Business & Management Studies: An International Journal
Yazarlar: Fulya ÇANAKKIRAN, Merve ÇELİK KEÇİLİ, Ethem ESEN, Fatih TEMİZEL
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Özet: 1. LITERATURE 1.1. RESEARCH SUBJECT The studies which investigate the impact of macroeconomic variables on stock prices were implemented. Therefore in the researches that analyze BİST 100 index, the impact of competition force of Turkey and capacity utilization was investigated strictly. Şahin and Kırıcı (2019) analyzed the relationship between production in the manufacturing sector and stock returns in various sectors. In the study, the capacity utilization rate was used to investigate this relationship. Albayrak et al. (2012) analyzed the impact of capital movement and macroeconomic variables on BİST-100 indexes. Result of the study indicated that the interest rate and exchange rate affect the index negatively. Durmuşkaya (2019) also analyzed the relationship between macroeconomic variables, mainly including foreign trade and BİST index. According to the result, the stocks which are related to the chemical and metal sector have not a relationship with the independent variables in the study. Alper and Kara (2017) investigated the relationship between BİST industrial index and macroeconomic variables. Result of the study revealed that impact of interest rate on stock returns in negative, effects of US dollar altering on the stock returns are unstable, the relationship between money supply and stock return is weak and the impact of petrol prices on the stock returns is not stable. 1.2. RESEARCH PURPOSE AND IMPORTANCE The purpose of this study is to determine the impact of revealed comparative advantage index and capacity utilization rate on the BİST textile sector price. The importance of the research is to display the effect of advantages in the real economy on the finance area. 1.3. CONTRIBUTION of the ARTICLE to the LITERATURE There are various studies about the relationship between macroeconomic variables and stock prices in the literature. Therefore the studies which investigate the impact of Turkey’s competition force and capacity utilization rate on BİST-100 indexes is restricted. This study also uses the variables in the period between 2009:Q1 and 2019:Q4. Other studies which investigated the relationship using similar variables did not use the same period. 2. DESIGN AND METHOD 2.1. RESEARCH TYPE Recently, the advantages of the real economy effect also the financial sector. Some macroeconomic variables are used to measure how and in which direction the reeling economy affect the financial tools such as stock prices. This study investigates the impact of two of critical macroeconomic variables; revealed comparative advantages index and capacity utilization rate on the stock prices. The applied analysis method is used to measure the effect of these variables on the dependent variable. Design of the study is established on the explanatory research method. Data are analyzed based on the computer program. 2.2. RESEARCH PROBLEMS The study is related to the analysis based on whether the revealed comparative advantages index and capacity utilization rate is effective on the stock prices. In this way how and in which direction these two independent variables affect the stock prices of textile sector in BİST-100? Question is the problem of the research. Granger causality test is used to determine the questions of; Are the revealed comparative advantages index and capacity utilization rate cause the stock prices of the textile sector in the short term? Are there any bidirectional and unidirectional causality between variables? 2.3. DATA COLLECTION METHOD The impact of independent variables on the dependent variable is tested using a time series model in the period between 2009:Q1 and 2019:Q4. BİST-100 data is obtained from Thomson Reuters; the revealed comparative advantages index data is received from the International Trade Center and World Trade Organisation. EVDS is the source of the capacity utilization rate data. 2.4. QUANTITATIVE ANALYSIS Time series analysis based on Vector AutoRegressive (VAR) is used in this study. E-Views 10program is powerful about testing hypotheses, analyzing unit-root test, Granger causality test and others. Both of these analyses are determined by the quantitive analysis method. 2.5. RESEARCH MODEL The quarterly data set is performed using E-Views 10 program, and the VAR method is used to display the relationship between variables. BİST-100 indexes (LnBİST) is used as a dependent variable, revealed comparative advantages index (LnAKÜ) and capacity utilization rate (LnKKO) are used as independent variables. The logarithmic form of these variables is applied while analyzing: LnBİST= a0+a1+LnKKO+a2+LnAKÜ 2.6. RESEARCH HYPOTHESES Main hypotheses of the study are: H0: Changes in related macroeconomic variables do not affect the stock price returns in the textile sector. H1: Changes in related macroeconomic variables affect the stock price returns in the textile sector. 3. FINDINGS AND DISCUSSION 3.1. FINDINGS as a RESULT of ANALYSIS In the study, a logarithmic form of the data is implemented. Augmented Dickey-Fuller unit root test is applied to test the stationary of the variables. LnKKO variable is stationary in the level and first difference. LnAKÜ and LnBİST variables are stationary at first difference level in the rate of 1%. Granger causality test is performed to analyze the short-term causality relationship between variables. According to the test results; there is a bidirectional relationship between LnBİST and LnKKO. On the other hand relationship between LnBİST and LnAKÜ is unidirectional. As a result, these two independent variables are essential in explaining the changes in the stock prices returns of textile sector. Variance decomposition is another applied method in the study. Result of the test indicates that the BİST-100 index is explained by revealed comparative advantages index more. 3.2. HYPOTHESIS TEST RESULTS The H0 hypothesis is rejected. According to the test results; changes in the two independent variables affect the independent variable. 3.3. DISCUSSING the FINDINGS with the LITERATURE The study indicates that the revealed comparative advantages index and the capacity utilization rate affect the BİST-100 textile index. Aktaş and Akdağ (2013) also found the same result that capacity utilization rate and BİST-100 index have a bi-directional relationship. 4. CONCLUSION, RECOMMENDATION AND LIMITATIONS 4.1. RESULTS of the ARTICLE In this study, the impact of the revealed comparative advantages index and capacity utilization rate on textile stock prices in Turkey is investigated. The period of the research is used as quarterly and between 2009:Q1 and 2019:Q4. Results can be indicated as: • There is a bidirectional relationship between stock prices of textile sector in Turkey and capacity utilization rate. On the other hand, BİST-100 textile index does not cause a change on the revealed comparative advantages index, but the revealed comparative advantages index causes a change in BİST-100 textile index. • Variance decomposition test results indicate that BİST-100 index is affected by the revealed comparative advantages index and capacity utilization rate. However, the impact of the capacity utilization rate on the BİST-100 textile index is higher than another variable. 4.2. SUGGESTIONS BASED on RESULTS • Causality analysis between variables is implemented using the VAR method. Other analysis methods also can be useful to determine the existence and direction of the relationship among variables. • In the study, the revealed comparative advantages index and the capacity utilization rate are used as proxy variables of macroeconomic factors. Other variables which are essential for textile stock prices can be added in other studies. 4.3. LIMITATIONS of the ARTICLE • Time series model is used in the study. Extension of the period can be helpful for the explanatory power of results. At the same time increase in explanatory variables may also be useful for the explanatory power of results.