#YOK
[ X ]
Tarih
2022
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Kırklareli Üniversitesi
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
Bu çalışmanın amacı finansal oranlar ve makroekonomik değişkenlerde meydana gelen artış ve azalışların imalat sanayinde faaliyet gösteren işletmelerin hisse senedi getirileri ve riski üzerinde kısa ve uzun dönem asimetrik etkilerinin varlığını araştırmaktır. Bu amaçla 2005Q1-2019Q4 döneminde BIST'da imalat sanayinde faaliyet gösteren işletmeler analize dahil edilmiştir. Değişkenler arasındaki asimetrik etki Doğrusal Olmayan Gecikmesi Dağıtılmış Otoregresif Model (NARDL) ile incelenmiştir. Çalışma panel veri setinden oluştuğundan Panel NARDL modeli kullanılmıştır. Hisse senedi getirileri ve risk bağımlı değişken olarak kullanılırken, bağımsız değişkenler ise cari oran nakit dönüş süresi, toplam borç oranı, öz sermaye karlılığı ve sanayi üretim endeksidir. Analizden elde edilen sonuçlara göre, imalat sanayi ve imalat sanayinin yedi alt sektöründe faaliyet gösteren işletmelerde, çeşitli finansal oranların ve sanayi üretim endeksinin risk ve getiri üzerinde asimetrik etkilerinin bulunduğu tespit edilmiştir. Anahtar Kelimeler: Getiri, Risk, Asimetrik Etki, Eş –Bütünleşme, NARDL, Panel
The aim of this study is to investigate the short and long-term asymmetric effects of increases and decreases of financial rates and industrial production index on the stock returns and risk of manufacturing companies. Fort his purpose, enterprises operating in the manufacturing industry in BIST in the period 2005Q1-2019Q4 were included in the analysis . In this study, the asymmetrical effects of increases and decreases in the independent variables on the dependent variable were examined using the Nonlinear Delay Distributed Autoregressive Model (NARDL). Since panel data were used in the study, it was analyzed with the Panel NARDL method. While stock returns and risk are used as dependent variables, the independent variables are current ratio, cash conversion cycle, total debt ratio, return on equity and industrial production index. According to the results obtained from the analysis, it has been determined that various financial ratios and industrial production index have asymmetric effects on risk and return in the manufacturing industry and businesses operating in the seven sub-sectors of the manufacturing industry. Key Words: Stock Return, Risk, Asym metrical Effects, Cointegration, NARDL, Panel
The aim of this study is to investigate the short and long-term asymmetric effects of increases and decreases of financial rates and industrial production index on the stock returns and risk of manufacturing companies. Fort his purpose, enterprises operating in the manufacturing industry in BIST in the period 2005Q1-2019Q4 were included in the analysis . In this study, the asymmetrical effects of increases and decreases in the independent variables on the dependent variable were examined using the Nonlinear Delay Distributed Autoregressive Model (NARDL). Since panel data were used in the study, it was analyzed with the Panel NARDL method. While stock returns and risk are used as dependent variables, the independent variables are current ratio, cash conversion cycle, total debt ratio, return on equity and industrial production index. According to the results obtained from the analysis, it has been determined that various financial ratios and industrial production index have asymmetric effects on risk and return in the manufacturing industry and businesses operating in the seven sub-sectors of the manufacturing industry. Key Words: Stock Return, Risk, Asym metrical Effects, Cointegration, NARDL, Panel
Açıklama
Sosyal Bilimler Enstitüsü, Bankacılık ve Finans Ana Bilim Dalı
Anahtar Kelimeler
Bankacılık, Banking, Ekonomi
