THE EFFECT OF MACROECONOMIC FACTORS ON ASSET RETURNS: A COMPARATIVE ANALYSIS OF THE GERMAN AND THE TURKISH STOCK MARKETS IN AN APT FRAMEVVORK FAKTÖRLERİN VARLIK GETİRİ ORANLARI ÜZERİNDEKİ ETKİSİ: AFT ÇERÇEVESİNDE ALMAN ve TÜRK SERMAYE PİYASALARININ KARŞILAŞTIRMALI ANALİZİ

This paper uses factor analytic techniques for deriviııg factor realizations from a group of main economic indicators of both the German and the Turkish economy in order to test the effect of macroeconomic factors on asset retunıs in an APT framework. The factor structure of the German economy yields four factors, whereas the Turkish economy has only three factors even though the same economic indicators are employed in the factor analysis and principle compoııents analysis procedures. In order to test the effect of factors on asset returns, factor beta coefficients are estimated. We found some evidence of the unexpected interest rate factor beta coefficient and the unexpected inflation factor beta coefficient haviııg statistically significant effects on asset returns of the German Stock Market. But we were not able to find any uııexpected macroeconomic factor beta with a significant iııfluence on asset returns in the Turkish Stock Market.Bu çalışmada, Alman ve Türk sermaye piyasalarında makroekonomik faktörlerin varlık getiri oranları üzerindeki etkisi Arbitraj Fiyatlama Teorisi çerçevesinde karşılaştırmalı olarak incelenmiş ve test edilmiştir. Söz konusu makroekonomik faktörlerin türetilmesinde faktör analizi teknikleri kullanılmıştır. Her iki ülke için de aynı ekonomik göstergeler asal bileşenler ve maksimum olabilirlik faktör analizlerine tabi tutulduğu halde bu değişkenlerden türetilen faktörlerin sayısı Alman ekonomisi için dört, Türk ekonomisi için ise üç olarak tespit edilmiştir. Bu faktörlerin varlık fiyatları üzerindeki etkilerinin test edilmesi için tahmin edilen faktör betalarından elde edilen sonuçlar ise Alman sermaye piyasasında beklenmeyen faiz oranı ve beklenmeyen enflasyon faktörlerine ait beta katsayılarının varlık getiri oranları üzerinde istatistiksel olarak anlamlı etkilerinin olduğunu göstermektedir. Buna karşın Türk sermaye piyasasında böyle bir etkiye rastlanamamıştır.

Anahtar Kelimeler:

Asset Pricing, Arbitrage Pricing Theory, Capital Asset Pricing Model, Factor Analysis, Principle Compoııents Analysis, Factor Betas, Macroeconomic Factors, Capital Market

THE EFFECT OF MACROECONOMIC FACTORS ON ASSET RETURNS: A COMPARATIVE ANALYSIS OF THE GERMAN AND THE TURKISH STOCK MARKETS IN AN APT FRAMEVVORK

Keywords:

Asset Pricing, Arbitrage Pricing Theory, Capital Asset Pricing Model, Factor Analysis, Principle Compoııents Analysis, Factor Betas, Macroeconomic Factors, Capital Market,

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