Publication: Finansal stres endeksi ve firma finansal performansı ile ilişkisi : Türkiye imalat sanayi örneği
Abstract
Finansal istikrar, ekonomik dengeyi korumak, sürdürülebilir büyümeyi ve toplumsal refahı sağlamak için önemli bir unsudur. Finansal küreselleşme ile sermaye hareketlerinin serbestleşmesi ve finansal piyasaların bütünleşmesi büyüme ve yatırım fırsatları sunarken krizlerin oluşma potansiyelini de arttırmıştır. Bu etkiler ile birlikte finansal piyasalarda istikrarın sağlanması ve kriz risklerinin öngörülmesi, önem kazanmıştır. Finansal piyasalara ait göstergelerle oluşturulan finansal stres endeksleri ile finansal piyasaların istikrarı izlenebilmekte ve analiz edilebilmektedir. Bu çalışmada finansal piyasalara ait göstergeler ile finansal stres endeksi oluşturulmuştur. Elde edilen finansal stres endeksinin firma finansal performansı ile ilişkisi analiz edebilmiştir. Finansal stres endeksinde, döviz piyasaları, hisse senedi piyasaları, para piyasaları, tahvil piyasaları ve bankacılık sektörüne ait göstergeler yer almaktadır. Endeks söz konusu piyasalara ait göstergelerin 2006-2021 yıllarına ait çeyrek dönem verileriyle temel bileşen analiz yöntemi uygulanarak oluşturulmuştur. Türkiye için oluşturulan finansal stres endeksi önemli stres dönemlerini yansıtmaktadır. Finansal Stres Endeksinin, imalat sektöründe faaliyet gösteren 91 firmanın yatırım, nakit varlıkları ve varlık büyüme oranı ile olan ilişkisi, Genelleştirilmiş Momentler Yöntemi (GMM) kullanılarak analiz edilmiştir. Finansal stresin etkileri tüm firmalar genelinde ve ayrıca varlık büyüklüklerine göre büyük ve küçük firmalar olarak ayrı ayrı incelenmiştir. Analiz sonuçlarına göre, finansal stres endeksi ile firma yatırımları ve varlık büyüme oranı tüm modellerde negatif ve anlamlıdır. Nakit varlıklar ise tüm firmalar genelinde ve küçük firmalar için negatif ve anlamlı iken büyük firmalar için istatistiksel olarak anlamsızdır. Analizler sonucunda elde edilen bulgularda finansal stresin firmaların yatırımlarını, nakit varlıklarını ve varlık büyüme oranını olumsuz etkilediği görülmüştür. Bu araştırma Türkiye için finansal stresin firma finansal performansı üzerinde etkilerini inceleyen ilk çalışma olabilir.
Financial stability is an important element for maintaining economic balance and ensuring sustainable growth and social welfare. Financial globalization, along with liberalization of capital movements and integration of financial markets have increased the potential for crises while providing growth and investment opportunities. With these effects, ensuring stability in financial markets and predicting crisis risks have gained importance. Financial stress indices, constructed using various indicators from financial markets, provide a framework for monitoring and analyzing the stability of financial markets. In this study, a financial stress index is constructed with financial market indicators. The relationship between the financial stress index and firm financial performance was analyzed. The financial stress index includes indicators of foreign exchange markets, stock markets, money markets, bond markets and the banking sector. The index is constructed by applying the principal component analysis method with the quarterly data of the indicators of these markets for the years 2006-2021. The financial stress index constructed for Turkey reflects significant stress periods. The relationship between the Financial Stress Index and the investment, cash assets and asset growth rate of 91 manufacturing firms is analyzed using the Generalized Method of Moments (GMM). The effects of financial stress are analyzed across all firms and also separately for large and small firms by asset size. According to the results, the financial stress index with firm investments and asset growth rate are negative and significant in all models. Cash assets, on the other hand, are negative and significant across all firms and for small firms, but statistically insignificant for large firms. The findings of the analyses indicate that financial stress has a negative impact on firms' investments, cash assets and asset growth rate. This may be the first study to examine the effects of financial stress on firm financial performance in Turkey.
Financial stability is an important element for maintaining economic balance and ensuring sustainable growth and social welfare. Financial globalization, along with liberalization of capital movements and integration of financial markets have increased the potential for crises while providing growth and investment opportunities. With these effects, ensuring stability in financial markets and predicting crisis risks have gained importance. Financial stress indices, constructed using various indicators from financial markets, provide a framework for monitoring and analyzing the stability of financial markets. In this study, a financial stress index is constructed with financial market indicators. The relationship between the financial stress index and firm financial performance was analyzed. The financial stress index includes indicators of foreign exchange markets, stock markets, money markets, bond markets and the banking sector. The index is constructed by applying the principal component analysis method with the quarterly data of the indicators of these markets for the years 2006-2021. The financial stress index constructed for Turkey reflects significant stress periods. The relationship between the Financial Stress Index and the investment, cash assets and asset growth rate of 91 manufacturing firms is analyzed using the Generalized Method of Moments (GMM). The effects of financial stress are analyzed across all firms and also separately for large and small firms by asset size. According to the results, the financial stress index with firm investments and asset growth rate are negative and significant in all models. Cash assets, on the other hand, are negative and significant across all firms and for small firms, but statistically insignificant for large firms. The findings of the analyses indicate that financial stress has a negative impact on firms' investments, cash assets and asset growth rate. This may be the first study to examine the effects of financial stress on firm financial performance in Turkey.