Hisse Senedi Getirileri İle Finansal Oranlar Arasındaki İlişkinin Araştırılmasında Bir Panel ARDL Uygulaması

Year 2019, Issue: 86, 97 - 113, 31.05.2019

Cemile Özgür

Abstract

Bu araştırmada, Borsa İstanbul’da hisseleri işlem gören ve BİST Sınai endeksinin birer üyesi olan yüz adet firma belirlenmiş ve bu firmaların 2012–2017 çeyrek dönemlerine ait hisse senedi getirileri ile finansal oranları arasındaki ilişki incelenmiştir. Bu amaçla, son yirmi yıl içerisinde geliştirilen ve Panel Autoregressive Distributed Lag (Panel-ARDL) olarak adlandırılan model kullanılarak, bağımlı (hisse senedi getirileri) ve bağımsız (finansal oranlar) değişkenlerin gecikmeli değerleri regresyon modeline dahil edilmiş ve oluşturulan panel veri seti analiz edilmiştir. Bu yöntemin geliştirilmesi ile tüm değişkenlerin gecikmeli değerlerinin de hisse senedi getirileri üzerindeki açıklama ve tahmin gücünün araştırılması mümkün kılınmıştır. Bu araştırma ile elde edilen bulgulara göre, hisse senedi getirileri ile cari oran, alacak devir hızı, aktif devir hızı, net kar marjı ve özsermaye/maddi duran varlıklar oranları arasında uzun dönemli; kaldıraç oranı, aktif devir hızı, net kar marjı, alacak devir hızı oranları arasında ise kısa dönemli olmak üzere, hisse senedi getirileri ile finansal oranlar arasında iki farklı türde ilişkinin mevcut olduğu görülmüştür.

Keywords

Hisse senedi getirileri, Finansal oranlar, Uzun ve kısa dönemli ilişki, Panel veri analizi, Panel ARDL, BİST

A Panel ARDL Application on the Research of the Relationships between Stock Returns and Financial Ratios

Abstract

In this research, one hundred firms that are a member of BIST Industrial Index are selected and the relationship between their stock returns and financial ratios are examined for the quarterly period of 2012-2017. For this purpose, lagged values of dependent (stock returns) and independent (financial ratios) variables are included in a regression model and the panel data is analyzed by employing Panel Autoregressive Distributed Lag (Panel-ARDL) Model that is developed during the last twenty years. The development of this method made it possible to investigate the stock return explanation and forecasting power of lagged values of all variables. According to the results obtained within this research, the existence of two different types of relationships between stock returns and financial ratios; consisting a statistically significant long-term relationship between stock returns and current ratio, accounts receivable turnover rate, asset turnover rate, net profit margin and shareholders’ equity/tangible fixed assets ratio and a statistically significant short-term relationship between stock returns and leverage ratio, asset turnover rate, net profit margin and accounts receivable turnover rate are observed.

Keywords

Stock returns, Financial ratios, Long and short term relation, Panel data analysis, Panel ARDL, BIST

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