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dc.contributor.advisorSönmezer, Sıtkı
dc.contributor.authorÖzdemir, Hüseyin
dc.date.accessioned2017-03-28T06:34:22Z
dc.date.available2017-03-28T06:34:22Z
dc.date.issued2017-10
dc.date.submitted2017
dc.identifier.citationÖzdemir, H. (2017). The effect of financial ratios and macro factors on BIST - 30 index returns. (Unpublished master's thesis). Doğuş University Institute of Social Sciences, İstanbul.en_US
dc.identifier.urihttp://hdl.handle.net/11376/2980
dc.descriptionÖzdemir, Hüseyin (Dogus Author)en_US
dc.description.abstractStock prices are one of the most influential factors for investors and companies while deciding investment on stocks in order to maximize stock returns. The investors will be able to make more consistent investment decision when the investor consider the macro factors and financial ratios that affect the stock returns. For this purpose, this study deals whether there is any relationship between stock returns and the financial ratios and to determine which macro factors are the most effective on stock returns by using Multiple Regression Analysis Model. Quarterly financial ratio datas and stock returns of 10 companies which are traded in BIST and ranked by market cap are selected in the period 2008-2015. Financial ratios including return on equity, debt to equity ratio and current ratio. Volatility index, gold price, inflation, brent oil price, money supply, Bovespa index, gross domestic product and industrial production index are used as macro factors that are expected to affect stock returns. According to the results of the analysis, Bovespa index affects stock returns and also the financial ratios can predict stock returns as the Debt to equity has the higher predictive power than Current ratio and Return on equity.en_US
dc.description.abstractHisse senedi fiyatları, hisse senedi getirilerini maksimize etmek için hisse senetlerine yatırım yapmaya karar verirken yatırımcılar ve şirketler için en önemli faktörlerden biridir. Yatırımcıların hisse senetleri piyasasında yatırım kararları sırasındaki en önemli faktörlerdendir. Yatırımcılar, yatırım yapmayı planladığı hisse senedi getirilerini etkileyen makro faktörleri ve finansal oranları göz önünde bulundurduğunda daha tutarlı yatırım kararları verebileceklerdir. Bu amaçla, çalışmada hisse senedi getirileri ile finansal oranlar arasında herhangi bir ilişki olup olmadığı ve en çok hangi makro faktörün hisse senedi getirilerini etkilediği Çoklu Regresyon Analiz Modeli kullanılarak incelenmiştir. Borsa İstanbul’da işlem gören ve piyasa değer büyüklüğüne göre sıralanan 10 şirketin 2008-2015 döneminde çeyreklik finansal oran verileri ve hisse senedi getirileri kullanılmıştır. Özsermaye Kârlılık Oranı, Cari Oran ve Borç/Özsermaye Oranı finansal oranlar olarak kullanılmıştır. Hisse senedi getirilerini etkilemesi beklenen makro faktörler olarak oynaklık endeksi, altın fiyatı, enflasyon, brent petrol fiyatı, para arzı, Bovespa endeksi, gayri safi yurtiçi hasıla, sanayi üretim endeksi kullanılmıştır. Analiz sonuçlarına göre, Bovespa index hisse senedi getirilerini etkilemekte ve ayrıca finansal oranlar ile hisse senedi getirileri tahmin edilebilmektedir. Borç/Özsermaye Oranı, cari oran ve özsermaye kârlılık oranından daha yüksek tahmin etme gücüne sahiptiren_US
dc.description.tableofcontentsFOREWORD. i -- ABSTRACT. ii -- ÖZET. iii -- TABLE OF CONTENTS. iv -- LIST OF TABLES. vii -- ABREVIATIONS. viii -- 1. INTRODUCTION. 1 -- CHAPTER 1 STOCK, THE BASIC CONCEPTS ABOUT THE FACTORS AFFECTING STOCK PRICES. 3 -- 1. 1. Description of Stock. 3 -- 1. 2. Types of Stocks. 4 -- 1. 2. 1. Registered and Bearer Stocks. 4 -- 1. 2. 2. Common and Preferred Stocks. 5 -- 1. 2. 3. Bonus and Paid Up Stocks. 5 -- 1. 2. 4 Premium and Non-Premium Stocks. 6 -- 1. 2. 5. Founder and Dividend Stocks. 6 -- 1. 3. Rights and Obligations of Stockholders. 6 -- 1. 3. 1. Right to Dividend. 7 -- 1. 3. 2. Pre-emptive Rights. 7 -- 1. 3. 3. Right to Participate in the Management of a Company. 7 -- 1. 3. 4. Right to Participate in the Liquidation Balance. 8 -- 1. 3. 5. Right to Vote. 8 -- 1. 3. 6. Right to Receive Information. 8 -- 1. 3. 7. Capital Debt. 8 -- 1. 3. 8. Confidentiality Debt. 9 -- 1. 4. Value Definitions of Stocks. 9 -- 1. 4. 1. Nominal Value. 9 -- 1. 4. 2. Book Value. 10 -- 1. 4. 3. Market (Stock Market) Value. 10 -- 1. 4. 4. Issue (Emission) Value. 11 -- 1. 4. 5. Real Value. 11 -- 1. 4. 6. Liquidation Value. 11 -- 1. 4. 7. Going Concern Value. 12 -- 1. 5. Stock Market in Turkey. 12 -- 1. 5. 1. Duties and Authorities of BIST. 13 -- 1. 5. 2. Weaknesses of BIST. 13 -- 1. 5. 3. Strengths of BIST. 14 -- 1. 6. Risks Encountered in Stock Investments. 14 -- 1. 6. 1. Systematic Risks. 15 -- 1. 6. 2. Non-Systematic Risks. 17 -- 1. 7. The Macroeconomic Factors That Affecting Stock Returns. 18 -- 1. 7. 1. Money Supply. 19 -- 1. 7. 2. Volatility Index. 19 -- 1. 7. 3. Inflation. 20 -- 1. 7. 4. Industrial Production Index. 21 -- 1. 7. 5. Gross Domestic Product. 21 -- 1. 7. 6. Brent Oil Price. 21 -- 1. 7. 7. Gold Price. 22 -- 1. 7. 8. Bovespa Index. 22 -- 1. 8. Other Factors That Affecting Stock Returns. 22 -- 1. 8. 1. Internal Factors. 22 -- 1. 8. 1. 1. Capital Structures. 23 -- 1. 8. 1. 2. Corporate Governance. 23 -- 1. 8. 1. 3. Insider Trading. 24 -- 1. 8. 1. 4. Manipulation. 24 -- 1. 8. 1. 5. Estimated Operating Earnings. 25 -- 1. 8. 1. 6. Dividend Policy. 25 -- 1. 8. 1. 7. Information Quality Specified in the Financial Reports. 26 -- 1. 8. 1. 8. Intellectual Capital. 26 -- 1. 8. 2. External Factors. 27 -- 1. 8. 2. 1. Political Factors. 27 -- 1. 8. 2. 2. Speculation. 28 -- 1. 8. 2. 3. Seasonal Movements. 28 -- 1. 8. 2. 4. Market Psychology. 29 -- 1. 8. 3. Industry Related Factors. 29 -- 1. 8. 3. 1. Principal Business Activity. 30 -- 1. 8. 3. 2. Position and Share of the Business in the Sector. 30 -- 1. 8. 3. 3. Level of Competition in the Industry. 30 -- 1. 8. 3. 4. Governmental Incentive in the Sector. 31 -- 1. 9. Comparison of BIST and Developing Countries. 31 -- CHAPTER 2. LITERATURE REVIEW. 33 -- CHAPTER 3. METHODS AND FINDINGS. 40 -- 3. 1. Macroeconomic Factors. 40 -- 3. 1. 1. Model of Study. 40 -- 3. 1. 2. Research Aim and Significance. 40 -- 3. 1. 3. Data Collection. 40 -- 3. 1. 4. Statistical Methods Used In The Study. 41 -- 3. 1. 5. Multiple Linear Regression Model Analysis. 41 -- 3. 1. 5. 1. Summary of Multiple Linear Regression Analysis in Stata. 42 -- 3. 1. 5. 2. Autocorrelation. 44 -- 3. 1. 5. 2. 1. Durbin Watson Test. 44 -- 3. 1. 5. 2. 2. Unit Root Test. 45 -- 3. 1. 5. 2. 3. Augmented Dickey Fuller Test. 45 -- 3. 2. Financial Ratios. 59 -- 3. 2. 1. Return on Equity. 60 -- 3. 2. 2. Debt/Equity Ratio. 60 -- 3. 2. 3. Current Ratio. 61 -- 3. 2. 4. Market Capitalization. 61 -- 3. 3. Findings. 62 -- CONCLUSION. 73 -- REFERENCES. 75 -- AUTOBIOGRAPHY. 81en_US
dc.language.isoengen_US
dc.publisherDoğuş Üniversitesi Sosyal Bilimler Enstitüsüen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectStock Returnsen_US
dc.subjectBIST-30 Indexen_US
dc.subjectFinancial Ratiosen_US
dc.subjectMacro Factorsen_US
dc.subjectHisse Senedi Getirilerien_US
dc.subjectBIST-30 Endeksien_US
dc.subjectFinansal Oranlaren_US
dc.subjectMakro Faktörleren_US
dc.titleThe effect of financial ratios and macro factors on BIST - 30 index returnsen_US
dc.typemasterThesisen_US
dc.contributor.departmentDoğuş Üniversitesi, Sosyal Bilimler Enstitüsü, Finansal İktisat Yüksek Lisans Programıen_US


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