Effect of corporate governance on stock return: An investigation in BIST

The concept of corporate governance is a phenomenon that has become increasingly important after the corporate scandals and the economic crises that have occurred as a result of authoritative abuses in the world. Since this approach has begun to be debated, some standards have been shaped around the world in the framework of laws and principles. A transparent, auditable and accountable structure of companies is the most important purpose of corporate governance. Companies that implement corporate governance in an effective manner are expected to be preferred to investors and the performance of their stocks is expected to be influenced positively. In this study, the effect of the stock of corporate governance practices in Turkey were analyzed by a panel VAR model. So that the relationship between the corporate governance ratings of 19 firms and the return of stocks, which are included in the corporate governance index between 2009 and 2016 and which can reach at least five observations, is examined. According to the findings, there is a negative effect of corporate governance practices on stock returns. In the study, the performance of the corporate governance index was also included in the analysis by comparing it with the BIST100 and BIST30 index. According to the results of the performance evaluation, the performance of the corporate governance index fall behind the other two indexes compared to the Sharpe, Treynor and Jensen criteria.