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The geography of borsa Istanbul stock returns

Bu çalışma Borsa İstanbul hisse senedi piyasasında (BIST) işlem gören şirketlerin aylıkgetirileri ile bu şirketlerin coğrafi konumları arasındaki ilişkiyi analiz eder. İncelenen dönem Ocak2005 ile Eylül 2011 tarihleri arasındaki dönemdir. İncelenen şirketler aynı zamanda BIST şehirendeksleri içerisinde yer alan şirketlerdir. Pirinsky ve Wang (2006) tarafından kullanılan yöntemanaliz yöntemi olarak seçilmiştir ve benzer sonuçlar bulunmuştur. Aynı coğrafi bölgede yer alanşirketlerin getirileri arasında ortak yönlü bir hareket söz konusudur. Hisse senetlerinin getirileriarasındaki bu ortak yönlü hareket finansal uzmanlık ve yabancı yatırımcılar ile açıklanmayaçalışılmıştır. Analizlere dahil şehirler için, ilgili şehirdeki hisse senedi yatırımcısının şehir nüfusunaoranı arttıkça ortak hareket artmıştır. Benzer şekilde hisse senedi kurumsal yatırımcı sayısının şehirnüfusuna oranı arttıkça da artış izlenmiştir. İstatistiksel olarak anlamlı sonuçlar bulunmamışolmasına rağmen, ilgili hisse senedinde yabancı yatırımcı sayısının toplam yatırımcı sayısına oranıarttıkça getiriler arasındaki ortak hareket azalmıştır. Analiz sonuçları literatür ile tutarlıdır. İMKBiçin şirketlerin coğrafi konumları hisse senedi getirilerini belirleyen bir etkendir.

Borsa İstanbul hisse senedi getirilerinin coğrafyası

This paper examines the relationship between firm location and monthly return correlations ofBorsa Istanbul s stocks during the period between January 2005 and September 2011. These firms arealso included in Borsa Istanbul (BIST) City Indices. Following Pirinsky and Wang (2006) model, wefind similar results which show that stock returns of firms show a strong degree of co-movement withstock returns of other firms located in the same city. In our analysis, we also try to explain localcomovement with financial sophistication and foreign investors. As the ratio of equity investors topopulation for city increases, local comovement also increases. Similarly, as the ratio of institutionalequity investors to total equity investors for city increases, local comovement also increases. Althoughinsignificant, when the ratio of foreign equity investors to total equity investors for each stockincreases local comovement decreases. Our results are consistent with prior literature. Location is animportant determinant of stock returns for BIST and this information is important for portfoliodiversification.
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Muhasebe ve Finansman Dergisi-Cover
  • ISSN: 2146-3042
  • Yayın Aralığı: 4
  • Başlangıç: 2005
  • Yayıncı: Muhasebe ve Finansman Öğretim Üyeleri Derneği (MUFAD)
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The geography of borsa Istanbul stock returns

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