ÜLKE KREDİ RİSK DÜZEYİ, PETROL FİYATLARI VE TEMEL MAKROEKONOMİK GÖSTERGELERİN HİSSE SENEDİ GETİRİLERİNE ETKİSİ: BIST 100 ÖRNEĞİ

Ülke içindeki temel makroekonomik göstergelerin yanında ülkenin kredi risk düzeyini gösteren Kredi Temerrüt takasları (CDS) ve petrol fiyatlarının da hisse senedi getirileri üzerinde ne yönlü bir etkiye sahip oldukları önemli bir araştırma konusudur. Bu araştırmada CDS primleri, petrol fiyatlarının ve seçilmiş makroekonomik değişkenlerin Borsa İstanbul 100 endeksi (BIST100) üzerindeki etkileri incelenmeye çalışılmıştır. Bu amaç doğrultusunda 2006:01 ve 2015:09 aylık dönemli ARDL sınır testi yaklaşımı ile test edilmiştir. Araştırma sonuçlarına göre uzun dönemde CDS primleri, petrol fiyatları, enflasyon oranı, reel faiz oranları, parasal genişleme ve iktisadi büyümenin BIST100 endeksi üzerinde anlamlı etkileri vardır. Uzun dönemde efektif döviz kurundaki değişimlerin ise BIST100 endeksi üzerinde anlamlı herhangi bir etkisi yoktur.

Country Credit Risk Level, Oil Prices and the Main Macroeconomic Indicators Effect to Stock Returns: Sample of BIST 100

In addition to the main macroeconomic indicators in the country, it is also an important research issue that Credit Default Swaps (CDS), which shows the credit risk level of the country, and oil prices have an influence on stock returns. In this paper, the effects of CDS spreads, oil prices and selected macroeconomic variables on the Istanbul Stock Exchange Index (BIST100) were tried to be analysed. For this purpose, it was tested with the cyclical ARDL bound testing approach of 2006: 01 and 2015: 09 months. According to the results of the research, long term CDS spreads, oil prices, inflation rate, real interest rates and monetary expansion have significant effects on BIST100 index of economic growth. Long term effective exchange rate changes have no effect on the BIST100 index

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