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ÜLKE KREDİ TEMERRÜT TAKASI PRİMLERİNİN FİRMALARIN TEMETTÜ POLİTİKALARINA ETKİSİNİN PANEL VERİ ANALİZİ YÖNTEMİ İLE ARAŞTIRILMASI: BIST TEMETTÜ 25 ENDEKSİNDE AMPİRİK BİR UYGULAMA

Year 2024, Issue: 69, 171 - 178, 30.12.2024

Ali Necmettin Can , Melek Acar

https://doi.org/10.18070/erciyesiibd.1503549

Abstract

Son yıllarda, kredi temerrüt takasları ekonominin ana faktörlerinden biri haline gelmiştir. Araştırma ve yayın etiğine uyularak hazırlanan bu çalışmada, ülke kredi temerrüt takası primlerinin şirketler için hayati önem taşıyan temettü politikaları üzerindeki etkisini panel veri analizi yöntemini kullanarak araştırılmaktadır. Araştırmaya 2010-2022 döneminde BİST Temettü 25 Endeksinde yer alan şirketler dahil edilmiştir. Ana hipotezin değerlendirilebilmesi için söz konusu firmaların 2010 - 2022 yılı arasındaki yıllık temettü verileri ile Türkiye’nin beş yıllık kredi temerrüt takası prim verileri dikkate alınmıştır. Ayrıca, şirketlerin temettü dağıtım politikalarını etkilemesi beklenen; öz kaynak kârlılığı, aktif kârlılığı, yatırım fırsatları, firma büyüklüğü, firma borçluluğu, enflasyon oranı, döviz kuru ve GSYİH’deki büyüme oranı da araştırmaya dâhil edilmiştir. Çalışmada yatay kesit bağımlılığı Pesaran’s CD, Breusch-Pagan ve Breusch-Pagan scaled testleri ile serilerin durağanlığı ise, CADF birim kök testi kullanılarak değerlendirilmiştir. Otokorelasyon varsayımının sınanması için Breusch-Godfrey/Wooldridge ve Durbin-Watson testleri, değişen varyans varsayımının testi için ise, Studentized Breusch-Pagan testi kullanılmıştır. Sonuç olarak beklendiği gibi, kredi temerrüt takasları ile hisse senetleri Borsa İstanbul'da işlem gören şirketlerin temettü politikaları arasında negatif yönlü bir ilişki bulunmuştur.

Keywords

CDS BİST temettü.

References

  • Akkaya, M. (2017). Türk tahvillerinin CDS primlerini etkileyen içsel faktörlerin analizi, Maliye Finans Yazıları, 107, 129-146.
  • Bukhari, Y. (2020). Kredi temerrüt takasları ve borsa endeksi ilişkisi: Türkiye piyasası üzerine bir çalışma (Yüksek lisans tezi). Recep Tayyip Erdoğan Üniversitesi Sosyal Bilimler Enstitüsü, Rize.
  • Cont, R. (2010). Credit default swaps and financial stability, Financial Stability Review, 14, 35-43.
  • Çakırcalı, P. (2017). Kredi temerrüt swapı kuram ve uygulamaları: Türkiye’nin ülke kredi temerrüt swapı primlerindeki değişikliklerin analizi (Yüksek lisans tezi). Başkent Üniversitesi Sosyal Bilimler Enstitüsü, Ankara.
  • Çalışkan, Ö. V. (2002). Kredi derecelendirme kuruluşları ve risk değerlendirme kriterleri, Gazi Üniversitesi İ.İ.B.F. Dergisi, 4(1), 53-66.
  • DBR (Deutsche Bank Research) (2009). Credit default swaps - heading towards a more stable system, Deutsche Bank Research, 1(1), 1-28.
  • DeAngelo, H., DeAngelo, L. ve Skinner, D. J., (2004). Are dividends disappearing? Dividend concentration and the consolidation of earnings, Journal of Financial Economics, 72, 425–456.
  • DeAngelo, H. ve DeAngelo, L. (2006). The irrelevance of the mm dividend irrelevance theorem, Journal of Financial Economics, 79, 293–316.
  • Denis, J. D. ve Osobov, I. (2008). Why do firms pay dividends? International evidence on the determinants of dividend policy, Journal of Financial Economics, 89, 62– 82.
  • Deniz, D. (2019). Temettü dağıtımlarının sinyalizasyon etkisi: BİST uygulaması (Doktora tezi). Balıkesir Üniversitesi Sosyal Bilimler Enstitüsü, Balıkesir.
  • Domler, F. (2013). A critical evaluation of the european credit default swap reform: Its challenges and adverse effects as a result of insufficient assumptions, Journal of Banking Regulation, 14, 33-60.
  • Dooley, M. P. ve Hutchinson, M. M. (2009). Transmission of the U.S. subprime crisis to emerging markets: Evidence on the decoupling-recoupling hypothesis, National Bureau of Economic Research, Working Paper No. 15120, 1-32.
  • Duffee, G. R. (1996). On measuring credit risks of derivative instruments, Journal of Banking and Finance, 20(5), 805-833.
  • Eren, M. (2014). Makroekonomik faktörler ve kredi temerrüt takaslarının Bist-100 endeksi üzerindeki etkisi (Yüksek lisans tezi). Atatürk Üniversitesi Sosyal Bilimler Enstitüsü, Erzurum.
  • Fama, E. F. ve French, K. R. (2001). Disappearing dividends: Changing firm characteristics or lower propensity to pay?, Journal of Financial Economics, 60(1), 3-43.
  • Gefang, D., Koop, G. ve Potter, S. M. (2010). Understanding liquidity and credit risks in the financial crisis, Journal of Empirical Finance, 18(5). 903-914.
  • Gün, M., Kutlu, M. ve Karamustafa, O. (2016). Gezi Parkı olaylarının Türkiye kredi temerrüt swapları (CDS) üzerine etkisi, İşletme Araştırmaları Dergisi, 8(1), 556-575.
  • Hancı, G. (2014). Kredi temerrüt takasları ve BİST 100 arasındaki ilişkinin incelenmesi, Maliye ve Finans Yazıları, 102, 9-22.
  • İskenderoğlu, Ö. ve Balat, A. (2018). Ülke kredi notlarının CDS primleri üzerindeki etkisi: BRICS ülkeleri ve Türkiye üzerine bir uygulama, BDDK Bankacılık ve Finansal Piyasalar, 12(2), 47-64.
  • Jensen, M., (1986). Agency costs of free cash flow, corporate finance, and takeovers, American Economic Review, 76, 323–329.
  • Kaplanoğlu, E. (2005). Temettü politikası teorileri ve İMKB’de ampirik bir çalışma (Yüksek lisans tezi). Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü, Denizli.
  • Longstaff, F. A., Arora, N. ve Gandhi, P. (2012). Counterparty credit risk and the credit default swap market, Journal of Financial Economics, 103(2), 280-293.
  • Modigliani, F. ve Miller, M. H. (1958). The cost of capital, corporation finance and the theory of investment, The American Economic Rreview, 48(3), 261-297.
  • Ovalı, M., Kocabıyık, T. ve Geyikçi, U. B. (2020). Kredi derecelendirmenin borsa endeksleri üzerindeki etkileri: T-BRICS ülkeleri üzerine bir araştırma, Yönetim ve Ekonomi Dergisi, 27(2), 309-335.
  • Skinner, F. ve Townend, T. G. (2002). An empirical analysis of credit default swaps, International Review of Financial Analysis, 11, 297-309.
  • Seyhan, M. (2023). Firmalarda nakit kâr payı dağıtım politikalarını etkileyen mikro ve makro faktörler: BİST imalat sanayi firmaları üzerine panel veri uygulaması (Doktora tezi). Harran Üniversitesi Sosyal Bilimler Enstitüsü, Şanlıurfa.
  • Şengönül, B. (2013). Factors affecting dividend policies of Turkish banks (Doktora tezi). Marmara Üniversitesi, Bankacılık ve Sigortacılık Enstitüsü, İstanbul.
  • Tözüm, H. (2009). Kredi türevleri uygulamada CDS’ler, Ankara: Dumat Ofset Matbaacılık San. Ve Tic. Ltd. Şti.
  • Turğut, E. (2020). CDS primlerinin borsa endeksleri ile ilişkisi: Kırılgan 5’li ve G7 ülkeleri üzerine bir inceleme (Yüksek Lisans Tezi). Akdeniz Üniversitesi Sosyal Bilimler Enstitüsü, Antalya.
  • Yang, L. Y. L. ve Hamori, S. (2018). Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries, International Review of Financial Analysis, 59, 19–34.
  • Wu, Y. (2018). The impacts of credit default swaps on debt pricing, corporate investment and dividend policy, The Degree of Doctor of Philosophy, University of Bath.

RESEARCHING THE EFFECT OF COUNTRY CREDIT DEFAULT SWAP PREMIUMS ON DIVIDEND POLICIES OF COMPANIES WITH PANEL DATA ANALYSIS METHOD: AN EMPIRICAL STUDY IN BIST DIVIDEND 25 INDEX

Year 2024, Issue: 69, 171 - 178, 30.12.2024

Ali Necmettin Can , Melek Acar

https://doi.org/10.18070/erciyesiibd.1503549

Abstract

In recent years, credit default swaps have become one of the main factors of the economy. In this study, which was prepared in accordance with research and publication ethics, the effect of country credit default swap premiums on dividend policies is investigated by using the panel data analysis method. Companies included in the BIST Dividend 25 Index in the 2010-2022 period were counted. In order to evaluate the main hypothesis, the annual dividend data of these companies between 2010 and 2022 and Turkey's five-year credit default swap premium data were taken into consideration. In addition, it is expected to affect the dividend distribution policies of companies like return on equity, return on assets, investment opportunities, firm size, firm indebtedness, inflation rate, exchange rate and GDP growth rate are also included in the study. Cross-sectional dependence was evaluated by Pesaran's CD, Breusch-Pagan and Breusch-Pagan scaled tests, and the stationarity of the series was evaluated using CADF unit root test. Breusch-Godfrey/Wooldridge and Durbin-Watson tests were used to test the autocorrelation assumption, and Studentized Breusch-Pagan test was used to test the variable variance assumption. As a result, negative correlation was found between credit default swaps and dividend policies of companies.

Keywords

CDS BİST dividend.

References

  • Akkaya, M. (2017). Türk tahvillerinin CDS primlerini etkileyen içsel faktörlerin analizi, Maliye Finans Yazıları, 107, 129-146.
  • Bukhari, Y. (2020). Kredi temerrüt takasları ve borsa endeksi ilişkisi: Türkiye piyasası üzerine bir çalışma (Yüksek lisans tezi). Recep Tayyip Erdoğan Üniversitesi Sosyal Bilimler Enstitüsü, Rize.
  • Cont, R. (2010). Credit default swaps and financial stability, Financial Stability Review, 14, 35-43.
  • Çakırcalı, P. (2017). Kredi temerrüt swapı kuram ve uygulamaları: Türkiye’nin ülke kredi temerrüt swapı primlerindeki değişikliklerin analizi (Yüksek lisans tezi). Başkent Üniversitesi Sosyal Bilimler Enstitüsü, Ankara.
  • Çalışkan, Ö. V. (2002). Kredi derecelendirme kuruluşları ve risk değerlendirme kriterleri, Gazi Üniversitesi İ.İ.B.F. Dergisi, 4(1), 53-66.
  • DBR (Deutsche Bank Research) (2009). Credit default swaps - heading towards a more stable system, Deutsche Bank Research, 1(1), 1-28.
  • DeAngelo, H., DeAngelo, L. ve Skinner, D. J., (2004). Are dividends disappearing? Dividend concentration and the consolidation of earnings, Journal of Financial Economics, 72, 425–456.
  • DeAngelo, H. ve DeAngelo, L. (2006). The irrelevance of the mm dividend irrelevance theorem, Journal of Financial Economics, 79, 293–316.
  • Denis, J. D. ve Osobov, I. (2008). Why do firms pay dividends? International evidence on the determinants of dividend policy, Journal of Financial Economics, 89, 62– 82.
  • Deniz, D. (2019). Temettü dağıtımlarının sinyalizasyon etkisi: BİST uygulaması (Doktora tezi). Balıkesir Üniversitesi Sosyal Bilimler Enstitüsü, Balıkesir.
  • Domler, F. (2013). A critical evaluation of the european credit default swap reform: Its challenges and adverse effects as a result of insufficient assumptions, Journal of Banking Regulation, 14, 33-60.
  • Dooley, M. P. ve Hutchinson, M. M. (2009). Transmission of the U.S. subprime crisis to emerging markets: Evidence on the decoupling-recoupling hypothesis, National Bureau of Economic Research, Working Paper No. 15120, 1-32.
  • Duffee, G. R. (1996). On measuring credit risks of derivative instruments, Journal of Banking and Finance, 20(5), 805-833.
  • Eren, M. (2014). Makroekonomik faktörler ve kredi temerrüt takaslarının Bist-100 endeksi üzerindeki etkisi (Yüksek lisans tezi). Atatürk Üniversitesi Sosyal Bilimler Enstitüsü, Erzurum.
  • Fama, E. F. ve French, K. R. (2001). Disappearing dividends: Changing firm characteristics or lower propensity to pay?, Journal of Financial Economics, 60(1), 3-43.
  • Gefang, D., Koop, G. ve Potter, S. M. (2010). Understanding liquidity and credit risks in the financial crisis, Journal of Empirical Finance, 18(5). 903-914.
  • Gün, M., Kutlu, M. ve Karamustafa, O. (2016). Gezi Parkı olaylarının Türkiye kredi temerrüt swapları (CDS) üzerine etkisi, İşletme Araştırmaları Dergisi, 8(1), 556-575.
  • Hancı, G. (2014). Kredi temerrüt takasları ve BİST 100 arasındaki ilişkinin incelenmesi, Maliye ve Finans Yazıları, 102, 9-22.
  • İskenderoğlu, Ö. ve Balat, A. (2018). Ülke kredi notlarının CDS primleri üzerindeki etkisi: BRICS ülkeleri ve Türkiye üzerine bir uygulama, BDDK Bankacılık ve Finansal Piyasalar, 12(2), 47-64.
  • Jensen, M., (1986). Agency costs of free cash flow, corporate finance, and takeovers, American Economic Review, 76, 323–329.
  • Kaplanoğlu, E. (2005). Temettü politikası teorileri ve İMKB’de ampirik bir çalışma (Yüksek lisans tezi). Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü, Denizli.
  • Longstaff, F. A., Arora, N. ve Gandhi, P. (2012). Counterparty credit risk and the credit default swap market, Journal of Financial Economics, 103(2), 280-293.
  • Modigliani, F. ve Miller, M. H. (1958). The cost of capital, corporation finance and the theory of investment, The American Economic Rreview, 48(3), 261-297.
  • Ovalı, M., Kocabıyık, T. ve Geyikçi, U. B. (2020). Kredi derecelendirmenin borsa endeksleri üzerindeki etkileri: T-BRICS ülkeleri üzerine bir araştırma, Yönetim ve Ekonomi Dergisi, 27(2), 309-335.
  • Skinner, F. ve Townend, T. G. (2002). An empirical analysis of credit default swaps, International Review of Financial Analysis, 11, 297-309.
  • Seyhan, M. (2023). Firmalarda nakit kâr payı dağıtım politikalarını etkileyen mikro ve makro faktörler: BİST imalat sanayi firmaları üzerine panel veri uygulaması (Doktora tezi). Harran Üniversitesi Sosyal Bilimler Enstitüsü, Şanlıurfa.
  • Şengönül, B. (2013). Factors affecting dividend policies of Turkish banks (Doktora tezi). Marmara Üniversitesi, Bankacılık ve Sigortacılık Enstitüsü, İstanbul.
  • Tözüm, H. (2009). Kredi türevleri uygulamada CDS’ler, Ankara: Dumat Ofset Matbaacılık San. Ve Tic. Ltd. Şti.
  • Turğut, E. (2020). CDS primlerinin borsa endeksleri ile ilişkisi: Kırılgan 5’li ve G7 ülkeleri üzerine bir inceleme (Yüksek Lisans Tezi). Akdeniz Üniversitesi Sosyal Bilimler Enstitüsü, Antalya.
  • Yang, L. Y. L. ve Hamori, S. (2018). Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries, International Review of Financial Analysis, 59, 19–34.
  • Wu, Y. (2018). The impacts of credit default swaps on debt pricing, corporate investment and dividend policy, The Degree of Doctor of Philosophy, University of Bath.
There are 31 citations in total.

Details

Primary Language Turkish
Subjects Finance
Journal Section Makaleler
Authors

Ali Necmettin Can 0009-0001-6712-1099

Melek Acar 0000-0001-8031-2095

Early Pub Date December 27, 2024
Publication Date December 30, 2024
Submission Date June 23, 2024
Acceptance Date November 11, 2024
Published in Issue Year 2024 Issue: 69

Cite

APA Can, A. N., & Acar, M. (2024). ÜLKE KREDİ TEMERRÜT TAKASI PRİMLERİNİN FİRMALARIN TEMETTÜ POLİTİKALARINA ETKİSİNİN PANEL VERİ ANALİZİ YÖNTEMİ İLE ARAŞTIRILMASI: BIST TEMETTÜ 25 ENDEKSİNDE AMPİRİK BİR UYGULAMA. Erciyes Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi(69), 171-178. https://doi.org/10.18070/erciyesiibd.1503549
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