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FİNANSAL BAŞARISIZLIK VE HİSSE SENEDİ FİYATI İLİŞKİSİ: XUTEK ENDEKSİNDE PANEL EŞBÜTÜNLEŞME VE NEDENSELLİK ANALİZLERİ

Year 2021, Volume: 6 Issue: 4, 780 - 790, 31.12.2021
https://doi.org/10.29106/fesa.998198

Abstract

Bu çalışmada, COVID-19 pandemisi ile birlikte daha fazla önem kazanan şirket başarısızlığı konusuna odaklanılmıştır. Çalışmada, firma başarısızlığı veya iflas riskinin bir göstergesi olarak literatürde geniş çapta yer bulan Altman’ın Z-skoru ile hisse senedi fiyat performansları arasındaki ilişkiler incelenmektedir. Çalışmanın örneklemini Borsa İstanbul’da işlem gören teknoloji şirketleri oluşturmaktadır. Veriler 2010-2019 yılları arası çeyrek dönemliktir. Çalışmada, Borsa İstanbul’da işlem gören 12 adet BIST Teknoloji endeksi şirketinin verilerinden yararlanarak Altman Z-Skorlar hesaplanmış, sonrasında ADF ve PP birim kök testleri, Pedroni ve Kao eşbütünleşme analizleri ve Dumitrescu-Hurlin panel nedensellik analizi gerçekleştirilmiştir. Analiz sonuçları Altman Z-Skoru ile hisse senedi fiyatları arasında uzun dönemli ilişki olduğunu kanıtlar niteliktedir. Analizler sonucunda z-skor ve hisse fiyatının birbirlerini pozitif etkiledikleri görülmüştür. Ayrıca Z-skorlardan hisse fiyatına doğru bir nedensellik tespit edilmiştir. Bu çalışmanın sonuçları pandemi dönemi dikkate alınarak değerlendirildiğinde; şirketlerin ve yatırımcıların Altman Z-Skor yöntemini bu süreçte yaptıkları başarı değerlendirmeleri ve yatırımlar bağlamlarında dikkate alabilecekleri düşünülmektedir.

References

  • AFRİN, R. (2014). Analysing the Potential of Altman’s Z-Score For Prediction of Market Performance And Share Returns – A Case Study of The Cement İndustry in Bangladesh. The AUST Journal of Science and Technology, 6(1-2).
  • AKINCI, E. (2020). COVID-19 Salgını Kapsamında Şirket Yöneticilerinin Almaları Gereken Önlemlere Genel Bir Bakış. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 19(38), 202-223.
  • ALTMAN, E. (2000). Predicting Financial Distress of Companies: Revisiting The Z-Score and ZETA. Handbook of Research Methods and Applications in Empirical Finance, 5(09).
  • ALTMAN, E. I. (1968). Financial Ratios, Discriminant Analysis and The Prediction of Corporate Bankruptcy. The journal of finance, 23(4), 589-609.
  • APERGİS, N., SORROS, J., ARTİKİS, P., & ZİSİS, V. (2011). Bankruptcy Probability And Stock Prices: The Effect of Altman Z-Score İnformation on Stock Prices Through Panel Data. Journal of Modern Accounting and Auditing, 7(7), 689.
  • Breitung, J. (2000). The Local Power of Some Unit Root Tests for Panel Data. In Advances in Econometrics, Vol. 15: Nonstationary Panels, Panel Cointegration, and Dynamic Panels, JAI.
  • DUMİTRESCU, E.-I. AND HURLİN, C. (2012). Testing for granger non-causality in heterogeneous panels. Economic Modelling, 29(4), 1450-1460.
  • IM, K.S., PESARAN, M.H. AND SHIN, Y. (2003). Testing for Unit Roots in Heterogeneous Panels. Journal of Econometrics, 115(1): 53-74.
  • International Monetary Fund (IMF), Real GDP Growth, https://www.imf.org/external/datamapper/NGDP_RPCH@WEO/OEMDC/ADVEC/WEOWORLD (Erişim Tarihi: 23.05.2021)
  • LEVİN, A., LİN, C. F., & CHU, C. S. J. (2002). Unit Root Tests in Panel Data: Asymptotic And Finite-Sample Properties. Journal of econometrics, 108(1), 1-24.
  • MADDALA, G. S., AND WU, S. (1999). A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test. Oxford Bulletin of Economics and Statistics, 61(S1), 631-652.
  • SUSİLOWATİ, E., & SİMANGUNSONG, J. M. (2019). Financial Distress, Bankruptcy Analysis and Implications For Stock Prices of Consumer Goods Companies in Indonesia. Relevance: Journal of Management and Business, 2(2).
  • TÜBİSAD, 2020, Bilgi ve İletişim Teknolojileri Sektörü 2019 Pazar Verileri, https://www.tubisad.org.tr/tr/images/pdf/tubisad-bit-2019.pdf, (Erişim:19/03/2021)
  • ZHAO, T. (2015). The Relationship Between Z-Score And Stock Prices. Available at SSRN 2595600.

THE RELATIONSHIP BETWEEN FINANCIAL FAILURE AND STOCK PRICE: PANEL COINTEGRATION AND CAUSALITY ANALYSIS IN XUTEK INDEX

Year 2021, Volume: 6 Issue: 4, 780 - 790, 31.12.2021
https://doi.org/10.29106/fesa.998198

Abstract

This study focuses on company failure, which has become more important with the COVID-19 pandemic. The study examines the relationships between Altman's Z-score and stock price performances, which are widely included in the literature as an indicator of firm failure or bankruptcy risk. The sample of the study consists of technology companies traded on Borsa Istanbul. Data are quarterly between 2010 and 2019. In the study, Altman Z-Scores were calculated using the data of 12 BIST Technology index companies traded in Borsa Istanbul, then ADF and PP unit root tests, Pedroni and Kao cointegration analysis and Dumitrescu-Hurlin panel causality analysis were performed. Analysis results prove that there is a long-term relationship between Altman Z-Score and stock prices. As a result of the analysis, it was seen that the z-score and stock price affect each other positively. In addition, a causality from Z-scores to stock price has been determined. When the results of this study are evaluated considering the pandemic period; It is believed that companies and investors can consider the Altman Z-Score method in the context of their success evaluations and investments in this process.

References

  • AFRİN, R. (2014). Analysing the Potential of Altman’s Z-Score For Prediction of Market Performance And Share Returns – A Case Study of The Cement İndustry in Bangladesh. The AUST Journal of Science and Technology, 6(1-2).
  • AKINCI, E. (2020). COVID-19 Salgını Kapsamında Şirket Yöneticilerinin Almaları Gereken Önlemlere Genel Bir Bakış. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 19(38), 202-223.
  • ALTMAN, E. (2000). Predicting Financial Distress of Companies: Revisiting The Z-Score and ZETA. Handbook of Research Methods and Applications in Empirical Finance, 5(09).
  • ALTMAN, E. I. (1968). Financial Ratios, Discriminant Analysis and The Prediction of Corporate Bankruptcy. The journal of finance, 23(4), 589-609.
  • APERGİS, N., SORROS, J., ARTİKİS, P., & ZİSİS, V. (2011). Bankruptcy Probability And Stock Prices: The Effect of Altman Z-Score İnformation on Stock Prices Through Panel Data. Journal of Modern Accounting and Auditing, 7(7), 689.
  • Breitung, J. (2000). The Local Power of Some Unit Root Tests for Panel Data. In Advances in Econometrics, Vol. 15: Nonstationary Panels, Panel Cointegration, and Dynamic Panels, JAI.
  • DUMİTRESCU, E.-I. AND HURLİN, C. (2012). Testing for granger non-causality in heterogeneous panels. Economic Modelling, 29(4), 1450-1460.
  • IM, K.S., PESARAN, M.H. AND SHIN, Y. (2003). Testing for Unit Roots in Heterogeneous Panels. Journal of Econometrics, 115(1): 53-74.
  • International Monetary Fund (IMF), Real GDP Growth, https://www.imf.org/external/datamapper/NGDP_RPCH@WEO/OEMDC/ADVEC/WEOWORLD (Erişim Tarihi: 23.05.2021)
  • LEVİN, A., LİN, C. F., & CHU, C. S. J. (2002). Unit Root Tests in Panel Data: Asymptotic And Finite-Sample Properties. Journal of econometrics, 108(1), 1-24.
  • MADDALA, G. S., AND WU, S. (1999). A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test. Oxford Bulletin of Economics and Statistics, 61(S1), 631-652.
  • SUSİLOWATİ, E., & SİMANGUNSONG, J. M. (2019). Financial Distress, Bankruptcy Analysis and Implications For Stock Prices of Consumer Goods Companies in Indonesia. Relevance: Journal of Management and Business, 2(2).
  • TÜBİSAD, 2020, Bilgi ve İletişim Teknolojileri Sektörü 2019 Pazar Verileri, https://www.tubisad.org.tr/tr/images/pdf/tubisad-bit-2019.pdf, (Erişim:19/03/2021)
  • ZHAO, T. (2015). The Relationship Between Z-Score And Stock Prices. Available at SSRN 2595600.
There are 14 citations in total.

Details

Primary Language Turkish
Subjects Finance
Journal Section Araştırma Makaleleri
Authors

Bilgehan Tekin 0000-0002-4926-3317

Early Pub Date December 31, 2021
Publication Date December 31, 2021
Submission Date September 20, 2021
Acceptance Date November 30, 2021
Published in Issue Year 2021 Volume: 6 Issue: 4

Cite

APA Tekin, B. (2021). FİNANSAL BAŞARISIZLIK VE HİSSE SENEDİ FİYATI İLİŞKİSİ: XUTEK ENDEKSİNDE PANEL EŞBÜTÜNLEŞME VE NEDENSELLİK ANALİZLERİ. Finans Ekonomi Ve Sosyal Araştırmalar Dergisi, 6(4), 780-790. https://doi.org/10.29106/fesa.998198