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TÜRKİYE’DE İMALAT SEKTÖRÜNDEKİ ŞİRKETLERİN HİSSE SENEDİ GETİRİLERİNİ ETKİLEYEN MAKROEKONOMİK FAKTÖRLER: COVİD-19 PANDEMİ DÖNEMİ

Yıl 2024, Cilt: 26 Sayı: 1, 126 - 138, 15.03.2024
https://doi.org/10.16953/deusosbil.1359297

Öz

Bu çalışma Borsa Istanbul (BIST) bünyesinde işlem gören imalat sektöründe yer alan şirketlerin hisse senedi getirileri üzerindeki döviz kurunun, tüketici güveninin ve petrol fiyatlarının etkilerini Covid-19 pandemi dönemi ve sonrası (Mart 2020 – Eylül 2022) için araştırmaktadır. İmalat sektöründeki firmalar, BIST hisse senedi piyasasının büyük bir bölümünü oluşturduğu için bu şirketlerin kompozit endeksi olan BISTSINAI endeksi bağımlı değişken olarak seçilmiştir. Gecikmesi dağıtılmış otoregresif (autoregressive distributed lag - ARDL) sınır testi yönteminin aylık zaman serilerine uygulanması ile değişkenler arasında eşbütünleşme ilişkisi tespit edilmiştir. Ampirik bulgular aynı zamanda uzun dönemde petrol fiyatlarının hisse senedi getirileri üzerinde en çok etkiyi yapan değişken olduğuna işaret etmektedir. İmalat sektöründe petrolün en önemli üretim girdilerinden biri olduğu göz önüne alındığında, petrol fiyatlarında oluşan artış dolayısıyla üretim maliyetlerinde meydana gelen artışın hisse senedi fiyatlarını olumsuz yönde etkilemesi kaçınılmaz olmaktadır. Diğer taraftan, bu sektörün hisse senedi getirileri üzerinde döviz kurunun ve tüketici güveninin uzun dönemli ve istatistiksel olarak anlamlı etkileri bulunamamıştır.

Kaynakça

  • Alhayki, Z. J. (2014). The Dynamic Co-Movements between Oil and Stock Market Returns in: The Case of GCC Countries. Journal of Applied Finance & Banking, 4 (3), 103 -113.
  • Aydemir, O. & Demirhan, E. (2009). The Relationship between Stock Prices and Exchange Rates Evidence from Turkey. International Research Journal of Finance and Economics, 23, 207-215.
  • Basher, S. A. & Sadorsky, P. (2006). Oil price risk and emerging stock markets. Global Finance Journal, 17, 224–251.
  • Bildirici, M. E. & Badur, M. M. (2009). The effects of oil and gasoline prices on confidence and stock return of the energy companies for Turkey and the US. Energy, 173, 1234 – 1241.
  • Boyer, M. M. & Filion, D. (2007). Common and fundamental factors in stock returns of Canadian oil and gas companies. Energy Economics, 29 (3), 428 – 453.
  • Cagli, E. C. (2019). The Causality Between Consumer Confidence Index and Stock Returns: Evidence from Recursive Evolving Granger Causality Test. Journal of Yasar University, 2019, 14 (Special Issue), 164-172.
  • Çakmur Yıldırtan, D. & Salihoğlu, E. (2021). Döviz Kurunun Finans Sektörü Hisse Senedi Getirileri Üzerindeki Etkisi. Uluslararası Ekonomi İşletme Ve Politika Dergisi, 5 (2), 309-328.
  • Celik, S., Arslanoglu, E. & Deniz, P. (2010). The Relationship between Consumer Confidence and Financial Market Variables in Turkey during the Global Crisis. 30th Annual Meeting of The Middle East Economic Association, Allied Social Science Associations, Atlanta, GA, January 3-6, 2010.
  • Çütçü, İ. & Dineri, E. (2021). The Effect of the Pandemic on Exchange Rates: An Application on Turkey. International Journal of Economics, Politics, Humanities & Social Sciences, 4 (4), 183-193.
  • Dickey, D.A. ve Fuller, W.A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Society, 75, 427–431.
  • Elmassah, S., Bacheer, S. & Hassanein, E. (2022). US Consumers’ Confidence and Responses to Covid-19 Shock. Review of Economics and Political Science. DOI 10.1108/REPS-10-2021-0098.
  • Esen, E., Yıldırım, S. & Kostakoglu, S. F. (2012). Feldstein-Horioka Hipotezinin Türkiye Ekonomisi İçin Sınanması: ARDL Modeli Uygulaması. Eskişehir Osmangazi Üniversitesi İİBF Dergisi, Nisan 2012, 7 (1), 251-267.
  • Eyüboğlu, S. & Eyüboğlu, K. (2018). Tüketici Güven Endeksi ile Borsa İstanbul Sektör Endeksleri Arasındaki İlişkinin Araştırılması. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 33 (1), 235-259.
  • Gormus, S. & Gunes, S. (2010). Consumer Confidence, Stock Prices and Exchange Rates: The Case of Turkey. Applied Econometrics and International Development, 10 (2), 103-114.
  • Gökalp, B. T. (2019). Hisse Senedi Getirileri ile Tüketici Güven Endeksi Arasındaki İlişki: Diyagonal Vech Modeli Üzerinden Bir Değerlendirme. Journal of Research in Economics, Politics & Finance, 2019, 4 (1): 139-150.
  • Harjoto, M.A., Rossi, F., Lee, R. & Sergi, B. S. (2021). How do equity markets react to COVID-19? Evidence from emerging and developed countries. Journal of Economics and Business, 115 (2021), 105966.
  • Ibrahim, M. H. & Aziz, H. (2003). Macroeconomic variables and the Malaysian equity market: A view through rolling subsamples. Journal of Economic Studies, 30 (1), 6-27.
  • Jones, C. M. & Kaul, G. (1996). Oil and the stock markets. Journal of Finance, 51, 463−491.
  • Kale, S. & Akkaya, M. (2016). The Relation between Confidence Climate and Stock Returns: The Case of Turkey. Procedia Economics and Finance 38, 150 – 162.
  • Kamaruddin, R. & Jusoff, K. (2009). An ARDL Approach in Food and Beverages Industry Growth Process in Malaysia. International Business Research, 2 (3), 98-107.
  • Kandir, S. Y. (2008). Macroeconomic Variables, Firm Characteristics and Stock Returns: Evidence from Turkey. International Research Journal of Finance and Economics, 16, 35-45.
  • Kwon, C.S. & Shin, T.S. (1999). Cointegration and causality between macroeconomic variables and stock market returns. Global Finance Journal, 10 (1), 71–81.
  • Liu, L. & Wan, J. (2012). The relationships between Shanghai stock market and CNY/USD exchange rate: New evidence based on cross-correlation analysis, structural cointegration and nonlinear causality test. Structural Cointegration and Nonlinear Causality Test, Physica A, 391, 6051–6059.
  • Maysami, R.C. & Koh, T.S. (2000). A vector error correction model of the Singapore stock market. International Review of Economics and Finance, 9, 79–96.
  • Miller, J. I. & Ratti, R. A. (2009). Crude oil and stock markets: Stability, instability, and bubbles. Energy Economics, 31, (2009), 559–568.
  • Nandha, M. & Faff, R. (2008). Does Oil Move Equity Prices?. Energy Economics, 30 (2008), 986-997.
  • Narayan, P. K. (2020). Oil price news and COVID-19—Is there any connection? Energy Research Letters, 1 (1), 1-5.
  • Pesaran, M.H., and Pesaran, B. (2009). Time Series Econometrics Using Microfit 5.0. New York: Oxford University Press.
  • Pesaran, M.H., Shin, Y. and Smith, R.J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16 (3), 289–326.
  • Phillips, P.C.B. ve Perron, P. (1988). Testing for a unit root in time series regressions. Biometrica, 75, 335–346.
  • Phylaktis, K. & Ravazzolo, F. (2005). Stock prices and exchange rate dynamics. Journal International Money and Finance, 24 (7), 1031-1053.
  • Sari, R., Uzunkaya, M. & Hammoudeh, S. (2013). The Relationship Between Disaggregated Country Risk Ratings and Stock Market Movements: An ARDL Approach. Emerging Markets Finance and Trade, 49 (1), 4-16.
  • Suriani, S. Kumar, M.D., Jamil, F. & Muneer, S. C. (2015). Impact of Exchange Rate on Stock Market. International Journal of Economics and Financial Issues, 5(Special Issue), 385-388.
  • Wei, Y. & Guo, X. (2017). Oil price shocks and China's stock market. Energy, 140 (2017), 185-197.
  • Zeren, F. & Koç, M. (2016). Time varying causality between stock market and exchange rate: Evidence from Turkey, Japan and England. Economic Research Ekonomska Istraživanja, 29 (1), 696-705.

THE MACROECONOMIC DETERMINANTS OF THE STOCK MARKET RETURNS OF TURKISH MANUFACTURING FIRMS: THE COVID-19 PANDEMIC PERIOD

Yıl 2024, Cilt: 26 Sayı: 1, 126 - 138, 15.03.2024
https://doi.org/10.16953/deusosbil.1359297

Öz

This study explores the impacts of the exchange rate, consumer confidence, oil prices on the stock returns of the Borsa Istanbul (BIST) manufacturing firms for the timeline aftermath of the Covid-19 pandemic (March 2020 – September 2022). As the manufacturing companies comprise the majority of the stock market of the BIST, the composite index of these industrial companies (XUSIN) is selected as the response variable. Implementing the autoregressive distributed lag (ARDL) bounds-testing methodology on the monthly time series data, the cointegration existence is detected among the series. The empirical results also show that oil price is the most significant determinant among these variables affecting manufacturing companies’ returns for the long-run. When considering oil as a vital production input in industries, the decreases in stock prices resulting from oil price rises (i.e. increases in production costs) are inevitable. However, the significant long-run effects of exchange rates and the consumer confidence index on stock returns of this industry cannot be detected for the Covid-19 period.

Kaynakça

  • Alhayki, Z. J. (2014). The Dynamic Co-Movements between Oil and Stock Market Returns in: The Case of GCC Countries. Journal of Applied Finance & Banking, 4 (3), 103 -113.
  • Aydemir, O. & Demirhan, E. (2009). The Relationship between Stock Prices and Exchange Rates Evidence from Turkey. International Research Journal of Finance and Economics, 23, 207-215.
  • Basher, S. A. & Sadorsky, P. (2006). Oil price risk and emerging stock markets. Global Finance Journal, 17, 224–251.
  • Bildirici, M. E. & Badur, M. M. (2009). The effects of oil and gasoline prices on confidence and stock return of the energy companies for Turkey and the US. Energy, 173, 1234 – 1241.
  • Boyer, M. M. & Filion, D. (2007). Common and fundamental factors in stock returns of Canadian oil and gas companies. Energy Economics, 29 (3), 428 – 453.
  • Cagli, E. C. (2019). The Causality Between Consumer Confidence Index and Stock Returns: Evidence from Recursive Evolving Granger Causality Test. Journal of Yasar University, 2019, 14 (Special Issue), 164-172.
  • Çakmur Yıldırtan, D. & Salihoğlu, E. (2021). Döviz Kurunun Finans Sektörü Hisse Senedi Getirileri Üzerindeki Etkisi. Uluslararası Ekonomi İşletme Ve Politika Dergisi, 5 (2), 309-328.
  • Celik, S., Arslanoglu, E. & Deniz, P. (2010). The Relationship between Consumer Confidence and Financial Market Variables in Turkey during the Global Crisis. 30th Annual Meeting of The Middle East Economic Association, Allied Social Science Associations, Atlanta, GA, January 3-6, 2010.
  • Çütçü, İ. & Dineri, E. (2021). The Effect of the Pandemic on Exchange Rates: An Application on Turkey. International Journal of Economics, Politics, Humanities & Social Sciences, 4 (4), 183-193.
  • Dickey, D.A. ve Fuller, W.A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Society, 75, 427–431.
  • Elmassah, S., Bacheer, S. & Hassanein, E. (2022). US Consumers’ Confidence and Responses to Covid-19 Shock. Review of Economics and Political Science. DOI 10.1108/REPS-10-2021-0098.
  • Esen, E., Yıldırım, S. & Kostakoglu, S. F. (2012). Feldstein-Horioka Hipotezinin Türkiye Ekonomisi İçin Sınanması: ARDL Modeli Uygulaması. Eskişehir Osmangazi Üniversitesi İİBF Dergisi, Nisan 2012, 7 (1), 251-267.
  • Eyüboğlu, S. & Eyüboğlu, K. (2018). Tüketici Güven Endeksi ile Borsa İstanbul Sektör Endeksleri Arasındaki İlişkinin Araştırılması. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 33 (1), 235-259.
  • Gormus, S. & Gunes, S. (2010). Consumer Confidence, Stock Prices and Exchange Rates: The Case of Turkey. Applied Econometrics and International Development, 10 (2), 103-114.
  • Gökalp, B. T. (2019). Hisse Senedi Getirileri ile Tüketici Güven Endeksi Arasındaki İlişki: Diyagonal Vech Modeli Üzerinden Bir Değerlendirme. Journal of Research in Economics, Politics & Finance, 2019, 4 (1): 139-150.
  • Harjoto, M.A., Rossi, F., Lee, R. & Sergi, B. S. (2021). How do equity markets react to COVID-19? Evidence from emerging and developed countries. Journal of Economics and Business, 115 (2021), 105966.
  • Ibrahim, M. H. & Aziz, H. (2003). Macroeconomic variables and the Malaysian equity market: A view through rolling subsamples. Journal of Economic Studies, 30 (1), 6-27.
  • Jones, C. M. & Kaul, G. (1996). Oil and the stock markets. Journal of Finance, 51, 463−491.
  • Kale, S. & Akkaya, M. (2016). The Relation between Confidence Climate and Stock Returns: The Case of Turkey. Procedia Economics and Finance 38, 150 – 162.
  • Kamaruddin, R. & Jusoff, K. (2009). An ARDL Approach in Food and Beverages Industry Growth Process in Malaysia. International Business Research, 2 (3), 98-107.
  • Kandir, S. Y. (2008). Macroeconomic Variables, Firm Characteristics and Stock Returns: Evidence from Turkey. International Research Journal of Finance and Economics, 16, 35-45.
  • Kwon, C.S. & Shin, T.S. (1999). Cointegration and causality between macroeconomic variables and stock market returns. Global Finance Journal, 10 (1), 71–81.
  • Liu, L. & Wan, J. (2012). The relationships between Shanghai stock market and CNY/USD exchange rate: New evidence based on cross-correlation analysis, structural cointegration and nonlinear causality test. Structural Cointegration and Nonlinear Causality Test, Physica A, 391, 6051–6059.
  • Maysami, R.C. & Koh, T.S. (2000). A vector error correction model of the Singapore stock market. International Review of Economics and Finance, 9, 79–96.
  • Miller, J. I. & Ratti, R. A. (2009). Crude oil and stock markets: Stability, instability, and bubbles. Energy Economics, 31, (2009), 559–568.
  • Nandha, M. & Faff, R. (2008). Does Oil Move Equity Prices?. Energy Economics, 30 (2008), 986-997.
  • Narayan, P. K. (2020). Oil price news and COVID-19—Is there any connection? Energy Research Letters, 1 (1), 1-5.
  • Pesaran, M.H., and Pesaran, B. (2009). Time Series Econometrics Using Microfit 5.0. New York: Oxford University Press.
  • Pesaran, M.H., Shin, Y. and Smith, R.J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16 (3), 289–326.
  • Phillips, P.C.B. ve Perron, P. (1988). Testing for a unit root in time series regressions. Biometrica, 75, 335–346.
  • Phylaktis, K. & Ravazzolo, F. (2005). Stock prices and exchange rate dynamics. Journal International Money and Finance, 24 (7), 1031-1053.
  • Sari, R., Uzunkaya, M. & Hammoudeh, S. (2013). The Relationship Between Disaggregated Country Risk Ratings and Stock Market Movements: An ARDL Approach. Emerging Markets Finance and Trade, 49 (1), 4-16.
  • Suriani, S. Kumar, M.D., Jamil, F. & Muneer, S. C. (2015). Impact of Exchange Rate on Stock Market. International Journal of Economics and Financial Issues, 5(Special Issue), 385-388.
  • Wei, Y. & Guo, X. (2017). Oil price shocks and China's stock market. Energy, 140 (2017), 185-197.
  • Zeren, F. & Koç, M. (2016). Time varying causality between stock market and exchange rate: Evidence from Turkey, Japan and England. Economic Research Ekonomska Istraživanja, 29 (1), 696-705.
Toplam 35 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Makro İktisat (Diğer)
Bölüm Makaleler
Yazarlar

Bilge Canbaloğlu 0000-0001-6352-0079

Yayımlanma Tarihi 15 Mart 2024
Gönderilme Tarihi 12 Eylül 2023
Yayımlandığı Sayı Yıl 2024 Cilt: 26 Sayı: 1

Kaynak Göster

APA Canbaloğlu, B. (2024). THE MACROECONOMIC DETERMINANTS OF THE STOCK MARKET RETURNS OF TURKISH MANUFACTURING FIRMS: THE COVID-19 PANDEMIC PERIOD. Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 26(1), 126-138. https://doi.org/10.16953/deusosbil.1359297