). On The Causality Between Exchange Rates and the Current Account. American Economic Review, Bulletin of Economic Research, 54 (2): 197 – 203.
  • Ibrahim, M. H. ve Aziz, H.. (2003). Macroeconomic Variable And The Malaysian Equity Market: A View Trough Rolling Subsamples. Journal of Economic Studies, 30(1): 6 – 27.
  • Jaffee, J. F. ve Mandelker, G.. (1976). The Fisher Effect For Risky Assets: An Empirical Investigation. The Journal of Finance, 31(2): 447 – 458.
  • Jeyanthi, B. J. Q. ve Pandian, P.. (2008). An Empirical Study of Cointegration and Correlation Among Indian, Emerging and Developed Markets. The ICFAI Journal of Applied Finance, 14 (11): 35 – 47.
  • Kaul, G. ve Seyhun, H. N. (1990). Relative Price Variability, Real Shocks and The Stock Market. Journal of Finance, 45(2): 479–496.
  • Kaul, G.. (1987). Stock returns And Inflation: The Role of The Monetary Sector. Division of Research School of Business Administration Working Paper, No: 518.
  • Kaynak, M. (2005). Kalkınma İktisadı. Ankara: Gazi Kitabevi.
  • Korkmaz T. ve Ceylan, A.. (2006). Sermaye Piyasası ve Menkul Değer Analizi. Bursa: Ekin Kitabevi.
  • Lee, B.. (1992). Causal relations Among Stock Returns, Interest Rates, Real Activity, and Inflation. The Journal of Finance, 47(4): 1591 – 1603.
  • Majid, M. S. A., Meera, A. K. ve Omar, M. A.. (2008). Interdependence of ASEAN–5 Stock Markets From The US and Japan. Global Economic Review, 37(2): 201–225.
  • Maysami, R. C. ve Koh, T. S.. (2000). A Vector Error Correction Model of the Singapore Stock Market. International Review of Economics and Finance, 9(1): 79 – 96.
  • Maysami, R. C., Howe, L. C. ve Hamzah, M. A.. (2004). Relationship Between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence From Stock Exchange of Singapore's All – S Sector Indices.. Journal Pengurusan, 24: 47 – 77. http://www.ukm.my/penerbit/jurnal_pdf/Jp24- 03.pdf
  • Moosa, I. A.. (1998). An Investigation into The Cyclical Behavior of Output, Money, Stock Prices and Interest Rates. Applied Economic Letters, 5(4): 235 – 238.
  • Mukherjee, T. K. ve Naka, A.. (1995). Dynamic Relations Between Macroeconomic Variables And The Japanese Stock Market: An Application Of A Vector Error Corection Model. The Journal of Financial Research, 18(2): 223 – 237.
  • Muradoglu, G., Taskın, F. ve Bigan, I.. (2000). Causality Between Stock Returns and Macroekonomic Variables in Emerging Markets. Russian and East European Finance and Trade, 36(6), 33 – 53.
  • Mutan, O. C. ve Çanakçı, E.. (2007). Makroekonomik Göstergelerin Hisse Senedi Piyasaları Üzerindeki Etkileri. Sermaye Piyasası Kurulu Araştırma Raporu.
  • Nieh, C. ve Lee, C.. (2001). Dynamic Relationship Between Stock Prices And Exchange Rates For G–7 Countries. The Quarterly Review of Economics And Finance, 41(4): 477 – 490.
  • Özçam, M.. (1997). An Analysis of The Macroeconomic Factors That DetermineSock Returns In Turkey. Ankara: Sermaye Piyasası Kurulu Yayınları.
  • Özgen, F. B.. (1998). Globalleşme Sürecinde Gelişmekte Olan Ülkelerde Finans Piyasaları. Globalleşme Sürecinde Türkiye’ de Finans Piyasalarının Gelişimi, Ege Maliye Bölümleri Araştırma Görevlileri Sempozyumu 26 – 28 Kasım 1998, İzmir, 47 – 79, www.econturk.org.
  • Pazarlıoğlu, M.V. ve Gürler, Ö. K.. (2007). Telekomünikasyon Yatırımları ve Ekonomik Büyüme: Panel Veri Yaklaşımı. Finans Politik & Ekonomik Yorumlar Dergisi, 44 (508): 35 – 43.
  • Rose, P. S. ve Marquis, M. H.. (2006). Money and Capital Markets: Financial Institutions and Instruments in a Global Marketplace. Boston: McGraw-Hill Irwin.
  • Sevindirici, İ. (1999). Azgelişmişliğin Ekonomisi. Ankara: İtalik Kitapları.
  • Siddiqui, S.. (2009). Stock Markets Integration: Examing Linkages Between Selected World Markets. The Journal of Business Perspective, 13(1): 19 – 30.
  • Solnik, B.. (1983). The Relationship Between Stock Prices and Inflationary Expectations: The International Evidence. The Journal of Finance, 37(1): 35 – 48.
  • Tabak, B. M.. (2006). The Dynamic Relationship Between Stock Prices And Exchange Rates: Evidence For Brazil. International Journal of Theoritical and Applied Finance, 9(8): 1377 – 1396.
  • Yalçın, E.. (2005). İkisadi Büyüme ve Dış krediler: Ampirik Bir Çalışma. Ankara: TCMB Dış İlişkiler Genel Müdürlüğü. Uzmanlık Yeterlilik Tezi.

The Effect of Macroeconomic Factors on Stock Returns: A Study of Turkey and Emerging Markets

Year 2011, Volume: 5 Issue: 1, 73 - 96, 01.06.2011

Güven Sayılgan Cemil Süslü

Abstract

The Effect of Macroeconomic Factors on Stock Returns: A Study of Turkey and Emerging Markets Although there are many studies in the literature that investigate the relationship between stock returns and macroeconomic factors in the United States and other advanced economies,the number of studies that investigate this relationship in emerging market economies isastonishingly small. Hence, the main purpose of this study is to analyze the impact ofmacroeconomic factors on stock returns in emerging market economies using panel data. Thestudy covers the period between 1996 and 2006. According to the empirical results of thisstudy, it has been observed that stock returns are affected by exchange rates, inflation ratesand the S&P 500 Index while the returns are not affected by interest rate, gross domesticproduct, money supply and oil prices in a statistically significant manner

Keywords

Stock Returns Macroeconomic Factors Panel Data Analysis

References

  • Brigham, E. F.. (2006). Finansal Yönetimin Temelleri (Çev. Ö. Akmut ve H. Sarıaslan). Ankara: Ankara Üniversitesi Rektörlüğü Yayınları. 1.cilt.
  • Ceylan, A. ve Korkmaz, T.. (1998). Borsada Uygulamalı Portföy Yönetimi. Bursa: Ekin Kitabevi.
  • Chen, N., Roll, R. ve Ross, S.. (1986). Economic Forces And The Stock Market. Journal of Business, 59 (3): 383 – 403.
  • Çaşkurlu, S. İ.. (2001). Kısa Vadeli Sermaye Hareketlerinin Gelişmekte Olan Ülkelere Etkileri Ya Da Modern Bir Kırmızı Başlıklı Kız Masalı. Mülkiye Dergisi, 25 (229): 163 – 184.
  • Çıtak, L.. (2003). Para ve Maliye Politikalarının İMKB Endeksi Üzerindeki Etkilerinin İncelenmesi: İMKB, Makroekonomik Politikalar Açısından Bilgi Etkin Midir? Dumlupınar Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 9: 1 – 13.
  • Darrat, A. F.. (1990). Stock Returns, Money and Fiscal Defecits. Journal of Financial and Quantitative Analysis, 25 (3): 387 – 398.
  • Dritsaki–Bargiota, M. ve Dritsaki, C.. (2005). Macroecnomic Determinants of Stock Price Movements: An Empirical Investigation of the Stock Market. http://mfs.rutgers.edu/MFC/MFC11/mfcindex/files/MFC- 107%20DritsakiDritsaki.pdf. Erişim Tarihi: 17.05.2009.
  • Durukan, M. B.. (1997). İstanbul Menkul Kıymetler Borsasında Makroekonomik Değişkenlerin Hisse Senedi Fiyatlarına Etkisi. İMKB Dergisi, 3(11): 19 – 47.
  • Ely, D. ve Robinson, K. J.. (1997). Are Stocks A Hedge Against Inflation? International Evidence Using A Long Run Approach. Journal of International Money and Finance, 16 (1): 141 – 167.
  • Erbaykal, E., Okuyan, H.A. ve Kadıoğlu, O.. (2008). Real Macroeconomic Variables and Stock Prices: Test of Proxy Hypothesis in Turkey. Yeditepe International Research Conference On Business Strategies 13 – 15 June 2008. Erişim Tarihi: 17.05.2009. http://ssrn.com/abstract=1321678.
  • Ewing, B. T.. (2002). Macroeconomic News and the Returns of Financial Companies. Managerial and Decision Economics, 23(8): 439–446.
  • Fama, E. ve Schwert, G. W.. (1977). Asset Returns and Inflation. Journal of Financial Economics, 5 (2): 115 – 146.
  • Fama, E.. (1981). Stock Returns, Real Activity, Inflation and Money. The American Economic Review, 71(4): 545 – 565.
  • Garbade, K. D. ve Silber, W. L.. (1979). Dominant and Satellite Markets: A Study of Dually- Traded Securities. The Review of Economics and Statistics, 61(3): 455 – 460.
  • Gay, R. D. Jr.. (2008). Effect of Macroeconomic Variables On Stock Market Returns For Four Emerging Economies: Brazil, Russia, India and China. International Business and Economics Research Journal, 7(3): 1 – 8.
  • Geske, R. ve Roll, R.. (1983). The Fiscal and Monetary Linkage Between Stock Returns and Inflation. The Journal of Finance, 38(1): 1 – 33.
  • Glezakos, M., Merika, A. ve Kaligosfiris, H.. (2007). Interdependence of Major World Stock Exchanges: How is the Athens Stock Exchange Affected? International Research Journal of Finance and Economics, 7: 24 – 39. http://www.eurojournals.com/IRJFE%20ISSUE%207%20glezakos.pdf
  • Greene, W. H.. (2003). Econometric Analysis. Prentice Hall.
  • Habibullah, M. S. ve Baharumshah, A. Z.. (1996). Money, Output, And Stock Prices In Malaysia: An Application Of The Co–Integratin Tets. International Economic Journal, 10(2): 121 – 130.
  • Hashemzadeh, N. ve Taylor, P.. (1988). Stock Prices, Money Supply, And Interest Rates: The Question of Causality. Applied Economics, 20(12): 1603 - 1611.
  • Hatemi-J, A. ve Irandoust, M.. (2002). On The Causality Between Exchange Rates and the Current Account. American Economic Review, Bulletin of Economic Research, 54 (2): 197 – 203.
  • Ibrahim, M. H. ve Aziz, H.. (2003). Macroeconomic Variable And The Malaysian Equity Market: A View Trough Rolling Subsamples. Journal of Economic Studies, 30(1): 6 – 27.
  • Jaffee, J. F. ve Mandelker, G.. (1976). The Fisher Effect For Risky Assets: An Empirical Investigation. The Journal of Finance, 31(2): 447 – 458.
  • Jeyanthi, B. J. Q. ve Pandian, P.. (2008). An Empirical Study of Cointegration and Correlation Among Indian, Emerging and Developed Markets. The ICFAI Journal of Applied Finance, 14 (11): 35 – 47.
  • Kaul, G. ve Seyhun, H. N. (1990). Relative Price Variability, Real Shocks and The Stock Market. Journal of Finance, 45(2): 479–496.
  • Kaul, G.. (1987). Stock returns And Inflation: The Role of The Monetary Sector. Division of Research School of Business Administration Working Paper, No: 518.
  • Kaynak, M. (2005). Kalkınma İktisadı. Ankara: Gazi Kitabevi.
  • Korkmaz T. ve Ceylan, A.. (2006). Sermaye Piyasası ve Menkul Değer Analizi. Bursa: Ekin Kitabevi.
  • Lee, B.. (1992). Causal relations Among Stock Returns, Interest Rates, Real Activity, and Inflation. The Journal of Finance, 47(4): 1591 – 1603.
  • Majid, M. S. A., Meera, A. K. ve Omar, M. A.. (2008). Interdependence of ASEAN–5 Stock Markets From The US and Japan. Global Economic Review, 37(2): 201–225.
  • Maysami, R. C. ve Koh, T. S.. (2000). A Vector Error Correction Model of the Singapore Stock Market. International Review of Economics and Finance, 9(1): 79 – 96.
  • Maysami, R. C., Howe, L. C. ve Hamzah, M. A.. (2004). Relationship Between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence From Stock Exchange of Singapore's All – S Sector Indices.. Journal Pengurusan, 24: 47 – 77. http://www.ukm.my/penerbit/jurnal_pdf/Jp24- 03.pdf
  • Moosa, I. A.. (1998). An Investigation into The Cyclical Behavior of Output, Money, Stock Prices and Interest Rates. Applied Economic Letters, 5(4): 235 – 238.
  • Mukherjee, T. K. ve Naka, A.. (1995). Dynamic Relations Between Macroeconomic Variables And The Japanese Stock Market: An Application Of A Vector Error Corection Model. The Journal of Financial Research, 18(2): 223 – 237.
  • Muradoglu, G., Taskın, F. ve Bigan, I.. (2000). Causality Between Stock Returns and Macroekonomic Variables in Emerging Markets. Russian and East European Finance and Trade, 36(6), 33 – 53.
  • Mutan, O. C. ve Çanakçı, E.. (2007). Makroekonomik Göstergelerin Hisse Senedi Piyasaları Üzerindeki Etkileri. Sermaye Piyasası Kurulu Araştırma Raporu.
  • Nieh, C. ve Lee, C.. (2001). Dynamic Relationship Between Stock Prices And Exchange Rates For G–7 Countries. The Quarterly Review of Economics And Finance, 41(4): 477 – 490.
  • Özçam, M.. (1997). An Analysis of The Macroeconomic Factors That DetermineSock Returns In Turkey. Ankara: Sermaye Piyasası Kurulu Yayınları.
  • Özgen, F. B.. (1998). Globalleşme Sürecinde Gelişmekte Olan Ülkelerde Finans Piyasaları. Globalleşme Sürecinde Türkiye’ de Finans Piyasalarının Gelişimi, Ege Maliye Bölümleri Araştırma Görevlileri Sempozyumu 26 – 28 Kasım 1998, İzmir, 47 – 79, www.econturk.org.
  • Pazarlıoğlu, M.V. ve Gürler, Ö. K.. (2007). Telekomünikasyon Yatırımları ve Ekonomik Büyüme: Panel Veri Yaklaşımı. Finans Politik & Ekonomik Yorumlar Dergisi, 44 (508): 35 – 43.
  • Rose, P. S. ve Marquis, M. H.. (2006). Money and Capital Markets: Financial Institutions and Instruments in a Global Marketplace. Boston: McGraw-Hill Irwin.
  • Sevindirici, İ. (1999). Azgelişmişliğin Ekonomisi. Ankara: İtalik Kitapları.
  • Siddiqui, S.. (2009). Stock Markets Integration: Examing Linkages Between Selected World Markets. The Journal of Business Perspective, 13(1): 19 – 30.
  • Solnik, B.. (1983). The Relationship Between Stock Prices and Inflationary Expectations: The International Evidence. The Journal of Finance, 37(1): 35 – 48.
  • Tabak, B. M.. (2006). The Dynamic Relationship Between Stock Prices And Exchange Rates: Evidence For Brazil. International Journal of Theoritical and Applied Finance, 9(8): 1377 – 1396.
  • Yalçın, E.. (2005). İkisadi Büyüme ve Dış krediler: Ampirik Bir Çalışma. Ankara: TCMB Dış İlişkiler Genel Müdürlüğü. Uzmanlık Yeterlilik Tezi.
There are 46 citations in total.

Details

Primary Language Turkish
Journal Section Research Article
Authors

Güven Sayılgan This is me

Cemil Süslü

Publication Date June 1, 2011
Published in Issue Year 2011 Volume: 5 Issue: 1

Cite

APA Sayılgan, G., & Süslü, C. (2011). Makroekonomik Faktörlerin Hisse Senedi Getirilerine Etkisi: Türkiye Ve Gelişmekte Olan Piyasalar Üzerine Bir İnceleme. BDDK Bankacılık Ve Finansal Piyasalar Dergisi, 5(1), 73-96.