Asymmetric relationship between financial ratios and macroeconomic indicators risk and return in Borsa Istanbul

The aim of this study is to investigate the short and long-term asymmetric effects of increases and decreases of financial rates and industrial production index on the stock returns and risk of manufacturing companies. Fort his purpose, enterprises operating in the manufacturing industry in BIST in the period 2005Q1-2019Q4 were included in the analysis . In this study, the asymmetrical effects of increases and decreases in the independent variables on the dependent variable were examined using the Nonlinear Delay Distributed Autoregressive Model (NARDL). Since panel data were used in the study, it was analyzed with the Panel NARDL method. While stock returns and risk are used as dependent variables, the independent variables are current ratio, cash conversion cycle, total debt ratio, return on equity and industrial production index. According to the results obtained from the analysis, it has been determined that various financial ratios and industrial production index have asymmetric effects on risk and return in the manufacturing industry and businesses operating in the seven sub-sectors of the manufacturing industry. Key Words: Stock Return, Risk, Asym metrical Effects, Cointegration, NARDL, Panel