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Ülke Riski, Sermaye Maliyeti ve Uluslararası Varlık Yönetimi

2013-12-31
Küçükkaya, Halit Engin
Uzunkaya, Mehmet
This study aims at testing the presence of a long-run relation between disaggregated country risk ratings and country stock market index movements for a large number of developing and developed countries. In other words, we hypothesize that since country risk ratings reflect financial, economic and political fundamentals of a country, from which stock prices are known to be affected, disaggregated country risk ratings can act as long-run state variables for predicting country stock market movements and there should be a cointegrating relation between disaggregated country risk ratings and country stock market movements. If such a relation is found to be present, the implications of such cointegration can provide useful insights with regard to expected returns and cost of equity capital for a given country of known country risk ratings. Indeed, Engle and Granger (1987)’s representation theorem has interesting implications for predictability. The form of the cointegrating relation, that is whether the risk ratings or stock prices are the forcing variables, will also provide useful insights regarding the market efficiency of the sample countries.