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The Influence of Institutional Quality and Financial Risk on Stock Market Index: An Empirical Study for Turkey  
Yazarlar
Doç. Dr. Yüksel İLTAŞ Doç. Dr. Yüksel İLTAŞ
Kırşehir Ahi Evran Üniversitesi, Türkiye
Prof. Dr. Gülbahar ÜÇLER Prof. Dr. Gülbahar ÜÇLER
Kırşehir Ahi Evran Üniversitesi, Türkiye
Özet
This paper aims to analyze the -possible- effects of institutional quality and (financial) risk level on BIST 100, BIST Industrial and BIST Financial Indexes via Carrioni-Silvestre (2009) multiple structural breaks unit root test, Maki (2012) multiple structural breaks co-integration test and Dynamic Ordinary Least Squares (DOLS) methodology. In the research model of the study, institutional structure is proxied by an institutional quality index derived from data related to bureaucratic quality, corruption, democratic accountability, ethnic tension, external conflict, government stability, internal conflict, political risk, law and order, and investment profile obtained from International County Risk Guide (ICRG). High values in institutional quality index represent weak institutional structure while low values represent high institutional structure. The high financial risk ratio represents a strong fmancial structure. The empirical findings of Maki (2012) test indicate that all indexes except BIST Financial Index and explanatory variables show co-integration relationship in the long term. Long run parameters estimated by DOLS methodology indicate that there exists a long-term negative relationship between institutional quality index and BIST 100 and BIST Industrial Indexes, while a positive relationship between financial risk level and BIST 100 and BIST Industrial Indexes.
Anahtar Kelimeler
Institutional Quality | Multiple Structural Breaks Unit Root and Co-integration Tests | Borsa Istanbul | ICRG
Makale Türü Özgün Makale
Makale Alt Türü ESCI dergilerinde yayımlanan tam makale
Dergi Adı SOSYOEKONOMI
Dergi ISSN 1305-5577
Makale Dili İngilizce
Basım Tarihi 07-2019
Cilt No 27
Sayı 41
Sayfalar 113 / 128
Doi Numarası 10.17233/sosyoekonomi.2019.03.06