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Havayolu Sektöründe Uzun Dönem Hisse Senedi Performansının Zaman Serisi Analizi: Türk Hava Yolları Örneği

Yıl 2024, Cilt: 8 Sayı: 1, 160 - 173, 29.03.2024

Ahmet Akusta

https://doi.org/10.30586/pek.1419904

Öz

Bu çalışma, özellikle Türk Hava Yolları (THY) olmak üzere havayolu şirketlerinin uzun vadeli borsa performansına ilişkin bir zaman serisi analizi sunmaktadır. Hisse ile ilgili değişkenler İstanbul Borsası'ndan alınmış ve diğer değişkenler Türkiye İstatistik Kurumu'ndan elde edilmiştir. Araştırma, uzun bir dönem boyunca THY'nin hisse senedi fiyatlarını etkileyebilecek çeşitli ekonomik faktörleri incelemektedir. Özellikle, çalışma global enerji fiyatları, enflasyon, BIST100 endeksi, altın fiyatları, döviz kurları ve THY hisse senedi fiyatları arasındaki ilişkiyi inceler. Analiz, değişkenler arasındaki hem kısa vadeli hem de uzun vadeli ilişkileri tahmin edebilen çok yönlü bir teknik olan Otoregresif Dağıtılmış Gecikme (ARDL) yaklaşımını kullanmaktadır. Bu araştırmanın bulguları, bu ekonomik değişkenler ve THY'nin hisse senedi fiyatları arasında anlamlı ve istatistiksel olarak önemli bağlantılar ortaya koymaktadır. Özellikle, çalışma, global enerji fiyatlarının ve diğer ekonomik faktörlerin Türk Hava Yolları'nın uzun vadeli borsa performansı üzerindeki etkisini vurgulamaktadır. Bu sonuçlar, THY'nin hisse senedi fiyat hareketlerini anlamak ve tahmin etmek isteyen yatırımcılar ve analistler için değerli bilgiler sağlamaktadır.

Anahtar Kelimeler

Uzun Vadeli Hisse Senedi Performansı Zaman Serisi Analizi Türk Hava Yolları ARDL Yaklaşımı

Kaynakça

  • Alemu, K. (2020). The Relationship Between Population Growth and Economic Growth in Ethiopia. Journal of Economics and Sustainable Development, 11(15).
  • Alici, A., & Sevil, G. (2020). Analysis of Internal Financial Factors Affecting Stock Price in Airline Businesses. The Journal of International Scientific Researches.
  • Arouri, M. E. H., & Rault, C. (2012). Oil Prices And Stock Markets In Gcc Countries: Empirical Evidence From Panel Analysis. International Journal of Finance & Economics, 17(3).
  • Asadi, M., Pham, S. D., Nguyen, T. T. T., Do, H. X., & Brooks, R. (2023). The nexus between oil and airline stock returns: Does time frequency matter? Energy Economics, 117, 106444.
  • Atems, B., & Yimga, J. (2021). Quantifying the Impact of the COVID-19 Pandemic on U.S. Airline Stock Prices. Journal of Air Transport Management.
  • Barrows, S. J. (2019). Assessing the Stock Market Performances of Eu Low-Cost Airlines. International Journal of Economics and Financial Issues.
  • Branch, B. S. (1983). Linking Corporate Stock Price Performance to Strategy Formulation. Journal of Business Strategy.
  • Can, H., & Korkmaz, Ö. (2019). The Relationship Between Renewable Energy Consumption and Economic Growth. International Journal of Energy Sector Management.
  • Cao, H. (2022). The Impact of COVID-19 on Chinese Airlines’ Stock Market. https://doi.org/10.2991/978-94-6463-052-7_88
  • Chawla, V., & Shweta. (2017). Nexus Between Stock Market Returns and Economic Variables: Evidence. Mudra Journal of Finance and Accounting.
  • Chen, Q., & Lv, X. (2015). The extreme-value dependence between the crude oil price and Chinese stock markets. International Review of Economics & Finance, 39, 121–132.
  • Choi, J. W., & Choi, Y. (n.d.). A Study of Prediction of Airline Stock Price through Oil Price with Long Short-Term Memory Model. IJACSA) International Journal of Advanced Computer Science and Applications, 14(5).
  • Çinaroğlu, E., & Avci, T. (2020). THY Hisse Senedi Değerinin Yapay Sinir Ağları İle Tahmini. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 34(1), 1–19.
  • Deb, S. (2021). Analyzing Airlines Stock Price Volatility During COVID‐19 Pandemic Through Internet Search Data. International Journal of Finance & Economics.
  • Doğaner, A. (2022). The Effect of R&D Expenditures and Number of Patents on Employment in Turkiye: An Evaluation With the ARDL Analysis. Kırklareli Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi.
  • Dooley, K. (2017). Routines, Rigidity and Real Estate: Organisational Innovations in the Workplace. Sustainability.
  • Ekawarti, Y. (2018). Analisis Pengaruh Beta Saham Perbankanterhadap Harga Saham Perbankan (Studi Pada Perusahaan Sektor Perbankan Di Bursa Efek Indonesia Periode 2010-2013). Jurnal Ilmiah Ekonomi Global Masa Kini.
  • Elma, O. E. (2023). Prioritizing wholesale companies based on their financial performance: A multi-criteria decision analysis (MCDA) approach. Necmettin Erbakan Üniversitesi Siyasal Bilgiler Fakültesi Dergisi, 5(Özel Sayı), 1-14.
  • Eyüboğlu, K., & Eyüboğlu, S. (2016). Brent Petrol Fiyatının Havayolu Şirketlerinin Hisse Senedi Fiyatlarına Etkisi. Journal, 20(1), 39–53.
  • Felix, S. B., Tuyon, J., Matahir, H., & Ghazali, M. F. (2023). Hedging the Oil Price Risk Factor on Airline Stock Returns in the Asia-Pacific: A Test of Effective Hedging Instruments. Australasian Accounting, Business and Finance Journal, 17(2),
  • Ghorbel, A., Frikha, W., & Manzli, Y. S. (2022). Testing for Asymmetric Non-Linear Short- And Long-Run Relationships Between Crypto-Currencies and Stock Markets. Eurasian Economic Review.
  • Granger, C. W. J., & Newbold, P. (1974). Spurious regressions in econometrics. Journal of Econometrics, 2(2), 111–120.
  • Hamzah, H., Valeriani, D., & Yusfany, A. (2021). Pengaruh Variabel Makro Ekonomi Terhadap Indeks Harga Saham LQ-45 Di Bursa Efek Indonesia. Sorot.
  • Horobet, A., Zlatea, M. L. E., Belascu, L., & Dumitrescu, D. (2022). Oil Price Volatility and Airlines’ Stock Returns: Evidence From the Global Aviation Industry. Journal of Business Economics and Management.
  • Huang, C. (2021). Assessing the Financial Performance of Airlines in the Asia-Pacific Region. Investment Management and Financial Innovations.
  • İlkçar, M. (2023). Prediction Turkish Airlines BIST Stock Price Through Deep Artificial Neural Network Considering Transaction Volume and Seasonal Values. Journal of Information Technologies, 16(1), 43–53.
  • Ismayil, J., & Demir, O. (2023). Relationship between Twitter activity and stock performance: evidence from Turkish airline industry. Foresight, 25(5), 701–715.
  • Jabari, M. S., Aga, M., & Samour, A. (2022). Financial Sector Development, External Debt, and Turkey’s Renewable Energy Consumption. Plos One.
  • Jashan, A. A. A. (2022). Technical analysis as a tool to rationalize investment decision in equities: an application study on the Abu Dhabi Stock Exchange. Necmettin Erbakan Üniversitesi Siyasal Bilgiler Fakültesi Dergisi, 4(1), 22-33.
  • Johansen, S., & Juselius, K. (1990). Maximum Likelihood Estimation And Inference On Cointegration — With Applications To The Demand For Money. Oxford Bulletin of Economics and Statistics, 52(2), 169–210.
  • Kagalwala, A. (2022). Kpsstest: A Command That Implements the Kwiatkowski, Phillips, Schmidt, and Shin Test With Sample-Specific Critical Values and Reports P-Values. The Stata Journal Promoting Communications on Statistics and Stata.
  • Karataş, A. R., & Ergül, M. (2023). Türkiye’de Ekonomik Büyüme, Finansal Gelişme ve Ticari Açıklık: Genişletilmiş ARDL ile Kanıtlar. Necmettin Erbakan Üniversitesi Siyasal Bilgiler Fakültesi Dergisi, 5(Özel Sayı), 222-236.
  • Kızıl, E. (2019). Borsada İşlem Gören Şirketlerin Finansal Performansları İle Borsa Performansları Arasındaki İlişki: BİST Taş, Toprak Endeksindeki Çimento Firmaları Üzerine Bir Uygulama. Necmettin Erbakan Üniversitesi Siyasal Bilgiler Fakültesi Dergisi, 1(1), 51-67.
  • Li, S., & Ling, J. (2023). Process of the Study on the Influencing Factors of Airlines Stock Market. BCP Business & Management.
  • Maïga, A., Bathily, M., Bamba, A., Mouleye, I. S., & Nimaga, M. S. (2021). Analysis of the Effects of Climate Change on Maize Production in Mali. Asian Research Journal of Agriculture.
  • Mumo, M. P. (2017). Effects of Macroeconomic Volatility on Stock Prices in Kenya: A Cointegration Evidence From the Nairobi Securities Exchange (NSE). International Journal of Economics and Finance. https://doi.org/10.5539/ijef.v9n2p1
  • Nguyen, H. X., Phan, T. T. N., & Ngo, V. N. (2022). The Impact of the COVID-19 Pandemic on the Performance and Risk Profile of Airline Stocks. Contemporary Economics.
  • Özcan, İ. Ç. (2019). Stock Market Reactions to Regulatory Events on Emission Trading: Evidence From the European Airline Industry. Business and Management Studies an International Journal.
  • Ozigbo, J., & Ewubare, D. (2019). Exploring the Nexus Between Foreign Aid and Human Capital Development in Nigeria. Journal of Economics and Sustainable Development, 10(7), 39–51.
  • Pamuk, M., & Bektaş, H. (2014). Türkiye’de Eğitim Harcamaları ve Ekonomik Büyüme Arasındaki İlişki: ARDL Sınır Testi Yaklaşımı. Journal, 2(2), 77–90.
  • Pesaran, M. H., & Shin, Y. (1999). An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis. Econometrics and Economic Theory in the 20th Century, 371–413.
  • Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16(3), 289–326.
  • Rao, K. P. V, & Maguluri, K. J. (2022). Causal Analysis of Stock Prices and Macroeconomic Variables: Evidence From Indian Stock Market. Asian Economic and Financial Review.
  • Sadvakasova, K. G., Nurgazina, A. M., Nurmagambetova, A. Z., & Kassenova, G. E. (2022). Core Principles of Financing and Investment Attractiveness of Aviation Companies. Bulletin of Turan University.
  • Safdar, I. (2020). Decoupling Stock Price Momentum From Accounting Fundamentals. Pacific Accounting Review.
  • Sarwar, S., & Hussan, W. (2016). Oil Prices and Asian Emerging Stock Markets: Pakistan and Bangladesh. European Journal of Economic Studies, 16(2).
  • Schwert, G. W. (1989). Tests for Unit Roots: A Monte Carlo Investigation. Journal of Business and Economic Statistics.
  • Şener, C., & Şener, U. (2019). Monte Carlo Simülasyonu İle Hisse Senedi Fiyat Tahminleri. Journal, 7(2), 294–306.
  • Swaray, S. (2022). Stability of the Money Demand Function Revisited: Evidence From Sierra Leone. International Journal of Economics Finance and Management Sciences.

Time Series Analysis of Long-Term Stock Performance of Airlines: The Case of Turkish Airlines

Yıl 2024, Cilt: 8 Sayı: 1, 160 - 173, 29.03.2024

Ahmet Akusta

https://doi.org/10.30586/pek.1419904

Öz

This study presents a time series analysis of the long-term stock performance of airlines, with a focus on Turkish Airlines (THY). Stock-related variables were obtained from the Istanbul Stock Exchange, and other variables were obtained from the Turkish Statistical Institute. The research investigates various economic factors that may influence THY's stock prices over an extended period. Specifically, the study examines the relationship between global energy prices, inflation, the BIST100 index, gold prices, exchange rates, and THY stock prices. The analysis employs the Autoregressive Distributed Lag (ARDL) approach, a versatile technique capable of estimating both short-term and long-term relationships between variables. The findings of this research reveal significant and statistically meaningful connections between these economic variables and THY's stock prices. Notably, the study highlights the impact of global energy prices and other economic factors on the long-term stock performance of Turkish Airlines. These results provide valuable insights for investors and analysts seeking to understand and forecast THY's stock price movements.

Anahtar Kelimeler

Long-Term Stock Performance Time Series Analysis Turkish Airlines ARDL Approach

Kaynakça

  • Alemu, K. (2020). The Relationship Between Population Growth and Economic Growth in Ethiopia. Journal of Economics and Sustainable Development, 11(15).
  • Alici, A., & Sevil, G. (2020). Analysis of Internal Financial Factors Affecting Stock Price in Airline Businesses. The Journal of International Scientific Researches.
  • Arouri, M. E. H., & Rault, C. (2012). Oil Prices And Stock Markets In Gcc Countries: Empirical Evidence From Panel Analysis. International Journal of Finance & Economics, 17(3).
  • Asadi, M., Pham, S. D., Nguyen, T. T. T., Do, H. X., & Brooks, R. (2023). The nexus between oil and airline stock returns: Does time frequency matter? Energy Economics, 117, 106444.
  • Atems, B., & Yimga, J. (2021). Quantifying the Impact of the COVID-19 Pandemic on U.S. Airline Stock Prices. Journal of Air Transport Management.
  • Barrows, S. J. (2019). Assessing the Stock Market Performances of Eu Low-Cost Airlines. International Journal of Economics and Financial Issues.
  • Branch, B. S. (1983). Linking Corporate Stock Price Performance to Strategy Formulation. Journal of Business Strategy.
  • Can, H., & Korkmaz, Ö. (2019). The Relationship Between Renewable Energy Consumption and Economic Growth. International Journal of Energy Sector Management.
  • Cao, H. (2022). The Impact of COVID-19 on Chinese Airlines’ Stock Market. https://doi.org/10.2991/978-94-6463-052-7_88
  • Chawla, V., & Shweta. (2017). Nexus Between Stock Market Returns and Economic Variables: Evidence. Mudra Journal of Finance and Accounting.
  • Chen, Q., & Lv, X. (2015). The extreme-value dependence between the crude oil price and Chinese stock markets. International Review of Economics & Finance, 39, 121–132.
  • Choi, J. W., & Choi, Y. (n.d.). A Study of Prediction of Airline Stock Price through Oil Price with Long Short-Term Memory Model. IJACSA) International Journal of Advanced Computer Science and Applications, 14(5).
  • Çinaroğlu, E., & Avci, T. (2020). THY Hisse Senedi Değerinin Yapay Sinir Ağları İle Tahmini. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 34(1), 1–19.
  • Deb, S. (2021). Analyzing Airlines Stock Price Volatility During COVID‐19 Pandemic Through Internet Search Data. International Journal of Finance & Economics.
  • Doğaner, A. (2022). The Effect of R&D Expenditures and Number of Patents on Employment in Turkiye: An Evaluation With the ARDL Analysis. Kırklareli Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi.
  • Dooley, K. (2017). Routines, Rigidity and Real Estate: Organisational Innovations in the Workplace. Sustainability.
  • Ekawarti, Y. (2018). Analisis Pengaruh Beta Saham Perbankanterhadap Harga Saham Perbankan (Studi Pada Perusahaan Sektor Perbankan Di Bursa Efek Indonesia Periode 2010-2013). Jurnal Ilmiah Ekonomi Global Masa Kini.
  • Elma, O. E. (2023). Prioritizing wholesale companies based on their financial performance: A multi-criteria decision analysis (MCDA) approach. Necmettin Erbakan Üniversitesi Siyasal Bilgiler Fakültesi Dergisi, 5(Özel Sayı), 1-14.
  • Eyüboğlu, K., & Eyüboğlu, S. (2016). Brent Petrol Fiyatının Havayolu Şirketlerinin Hisse Senedi Fiyatlarına Etkisi. Journal, 20(1), 39–53.
  • Felix, S. B., Tuyon, J., Matahir, H., & Ghazali, M. F. (2023). Hedging the Oil Price Risk Factor on Airline Stock Returns in the Asia-Pacific: A Test of Effective Hedging Instruments. Australasian Accounting, Business and Finance Journal, 17(2),
  • Ghorbel, A., Frikha, W., & Manzli, Y. S. (2022). Testing for Asymmetric Non-Linear Short- And Long-Run Relationships Between Crypto-Currencies and Stock Markets. Eurasian Economic Review.
  • Granger, C. W. J., & Newbold, P. (1974). Spurious regressions in econometrics. Journal of Econometrics, 2(2), 111–120.
  • Hamzah, H., Valeriani, D., & Yusfany, A. (2021). Pengaruh Variabel Makro Ekonomi Terhadap Indeks Harga Saham LQ-45 Di Bursa Efek Indonesia. Sorot.
  • Horobet, A., Zlatea, M. L. E., Belascu, L., & Dumitrescu, D. (2022). Oil Price Volatility and Airlines’ Stock Returns: Evidence From the Global Aviation Industry. Journal of Business Economics and Management.
  • Huang, C. (2021). Assessing the Financial Performance of Airlines in the Asia-Pacific Region. Investment Management and Financial Innovations.
  • İlkçar, M. (2023). Prediction Turkish Airlines BIST Stock Price Through Deep Artificial Neural Network Considering Transaction Volume and Seasonal Values. Journal of Information Technologies, 16(1), 43–53.
  • Ismayil, J., & Demir, O. (2023). Relationship between Twitter activity and stock performance: evidence from Turkish airline industry. Foresight, 25(5), 701–715.
  • Jabari, M. S., Aga, M., & Samour, A. (2022). Financial Sector Development, External Debt, and Turkey’s Renewable Energy Consumption. Plos One.
  • Jashan, A. A. A. (2022). Technical analysis as a tool to rationalize investment decision in equities: an application study on the Abu Dhabi Stock Exchange. Necmettin Erbakan Üniversitesi Siyasal Bilgiler Fakültesi Dergisi, 4(1), 22-33.
  • Johansen, S., & Juselius, K. (1990). Maximum Likelihood Estimation And Inference On Cointegration — With Applications To The Demand For Money. Oxford Bulletin of Economics and Statistics, 52(2), 169–210.
  • Kagalwala, A. (2022). Kpsstest: A Command That Implements the Kwiatkowski, Phillips, Schmidt, and Shin Test With Sample-Specific Critical Values and Reports P-Values. The Stata Journal Promoting Communications on Statistics and Stata.
  • Karataş, A. R., & Ergül, M. (2023). Türkiye’de Ekonomik Büyüme, Finansal Gelişme ve Ticari Açıklık: Genişletilmiş ARDL ile Kanıtlar. Necmettin Erbakan Üniversitesi Siyasal Bilgiler Fakültesi Dergisi, 5(Özel Sayı), 222-236.
  • Kızıl, E. (2019). Borsada İşlem Gören Şirketlerin Finansal Performansları İle Borsa Performansları Arasındaki İlişki: BİST Taş, Toprak Endeksindeki Çimento Firmaları Üzerine Bir Uygulama. Necmettin Erbakan Üniversitesi Siyasal Bilgiler Fakültesi Dergisi, 1(1), 51-67.
  • Li, S., & Ling, J. (2023). Process of the Study on the Influencing Factors of Airlines Stock Market. BCP Business & Management.
  • Maïga, A., Bathily, M., Bamba, A., Mouleye, I. S., & Nimaga, M. S. (2021). Analysis of the Effects of Climate Change on Maize Production in Mali. Asian Research Journal of Agriculture.
  • Mumo, M. P. (2017). Effects of Macroeconomic Volatility on Stock Prices in Kenya: A Cointegration Evidence From the Nairobi Securities Exchange (NSE). International Journal of Economics and Finance. https://doi.org/10.5539/ijef.v9n2p1
  • Nguyen, H. X., Phan, T. T. N., & Ngo, V. N. (2022). The Impact of the COVID-19 Pandemic on the Performance and Risk Profile of Airline Stocks. Contemporary Economics.
  • Özcan, İ. Ç. (2019). Stock Market Reactions to Regulatory Events on Emission Trading: Evidence From the European Airline Industry. Business and Management Studies an International Journal.
  • Ozigbo, J., & Ewubare, D. (2019). Exploring the Nexus Between Foreign Aid and Human Capital Development in Nigeria. Journal of Economics and Sustainable Development, 10(7), 39–51.
  • Pamuk, M., & Bektaş, H. (2014). Türkiye’de Eğitim Harcamaları ve Ekonomik Büyüme Arasındaki İlişki: ARDL Sınır Testi Yaklaşımı. Journal, 2(2), 77–90.
  • Pesaran, M. H., & Shin, Y. (1999). An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis. Econometrics and Economic Theory in the 20th Century, 371–413.
  • Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16(3), 289–326.
  • Rao, K. P. V, & Maguluri, K. J. (2022). Causal Analysis of Stock Prices and Macroeconomic Variables: Evidence From Indian Stock Market. Asian Economic and Financial Review.
  • Sadvakasova, K. G., Nurgazina, A. M., Nurmagambetova, A. Z., & Kassenova, G. E. (2022). Core Principles of Financing and Investment Attractiveness of Aviation Companies. Bulletin of Turan University.
  • Safdar, I. (2020). Decoupling Stock Price Momentum From Accounting Fundamentals. Pacific Accounting Review.
  • Sarwar, S., & Hussan, W. (2016). Oil Prices and Asian Emerging Stock Markets: Pakistan and Bangladesh. European Journal of Economic Studies, 16(2).
  • Schwert, G. W. (1989). Tests for Unit Roots: A Monte Carlo Investigation. Journal of Business and Economic Statistics.
  • Şener, C., & Şener, U. (2019). Monte Carlo Simülasyonu İle Hisse Senedi Fiyat Tahminleri. Journal, 7(2), 294–306.
  • Swaray, S. (2022). Stability of the Money Demand Function Revisited: Evidence From Sierra Leone. International Journal of Economics Finance and Management Sciences.
Toplam 49 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Ekonometri (Diğer)
Bölüm Makaleler
Yazarlar

Ahmet Akusta 0000-0002-5160-3210

Yayımlanma Tarihi 29 Mart 2024
Gönderilme Tarihi 15 Ocak 2024
Kabul Tarihi 10 Mart 2024
Yayımlandığı Sayı Yıl 2024 Cilt: 8 Sayı: 1

Kaynak Göster

APA Akusta, A. (2024). Time Series Analysis of Long-Term Stock Performance of Airlines: The Case of Turkish Airlines. Politik Ekonomik Kuram, 8(1), 160-173. https://doi.org/10.30586/pek.1419904
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