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THE EFFECT OF ECONOMIC AND FINANCIAL COUNTRY RISKS ON STOCK PRICES VOLATILITY

Yıl 2020, Sayı: 38, 1 - 16, 31.12.2020

Zekai Şenol Selahattin Koç

Öz



Stock prices which are quoted on
stock exchanges may show volatility for many reasons including economic,
financial, political and social reasons. The volatility in share prices
indicates that there are risks related with shares. These volatilities in share
markets are closely related to stock investors, capital mobility between the markets,
policy makers and who want to improve their capital markets. In this study, 38
country samples were investigated between the period of 1999-2016, which
economic and financial country risk factors affecting the stock price
volatilities. According to the results of the panel data analysis, it was seen
that financial risk factors consisting of debt service / export, exchange rate
stability and external debt / GDP variables and economic risk factors
consisting of inflation and economic growth increased the volatility of share prices.




Anahtar Kelimeler

Volatility Shares Economics and Financial Risks

Kaynakça

  • BATTEN, J. A., CINER, C. and LUCEY, B. M. (2010). The Macroeconomic Determinants of Volatility in Precious Metals Markets, Resources Policy, 35(2). 65-71.
  • BELTRATTI, A., and MORANA, C. (2006). Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility, Journal of Econometrics. 131(1-2), 151-177.
  • BOLLERSLEV, T., ENGLE, R. F. and NELSON, D. B. (1994). ARCH Models, Handbook of Econometrics. 4, 2959-3038.
  • BROOKS, C. (2014). Introductory Econometrics for Finance, 3. Edition, Cambridge Press, U.K.
  • CLARK, E. and KASSİMATİS, K. (2004). Country Financial Risk and Stock Market Performance: The Case of Latin America, Journal of Economics and Business. 56(1), 21-41.
  • CORRADI, V., DISTASO, W. and MELE, A. (2013). Macroeconomic Determinants of Stock Volatility and Volatility Premiums. Journal of Monetary Economics. 60(2), 203-220.
  • DIEBOLD, F. X. and YILMAZ, K. (2008). Macroeconomic Volatility and Stock Market Volatility, Worldwide (No. w14269). National Bureau of Economic Research.
  • HANDAYANI, H., MUHARAM, H., MAWARIİ, W. and ROBİYANTO, R. (2018). Determinants of the Stock Price Volatility in the Indonesian Manufacturing Sector, International Research Journal of Busıness Studies. 11(3), 179-193.
  • HASSAN, M. K., MARONEY, N. C., EL-SADY, H. M. and TELFAH, A. (2003). Country Risk and Stock Market Volatility, Predictability and Diversification in the Middle East and Africa, Economic Systems. 27(1), 63-82.
  • KALOTYCHOU, E. and STAIKOURAS, S. K. (2010). An Overview of the Issue Surrounding Stock Market Volatility, Stock Market Volatility. (Edit. GREGORİOU, G. N.). CRC Press. U.K.
  • KARA, E. and KARABIYIK, L. (2015). The Effect of Country Risk on Stock Prices: an Applıcatıon In Borsa Istanbul, Suleyman Demirel University Journal of Faculty of Economics & Administrative Sciences. 20(1), 225-239.
  • KARALI, B. and RAMIREZ, O. A. (2014). Macro Determinants of Volatility and Volatility Spillover in Energy Markets, Energy Economics. 46, 413-421.
  • LEHKONEN, H. and HEIMONEN, K. (2015). Democracy, Political Risks and Stock Market Performance, Journal of International Money and Finance. 59, 77-99.
  • MUSHTAQ, R., ZIA UR REHMAN, M., ALI SHAH, S. Z. and MURTAZA, G. (2011). The Relationship between Stock Market Volatility and Macroeconomic Volatility: Evidence from Pakistan.
  • OMOROKUNWA, O. G. and IKPONMWOSA, N. (2014). Macroeconomic Variables and Stock Price Volatility in Nigeria, Annals of the University of Petroşani. Economics. 14, 259-268.
  • RABBANI, A. G., GRABLE, J. E., HEO, W., NOBRE, L. and KUZNIAK, S. (2017). Stock Market Volatility and Changes in Financial Risk Tolerance During the Great Recession, Journal of Financial Counseling and Planning. 28(1), 140-154.
  • SADORSKY, P. (2003). The Macroeconomic Determinants of Technology Stock Price Volatility, Review of Financial Economics. 12(2), 191-205.
  • SCHWERT, G. W. (1989). Why Does Stock Market Volatility Change Over Time?, The Journal of Finance. 44(5), 1115-1153.
  • SOLAKOGLU, M. N., DEMIR, N. and ORHAN, M. (2009). Are Macroeconomic Variables Important for the Stock Market Volatility?, Evidence from the Istanbul Stock Exchange. (Edit. Gregoriou, G. N.). USA
  • TASKIN, F. D. and KAPUCUGIL-IKIZ, A. (2013). The Determinants of Volatility of Market Price Returns of US Dollar and Euro Futures Contracts Traded in TurkDEX, Business Management Dynamics. 2(11), 20.
  • ÜN, T. (2015). “Stata ile Panel Veri Analizi”, s. 40-79, Edit. GÜRİŞ, S. Stata ile Panel Veri Modelleri, Der Yayınları, İstanbul.
  • YERDELEN TATOGLU, F. (2013). Panel Veri Ekonometrisi Stata Uygulamalı, Beta Yayıncılık, İstanbul.

EKONOMİK VE FİNANSAL ÜLKE RİSKLERİNİN PAY FİYATLARI OYNAKLIĞINA ETKİSİ

Yıl 2020, Sayı: 38, 1 - 16, 31.12.2020

Zekai Şenol Selahattin Koç

Öz



Borsalarda işlem gören pay senetleri, fiyatları
ekonomik, finansal, politik, sosyal olmak üzere birçok nedenden dolayı
oynaklıklar gösterebilmektedir. Pay fiyatlarında görülen oynaklıklar, paylarla
ilgili risklerin var olduğunu göstermektedir. Pay piyasalarında meydana gelen
bu oynaklıklar, pay senetleri yatırımcılarını, piyasalar arasındaki sermaye
hareketliliğini, ulusal piyasalarını canlandırmak isteyen ekonomi yönetimlerini
ve politika geliştiricileri yakından ilgilendirmektedir. Bu çalışmada,
1999-2016 dönemi ve 38 ülke örnekleminde pay senetleri fiyat oynaklıklarını
etkileyen ekonomik ve finansal ülke risk faktörleri araştırılmıştır. Panel veri
analizi yapılan çalışma sonuçlarına göre, borç servisi/ihracat, döviz kuru
istikrarı ve dış borç/GSYİH değişkenlerinden oluşan finansal risk faktörleri
ile enflasyon ve ekonomik büyümeden oluşan ekonomik risk faktörlerinin, pay
fiyatları oynaklıklarını artırdığı görülmüştür.




Anahtar Kelimeler

Oynaklık Pay Senetleri Ekonomik ve Finansal Riskler

Kaynakça

  • BATTEN, J. A., CINER, C. and LUCEY, B. M. (2010). The Macroeconomic Determinants of Volatility in Precious Metals Markets, Resources Policy, 35(2). 65-71.
  • BELTRATTI, A., and MORANA, C. (2006). Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility, Journal of Econometrics. 131(1-2), 151-177.
  • BOLLERSLEV, T., ENGLE, R. F. and NELSON, D. B. (1994). ARCH Models, Handbook of Econometrics. 4, 2959-3038.
  • BROOKS, C. (2014). Introductory Econometrics for Finance, 3. Edition, Cambridge Press, U.K.
  • CLARK, E. and KASSİMATİS, K. (2004). Country Financial Risk and Stock Market Performance: The Case of Latin America, Journal of Economics and Business. 56(1), 21-41.
  • CORRADI, V., DISTASO, W. and MELE, A. (2013). Macroeconomic Determinants of Stock Volatility and Volatility Premiums. Journal of Monetary Economics. 60(2), 203-220.
  • DIEBOLD, F. X. and YILMAZ, K. (2008). Macroeconomic Volatility and Stock Market Volatility, Worldwide (No. w14269). National Bureau of Economic Research.
  • HANDAYANI, H., MUHARAM, H., MAWARIİ, W. and ROBİYANTO, R. (2018). Determinants of the Stock Price Volatility in the Indonesian Manufacturing Sector, International Research Journal of Busıness Studies. 11(3), 179-193.
  • HASSAN, M. K., MARONEY, N. C., EL-SADY, H. M. and TELFAH, A. (2003). Country Risk and Stock Market Volatility, Predictability and Diversification in the Middle East and Africa, Economic Systems. 27(1), 63-82.
  • KALOTYCHOU, E. and STAIKOURAS, S. K. (2010). An Overview of the Issue Surrounding Stock Market Volatility, Stock Market Volatility. (Edit. GREGORİOU, G. N.). CRC Press. U.K.
  • KARA, E. and KARABIYIK, L. (2015). The Effect of Country Risk on Stock Prices: an Applıcatıon In Borsa Istanbul, Suleyman Demirel University Journal of Faculty of Economics & Administrative Sciences. 20(1), 225-239.
  • KARALI, B. and RAMIREZ, O. A. (2014). Macro Determinants of Volatility and Volatility Spillover in Energy Markets, Energy Economics. 46, 413-421.
  • LEHKONEN, H. and HEIMONEN, K. (2015). Democracy, Political Risks and Stock Market Performance, Journal of International Money and Finance. 59, 77-99.
  • MUSHTAQ, R., ZIA UR REHMAN, M., ALI SHAH, S. Z. and MURTAZA, G. (2011). The Relationship between Stock Market Volatility and Macroeconomic Volatility: Evidence from Pakistan.
  • OMOROKUNWA, O. G. and IKPONMWOSA, N. (2014). Macroeconomic Variables and Stock Price Volatility in Nigeria, Annals of the University of Petroşani. Economics. 14, 259-268.
  • RABBANI, A. G., GRABLE, J. E., HEO, W., NOBRE, L. and KUZNIAK, S. (2017). Stock Market Volatility and Changes in Financial Risk Tolerance During the Great Recession, Journal of Financial Counseling and Planning. 28(1), 140-154.
  • SADORSKY, P. (2003). The Macroeconomic Determinants of Technology Stock Price Volatility, Review of Financial Economics. 12(2), 191-205.
  • SCHWERT, G. W. (1989). Why Does Stock Market Volatility Change Over Time?, The Journal of Finance. 44(5), 1115-1153.
  • SOLAKOGLU, M. N., DEMIR, N. and ORHAN, M. (2009). Are Macroeconomic Variables Important for the Stock Market Volatility?, Evidence from the Istanbul Stock Exchange. (Edit. Gregoriou, G. N.). USA
  • TASKIN, F. D. and KAPUCUGIL-IKIZ, A. (2013). The Determinants of Volatility of Market Price Returns of US Dollar and Euro Futures Contracts Traded in TurkDEX, Business Management Dynamics. 2(11), 20.
  • ÜN, T. (2015). “Stata ile Panel Veri Analizi”, s. 40-79, Edit. GÜRİŞ, S. Stata ile Panel Veri Modelleri, Der Yayınları, İstanbul.
  • YERDELEN TATOGLU, F. (2013). Panel Veri Ekonometrisi Stata Uygulamalı, Beta Yayıncılık, İstanbul.
Toplam 22 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Zekai Şenol 0000-0001-8818-0752

Selahattin Koç 0000-0003-4285-5632

Yayımlanma Tarihi 31 Aralık 2020
Yayımlandığı Sayı Yıl 2020 Sayı: 38

Kaynak Göster

APA Şenol, Z., & Koç, S. (2020). EKONOMİK VE FİNANSAL ÜLKE RİSKLERİNİN PAY FİYATLARI OYNAKLIĞINA ETKİSİ. Süleyman Demirel Üniversitesi Sosyal Bilimler Enstitüsü Dergisi(38), 1-16.
 Kapak Resmi İndir

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