Economics at your fingertips  

The Influence of Institutional Quality and Financial Risk on Stock Market Index: An Empirical Study for Turkey

Yüksel İltaş and Gülbahar Üçler

Sosyoekonomi Journal, 2019, issue 27(41)

Abstract: 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 financial 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.

Keywords: Institutional Quality; Multiple Structural Breaks Unit Root and Cointegration Tests; Borsa Istanbul; ICRG. (search for similar items in EconPapers)
JEL-codes: C32 E44 G10 G28 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

More articles in Sosyoekonomi Journal from Sosyoekonomi Society Cihan St. 27/7 06430 Sihhiye Ankara Turkey.
Bibliographic data for series maintained by Aysen Sivrikaya ().

Page updated 2020-10-24
Handle: RePEc:sos:sosjrn:190306