The Effects of the Corporate Governance Quality of Companies on the Price Performance: A New Generation of Panel Data Analysis on the Companies Listed in the Borsa İstanbul Corporate Governance Index

Abstract

In this study; The effects of corporate governance quality assessment notes (corporate governance rating) of firms traded on Borsa Istanbul on the stock prices of firms were investigated with the help of the New Generation Panel Data Analysis methods of 27 firms using the annual data of 2012-2018 period. The presence of cross-sectional dependence among firms included in the analysis; Breusch and Pagan (1980) were tested by LM test, Pesaran (2004) LM test, Pesaran (2004) CD test and Baltagi, Feng and Kao (2012) LMBC test and it was found that there was a horizontal cross-sectional dependence between firms. Stability of series; Pesaran (2007) was examined with CADF panel unit root test and all series were determined as I (0). The coefficients in the models were estimated by using Westerlund (2007) OLSAdj method and when the corporate governance quality of the firms increased by 1 unit, it was determined that the stock prices would increase by TL 1.13. Causality relations between series; Dumitrescu and Hurlin (2012) method was examined and one-way causality relationships were found between firms' corporate governance quality and share prices.

The Impact of Port Performance on Trade: The Case of Selected African States

“…A shock witnessed in one of the panel units can greatly affect the other units. This is known as cross-section dependence in econometrics (Aktürk and Özyeşil 2019). Cross-sectional dependence can also be caused by other factors such as common shocks and model misspecification (Chudik and Pesaran 2013).…”