Özet:

For developing countries such as Turkey, capital accumulation is critical for economic growth. One of the ways to ensure capital accumulation is to provide an environment that can attract the investment of the shareholder to the country. In this context, the analysis of the factors affecting the return on the share in terms of financial investors is an important area of interest. One of these factors is the risk factor. In this context, this study tests the relationship between the political risk within the systematic risk group and the share return. The political risk scores used in the study are provided by the International Country Risk Guide (ICRG) and the data used for the return of the stock exchange (BIS) covers the average monthly values of the daily closing figures of the stock exchange. The study examines the relationship between the share revenues of companies in five separate sectors (Energy, Banking and Private Finance Institutions, Real Estate Investment Partnerships, Retail and Chemistry, Petroleum Gum and Plastic) and the country’s political risk point with monthly data from 2006:1-2016:12 period. The research has applied panel unit root, panel integration and panel cause analysis methods. Forecast results show that political risk in all sectors has a negative impact on stock revenues. The results of the causality test show that there is a one-way causality relationship from political risk to the return of stock. In the results section of the study, the findings were discussed and various policy suggestions were presented.

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