The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an Apt Framework

ALTAY, Erdinç

The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an Apt Framework

Erdinç ALTAY (İstanbul Üniversitesi, Ekonomi Fakültesi, İstanbul, Türkiye)

ÖNERİ

0 0

Yıl: 2005 Cilt: 6 Sayı: 23 Sayfa Aralığı: 217 - 237 Metin Dili: Türkçe İndeks Tarihi: 29-07-2022

The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an Apt Framework

Öz:

Bu çalışmada, Alman ve Türk sermaye piyasalarında makroekonomik faktörlerin varlık getiri oranları üzerindeki etkisi Arbitraj Fiyatlama Teorisi çerçevesinde karşılaştırmalı olarak incelenmiş ve test edilmiştir. Söz konusu makroekonomik faktörlerin türetilmesinde faktör analizi teknikleri kullanılmıştır. Her iki ülke için de aynı ekonomik göstergeler asal bileşenler ve maksimum olabilirlik faktör analizlerine tabi tutulduğu halde bu değişkenlerden türetilen faktörlerin sayısı Alman ekonomisi için dört, Türk ekonomisi için ise üç olarak tespit edilmiştir. Bu faktörlerin varlık fiyatları üzerindeki etkilerinin test edilmesi için tahmin edilen faktör betalarından elde edilen sonuçlar ise Alman sermaye piyasasında beklenmeyen faiz oranı ve beklenmeyen enflasyon faktörlerine ait beta katsayılarının varlık getiri oranları üzerinde istatistiksel olarak anlamlı etkilerinin olduğunu göstermektedir. Buna karşın Türk sermaye piyasasında böyle bir etkiye rastlanamamıştır.

Anahtar Kelime: sermaye piyasası karşılaştırmalı analiz almanya faktör analizi makro ekonomi varlık fiyatlama Türkiye karşılaştırma İstanbul menkul kıymetler borsası (İMKB) hisse senedi piyasası arbitraj

Makroekonomik Faktörlerin Varlık Getiri Oranları Üzerindeki Etkisi: AFT Çerçevesinde Alman ve Türk Sermaye Piyasalarının Karşılaştırmalı Analizi

Öz:

This paper uses factor analytic techniques for deriving factor realizations from a group of main economic indicators of both the German and the Turkish economy in order to test the effect of macroeconomic factors on asset returns in an APT framework. The factor structure of the German economy yields four factors, whereas the Turkish economy has only three factors even though the same economic indicators are employed in the factor analysis and principle components analysis procedures. In order to test the effect of factors on asset returns, factor beta coefficients are estimated. We found some evidence of the unexpected interest rate factor beta coefficient and the unexpected inflation factor beta coefficient having statistically significant effects on asset returns of the German Stock Market. But we were not able to find any unexpected macroeconomic factor beta with a significant influence on asset returns in the Turkish Stock Market.

Anahtar Kelime: asset pricing Turkey comparison Istanbul stock exchange (ISE) stock market arbitrage capital market comparative analysis germany factor analysis macroeconomics

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık

[1] Ross.S. (1976). The Arbitrage Theory of Capital Market ! Asset Pricing. Journal of Economic Theory, 13, pp.341-360.
[2] Ross,S. (1977). Risk, Return and Arbitrage. Risk and Return in Finance I. (Eds. Friend, I., & Bicksler, J.), Cambridge: Balliner.
[3] Sharpe, W.F. (1964). Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk. Journal of Finance, 19, pp.425-442.
[4] Lintner, J. (1965). The Valuation of Risk Assets and Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economics and Statistics, 47. pp. 13-37.
[5] Mossin, J. (1966). Equilibrium in a Capital Market. Econometrica, 34, pp.768-783.
[6] Huberman, G. (1982). A Simple Approach to Arbitrage Pricing Theory. Journal of Economic Theory, 28, pp.183-191.
[7] Chamberlain, G., & Rothschild. M. (1983). Arbitrage, Factor Structure, Mean-Variance Analysis and Large Asset Market. Econometrica, 51, pp. 1281 -1304.
[8] Reinganum, M. (1981). The Arbitrage Pricing Theory: Some Empirical Results. The Journal of Finance, 37. pp. 1037-1042.
[9] Jobson, O.J. (1982). A Multivariate Linear Regression Test for The Arbitrage Pricing Theory. The Journal of Finance, 37, pp.1037-1042.
[10] Shanken, J. (1982). The Arbitrage Pricing Theory: Is It Testable? The Journal of Finance, 37, pp.77-102.
[11] Brown, S.J., & Weinstein, M.I. (1983). A New Approach to Testing Asset Pricing Models: The Bilinear Paradigm. The Journal of Finance, 38, pp.711-744.
[12] Chamberlain, G. (1983). Funds, Factors and Diversification in Arbitrage Pricing Models. Econometrica, 51, pp.1305-1323.
[13] Chen, N. (1983). Some Empirical Tests of the Theory of Arbitrage Pricing. The Journal of Finance, 38, pp.1393-1414.
[14] Stambaugh, R.F. (1983). Arbitrage Pricing with Information. Journal of Financial Economics, 12, pp.357-370.
[15] Dhrymes, P.J., Friend, I., & Gultekin, N.B. (1984). A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory. The Journal of Finance, 39, pp.323-346.
[16] Cho, D.C., Elton, E.J., & Gruber, M.J. (1984). On the Robustness of the Roll and Ross Arbitrage Pricing Theory.Journal of Financial and Quantitative Analysis, 19, pp. 1 -10.
[17] Ingersoll, J.E. (1984). Some Results in the Theory of Arbitrage Pricing. The Journal of Finance, 39, pp. 1021-1039.
[18] Chen, N.F., Roll, R., & Ross, S. (1986). Economic Forces and the Stock Market. Journal of Business, 59, pp.383-403.
[19] Connor, G., & Korajczk, R.A. (1986). Performance Measurement with the Arbitrage Pricing Theory: A New Framework for Analysis. Journal of Financial Economics, 15, pp.373-394.
[20] Burmeister, E., & McElroy, M.B. (1988). Joint Estimation of Factor Sensitivities and Risk Premia for the Arbitrage Pricing Theory, The Journal of Finance, 43, pp.721-735.
[21] Tiemann, J. (1988). Exact Arbitrage Pricing and The Minimum-Variance Frontier. The Journal of Finance, 43, pp.327-338.
[22] Lehman, B.N., & Modest, D.M. (1988). The Empirical Foundations of the Arbitrage Pricing Theory. Journal of Financial Economics, 21, pp.213-254.
[23] Ferson, W.E., & Harvey, C.R. (1991).The Variation of Economic Risk Premiums. Journal of Political Economy,99, pp.385-415.
[24] Mei. J. (1993). A Semiautoregression Approach to the Arbitrage Pricing Theory. The Journal of Finance, 48, pp.599-620.
[25] Brennan, M., Chordia, T., & Subrahmanyam, A. (1998). Alternative Factor Specifications, Security Characteristics and the Cross-section of Expected Stock Returns. Journal of Financial Economics, 49, pp.345-373.
[26] Gibbons, M.R. (1982). Multivariate Tests of Financial Models. Journal of Financial Economics, 10, pp.3-27.
[27] MacKinlay, A.C. (1987). On Multivariate Tests of the CAPM. Journal of Financial Economics, 18, pp.341-371.
[28] Lakonishok, J., & Shapiro, A.C. (1986). Systematic Risk, Total Risk and Size as Determinants of Stock Market Returns. Journal of Banking and Finance, 10, pp.115-132.
[29] Coggin, T.D., & Hunter, J.E. (1985). Are High-Beta, Large Capitalization Stocks Overpriced? Financial Analysts Journal, 41, pp.70-71.
[30] Fama, E.F., & French, K.R. (1992). The Cross-section of Expected Stock Returns. Journal of Finance, 47, pp.427-466.
[31J Roll, R. (1977). A Critique of the Asset Pricing Theories' Tests, Part 1: On Past and Potential Testability of the Theory. Journal of Financial Economics, 4, pp. 129-176.
[32] Chan, K.C., Chen, N.F., & Hsieh, D.A. (1985). An Explolatory Investigation of the Firm Size Effect. Journal of Financial Economics, 14, s.451-471.
|33] Burmeister, E„ & Wall, K.D. (1986). The Arbitrage Pricing Theory and Macroeconomic Factor Measures. The Financial Review, 21, pp. 1-20.
[34] Beenstock, M., & Chan, K.F. (1988). Economic Forces in the London Stock Market. Oxford Bulletin of Economics and Statistics, 50, pp.27-39.
[35] Chang, E.C., & Pinegar, J.M. (1990). Stock Market Seasonals and Prespecified Multifactor Pricing Relations. Journal of Financial and Quantitative Analysis, 25, pp.517-533.
[36] Kryzanowski, L., & Zang, H. (1992). Economic Forces and Seasonality in Security Returns. Review of Quantitative Finance and Accounting, 2, pp.227-244.
[37] Chen, S.J., & Jordan, B.D. (1993). Some Empirical Tests of the Arbitrage Pricing Theory: Macrovariables vs. Derived Factors. Journal of Banking and Finance, 17, pp.65-89.
[38] Rahman, S., Coggin, T.D., & Lee, C.F. (1998). Some Tests of the Risk-Return Relationship Using Alternative Pricing Models and Observed Expected Returns. Review of Finance and Accounting, 11, pp.69-91.
[39] Roll, R., & Ross, S.A. (1980). An Empirical Investigation of the Arbitrage Pricing Theory. The Journal of Finance, 35, pp.1073-1103.
[40] Dhrymes, P.J., Friend, I., Gültekin, M.N., & Giiltekin, N.B. (1985). New Tests of the APT and Their Implications. The Journal of Finance, 40, pp.659-675.
[41] Winkelmann, M. (1984), Aktienbewertung in Deutschland. Königstein/Ts: Hain.
[42] Peters, H.W. (1987). Kapitalmarkttheorie und Aktienmarktanalyse, Frankfurt: Peter Lang.
[43] Frantzman, H.J. (1989). Saisonalitaten und Bevertung an deutschen Aktien- und Rentenmarkt. Frankfurt: Fritz Knapp Verlag.
[44] Verlerger, A. (1993), Risikostrukturen am deutschen Aktienmarkt. Munster: Lit Verlag.
[45] Sauer, A. (1994), Faktonnodelle und Bewertung am Deutschen Aktienmarkt. Frankfurt: Fritz Knapp Verlag.
[46] Adelberger.O.L., & Lockert G. (1999). An Investigation into the Number of Factors Generating German Stock Returns. Empirical Research on the German Capital Market. (Eds.: Wolfgang, B„ Hax, H., & Schmidt, R.). Heidelberg: Physica-Verlag.
[47] Özcam, M. (1997). Varlik Fiyatlama Modelleri Aracılığıyla Dinamik Portföy Yönetimi. Sermaya Piyasası Yayın Kurulu Yayın No: 104. Ankara
[48] Altay, E. (2001). Varlık Fiyatlama Modelleri: FVFM ve APT ve İMKB'de Uygulaması, istanbul University, Social Sciences Institute. Unpublished Doctorate Thesis.
[49] Cheng, A.C.S. (1995). The UK Stock Market and Economic Factors: A New Approach. Journal of Business, Finance and Accounting, 22, pp. 129-142.
[50] Fama, E.F., & MacBeth, J.D. (1973). Risk, Return and Equilibrium: Empirical Tests. Journal of Political Economy, 81, pp.607-636.
[51] Connor, G. (1984). A Unified Beta Pricing Theory. Journal of Economic Theory, 34, pp. 13-31.
[52] Connor,G., & Korajczk, R.A. (1988). Risk and Return in an Equilibrium APT: Application of a New Test Methodology. Journal of Financial Economics, 21,pp.255-289.
[53] McCulloch, R., & Rossi, P.E. (1990). Posterior, Predictive and Utility-based Approaches to Testing the Arbitrage Pricing Theory. Journal of Financial Economics, 28, pp.7-38.
[54] Ferson, W.E., & Korajczk, R.A. (1995).Do Arbitrage Pricing Models Explain the Predictability of Stock Returns? Journal of Business, 68, pp.309-349.
[55] Elton, E. (1999). Expected Return, Realized Return, and Asset Pricing Tests. The Journal of Finance, 54, pp.1199-1220.
[56] Pastor, L., & Stambaugh, R. (1999). Cost of Equity Capital and Model Mispricing. The Journal of Finance, 54, pp.67-121. [57] Jagannathan, R., & Ma, T. (2001). Risk Reduction in Large Portfolios: A Role for Portfolio Weight Constraints. Unpublished Working Paper.
[58] Shanken, J. (1992). On the Estimation of Beta-Pricing Models. Review of Financial Studies, 5, pp. 1-34.
[59] Artis, M., Banerjee, A. & Marcellino, M. (2001). Factor Forecasts for the UK. Unpublished Working Paper.
[60] Cagnetti, A. (2002). Capital Asset Pricing Model and Arbitrage Pricing Theory in the Italian Stock Market: An Empirical Study. Unpublished Working Paper.

APA	ALTAY E (2005). The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an Apt Framework. , 217 - 237.
Chicago	ALTAY Erdinç The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an Apt Framework. (2005): 217 - 237.
MLA	ALTAY Erdinç The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an Apt Framework. , 2005, ss.217 - 237.
AMA	ALTAY E The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an Apt Framework. . 2005; 217 - 237.
Vancouver	ALTAY E The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an Apt Framework. . 2005; 217 - 237.
IEEE	ALTAY E "The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an Apt Framework." , ss.217 - 237, 2005.
ISNAD	ALTAY, Erdinç. "The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an Apt Framework". (2005), 217-237.

APA	ALTAY E (2005). The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an Apt Framework. ÖNERİ, 6(23), 217 - 237.
Chicago	ALTAY Erdinç The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an Apt Framework. ÖNERİ 6, no.23 (2005): 217 - 237.
MLA	ALTAY Erdinç The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an Apt Framework. ÖNERİ, vol.6, no.23, 2005, ss.217 - 237.
AMA	ALTAY E The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an Apt Framework. ÖNERİ. 2005; 6(23): 217 - 237.
Vancouver	ALTAY E The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an Apt Framework. ÖNERİ. 2005; 6(23): 217 - 237.
IEEE	ALTAY E "The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an Apt Framework." ÖNERİ, 6, ss.217 - 237, 2005.
ISNAD	ALTAY, Erdinç. "The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an Apt Framework". ÖNERİ 6/23 (2005), 217-237.