Ülke Riskinin Hisse Senedi Fiyatlarına Etkisi: İMKB 100 Endeksi Üzerine Bir Araştırma

Bu çalışmanın amacı ekonomik, politik ve finansal ülke risklerinin hisse senedi fiyatlarına etkisini tespit etmektir. Ülke risk primleri, son dönemlerde çalışmalarda oldukça sık kullanılan ve güvenilirliği kabul edilmiş ICRG (International Country Risk Guide)'den temin edilmiştir. 1986:1-2006:12 dönemini kapsayan bu çalışmada, İMKB 100 endeksi, ekonomik, finansal ve politik risk primi değişkenleri kullanılmıştır. Johansen- Juselius eş-bütünleşme testleri. ekonomik, finansal ve politik risk primleri ile İMKB 100 bileşik endeksi arasında uzun dönemli bir ilişki olduğunu, Granger nedensellik testleri ise ekonomik risk ve politik riskten İMKB 100 endeksine doğru bir nedenselliğin olduğunu göstermektedir. Çalışmada finansal risk ve İMKB 100 bileşik endeksi arasında herhangi bir nedensellik gözlenmemiştir. Yapılan regresyon tahminleri. ekonomik. finansal ve politik risklerin hisse senedi fiyatlarınt olumsuz yönde etkilediğine işaret etmektedir.

The Effect of Country Risk on Stock Prices: An Investigation on ISE 100 Index

The aim of this study is to investigate the effect of economic, financial and politic risks on stock prices. Country risk premiums are provided by ICRG (International Counıry Risk Guide) which are tTUstwonhy and frequeııtly used in the studies in recent years. In the study. covering 1896: 1-2006: 12 period. ISE i00 ındex, economic. financial and politic risk premiums are used. Johansen- Juselius cointegration tests results show that there is a long run relationship between stock prices and economic, financial and politic risk premiums. Granger causality tests show a causality from economic and political risk to ISE 100. Any causality between ISEIOO index and financial risk premium can not be observed in the study. Regression estimation results show that economic. financial and political risks affect stock prices negatively.

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