Bıst'de hisse senedi getiri lerini etkileyen faktörlerin belirlenmesi: Statik ve dinamik panel veri analizi

BIST imalat sektöründeki çalışma döneminde devamlılığını sağlayan ve bilgilerine ulaşılabilen 113 firmanın hisse senedi getirilerini etkileyen firma içi ve firma dışı faktörleri 2002:Q1 - 2011:Q3 dönemleri için araştıra n bu çalışmada panel veri analizi kullanılmıştır. Statik ve dinamik panel veri analizi sonuçlarına göre; hisse senedi getirileriyle Asit Test Oranı, Beta, Büyüklük, Brüt Kâr Marjı, Cari Oran, Ekonomik Katma Değer, Entelektüel Katma Değer Katsayısı, Kazanç/ Fiyat, Nakit Akımları, Borç/Özsermaye, Uluslararasılaşma, Döviz Kuru, Faiz Oranı ve Para Arzı değişkenleri arasında anlamlı ilişkiler elde edilirken; Aktif Getiri Oranı, En Büyük Ortağın Payı, Halka Açıklık, Hisse Başı Kar Payı, Tobin Q, Yönetici Sahipliği , Altın Fiyatları, Dış Ticaret Dengesi, Sanayi Üretim Endeksi ve Yabancı Portföy Yatırımları değişkenleriyle hisse senedi getirileri arasında anlamlı ilişkiler bulunamamıştır.

Determination of factors affecting stock returns in bıst: Static and dynamic panel data analysis

BIST ensures the continuity of the manufacturing sector during the study period and 113 firm information accessible within the company and outside factors that affect stock returns, 2002:Q1 - 2011 :Q3 for the period investigated in this study used panel data analysis. According to the results of static and dynamic panel data analysis; While it was obtained significant relationship between Acid Test Ratio, Beta, Size, Gross Profit Margin, Current Rat io, Book Value/Market Value, Economic Value Added, Value Added Intellectual Capital, Earnings/Price, Cash Flow, Debt/Equity, Internationalization, Exchange Rate, Interest Rate and Money Supply variables with stock returns, not found significant relationsh ip with Return on Assets, Share of the Largest Shareholder, Free Float, Dividend Per Share, Tobin’s Q, Manager Ownership, Gold Price, Balance of Trade, Industrial Production Index and Foreign Portfolio Investments variables.

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