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Journals / Sosyoekonomi / 2019 / Cilt: 27 - Sayı: 41

The Influence of Institutional Quality and Financial Risk on Stock Market Index: An Empirical Study for Turkey

Kurumsal Kalite ve Finansal Riskin Menkul Kıymetler Borsası Üzerine Etkisi: Türkiye İçin Ampirik Bir İnceleme

Yüksel İLTAŞ
Gülbahar ÜÇLER
Pages
113–128
Publication Date
2019-07-31
DOI
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Long run parameters estimated by DOLS methodology indicate that there exists a long-term negative relationship between institutional quality index and BIST 100 and BIST Industrial Indexes, while a positive relationship between financial risk level and BIST 100 and BIST Industrial Indexes.

📌 3 Key Takeaways

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Objective & Hypothesis:This paper aims to analyze the -possible- effects of institutional quality and (financial) risk level on BIST 100, BIST Industrial and BIST Financial Indexes via Carrioni-Silvestre (2009) multiple structural breaks unit root test, Maki (2012) multiple structural breaks co-integration test and Dynamic Ordinary Least Squares (DOLS) methodology.
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Key Findings & Data:The empirical findings of Maki (2012) test indicate that all indexes except BIST Financial Index and explanatory variables show co-integration relationship in the long term.
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Conclusion & Impact:Long run parameters estimated by DOLS methodology indicate that there exists a long-term negative relationship between institutional quality index and BIST 100 and BIST Industrial Indexes, while a positive relationship between financial risk level and BIST 100 and BIST Industrial Indexes.
🔬Design:Modeling & Simulation
📍Scope:2009 Verileri
⚙️Variables:Kurumsal Kalite · Çoklu Yapısal Kırılmalı Birim Kök ve Eş-Bütünleşme Testleri · Borsa İstanbul

Abstract

This paper aims to analyze the -possible- effects of institutional quality and (financial) risk level on BIST 100, BIST Industrial and BIST Financial Indexes via Carrioni-Silvestre (2009) multiple structural breaks unit root test, Maki (2012) multiple structural breaks co-integration test and Dynamic Ordinary Least Squares (DOLS) methodology. In the research model of the study, institutional structure is proxied by an institutional quality index derived from data related to bureaucratic quality, corruption, democratic accountability, ethnic tension, external conflict, government stability, internal conflict, political risk, law and order, and investment profile obtained from International County Risk Guide (ICRG). High values in institutional quality index represent weak institutional structure while low values represent high institutional structure. The high financial risk ratio represents a strong financial structure. The empirical findings of Maki (2012) test indicate that all indexes except BIST Financial Index and explanatory variables show co-integration relationship in the long term. Long run parameters estimated by DOLS methodology indicate that there exists a long-term negative relationship between institutional quality index and BIST 100 and BIST Industrial Indexes, while a positive relationship between financial risk level and BIST 100 and BIST Industrial Indexes.

Özet

Bu çalışmada, 1991:01-2014:12 dönemi için; Türkiye’de kurumsal kalite ve finansal risk düzeyinin BİST 100 Endeksi, BİST Sınai Endeksi ve BİST Mali Endeksi üzerindeki etkisi Carrioni-Silvestre vd. (2009) çoklu yapısal kırılmalı birim kök testi, Maki (2012) çoklu yapısal kırılmalı eş-bütünleşme testi ve dinamik en küçük kareler (DOLS) yöntemi ile araştırılmıştır. Çalışmada kurumsal yapıyı temsilen Uluslararası Ülke Risk Rehberi (ICRG) tarafından yayınlanan bürokratik kalite, yolsuzluk, demokratik hesap verilebilirlik, etnik gerginlik, dış çatışma, hükümet istikrarı, iç çatışma, politik risk, kanun ve düzen ile yatırım profili ölçütleri kullanılarak temel bileşenler analizi yöntemi ile kurumsal kalite endeksi oluşturulmuştur. Kurumsal kalite endeksinde yüksek değerler düşük kurumsal yapıyı, düşük değerler ise yüksek kurumsal yapıyı temsil etmektedir. Yüksek finansal risk rasyosu ise güçlü finansal yapıyı simgelemektedir. Analiz sonucunda, BİST Mali Endeksi hariç BİST 100 ve BİST Sınai Endeksleri ile açıklayıcı değişkenlerin uzun dönemde birlikte hareket ettiğini bulgusuna ulaşılmıştır. DOLS modellerinin uzun dönem katsayı tahmin sonuçları ise kurumsal kalite endeksi ile BIST 100 ve BIST Sınai Endeksleri arasında uzun dönemde negatif ve %99 önem düzeyinde istatistiksel olarak anlamlı ilişkilerin varlığını ortaya koymaktadır. Çalışmanın bir diğer önemli bulgusu ise finansal risk düzeyinin BİST 100 Endeksi ve BİST Sınai Endeksi üzerindeki pozitif yönlü etkisidir.

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Cite This Article

İLTAŞ, Y., ÜÇLER, G. (2019). The Influence of Institutional Quality and Financial Risk on Stock Market Index: An Empirical Study for Turkey. Sosyoekonomi, Cilt: 27 - Sayı: 41, 113–128. https://ajindex.com/articles/139778

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