Öz
Modern portföy teorisinin temel
varsayımı korelasyonu düşük varlıkların portföye dahil edilmesinin portföy
riskini azaltacağıdır. Bu çalışmada öncelikle altının Türkiye piyasası hisse
senedi portföylerine sağladığı çeşitlendirme katkısı araştırılmıştır. Hisse
senetleri ile altın arasında negatif korelasyon ve negatif beta katsayısının
varlığı tespit edilmiş, söz konusu negatif ilişkinin yerel ve global şok
dönemlerinde artış gösterdiği görülmüştür. Buradan hareketle hisse senedi
portföylerini altın ile çeşitlendirmenin normal zamanlarda portföye istikrar
kazandıracağı negatif şok dönemlerinde de kayıpları sınırlayacağı; bir başka
ifade ile ülkemiz yatırımcısı açısından altının güvenli liman olduğu sonucuna
ulaşılmıştır. Ayrıca çalışmada emtiaların portföy çeşitlendirmesine katkısı
değerlendirilmiş ve diğer değerli metaller olan platinyum ve gümüşün de hisse
senedi portföy çeşitlendirmesine katkı sağlayacağına dair bulgular
edinilmiştir.
Anahtar Kelimeler
Kaynakça
- KAYNAKLARKitaplarKARAN, M.B. (2011), Yatırım Analizi ve Portföy Yönetimi, Ankara: Gazi Kitabevi, 3. Baskı.Makale ve BildirilerAKSOY, M., TOPÇU, N. (2013) “Altın ile Hisse Senedi ve Enflasyon Arasındaki İlişki”, Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, Cilt: 27, Sayı: 1, 59-78.ALKULAIB, Y., ALMUDHAF, F. (2011), “Does Gold Shine in the Portfolio of a Kuwaiti Investor”, International Journal of Economics and Finance, Vol. 4, No. 1; January 2012.BAUR, D.G., LUCEY, B.M. (2010) “Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold”, The Financial Review, 45, 217–229.BAUR, D.G., MCDERMOTT, T.K. 2010, “Is Gold a Safe Haven? International Evidence”, Journal of Banking & Finance, Vol:34, 1886–1898.BECKMANN, J., BERGER, T., CZUDAJ, R. 2014 “Does Gold Act as a Hedge or a Safe Haven for Stocks? A Smooth Transition Approach”, Ruhr Economic Papers, Working Paper, No. 502, 1-21.CHEN, A.S., LIN, J.W., 2014, “The Relation Between Gold and Stocks: An Analysis of Severe Bear Markets”, Applied Economics Letters, Vol. 21, No. 3, 158–170.CHUA, J.H., SICK, G., WOODWARD, R.S., 1990, “Diversifying with Gold Stocks”, Financial Analysts Journal, V:46, Issue:4, 76-79.CHOUDHRY, T., HASSAN, S.S., SAROSH, S., 2015, “Relationship between gold and stock markets during the global financial crisis: Evidence from nonlinear causality tests”, International Review of Financial Analysis, Vol:41, 247-256.CONOVER, C.M., JENSEN, G.R., JOHNSON, R.R., MERCER, J.M, 2007, “Can Precious Metals Make Your Portfolio Shine?”, Working Paper.ÇİTAK, S. (1999), “Dünya Altın Piyasaları, İstanbul Altın Borsası ve Risk Yönetiminde Altın”, İMKB Dergisi, Cilt: 3 Sayı: 12, Ekim-Kasım-Aralık 1999, 51-89.HILLIER, D., Draper, P., & Faff, R. (2006). “Do Precious Metals Shine? An investment perspective”, Financial Analysts Journa, 62(2), 98-106.HOANG, T.H.V., LEAN, H.H., Wong, W.K. 2015, International Review of Financial Analysis, Vol: 42, 98–108.ILDIRAR, M., ISCAN, E. (2016) “The Interaction Between Stock Prices And Commodity Prices: Eastern Europe and Central Asia Case”, International Journal of Economics And Finance Studies, 8(2), 94-106.JAFFE, J.F. 1989 “Gold and Gold Stocks for Institutional Portfolios”, Financial Analysts Journal, March/April 1989.LEVY, R.A. (1968) “Measurement of Investment Performance”, The Journal of Financial and Quantitative Analysis, 3(1), 35-57.MULYADI, M.S., ANWAR, Y. (2012) “Gold Versus Stock Investment: An Econometric Analysis”, International Journal of Development and Sustainability, Vol.1 No.1, 1-7.SMITH, K.V. ve TITO, D.A. (1969) “Risk-Return Measures of Ex Post Portfolio Performance”, Journal of Financial and Quantative Analysis, 4(4),449-471.RATNER, M., & KLEİN, S. (2008). The portfolio implications of gold investment. Journal of Investing, Spring, 77-87,SUMNER , Steven W., JOHNSON,R., SOENEN,L. (2011), “Spillover Effects Among Gold, Stocks, and Bonds”, Journal of Centrum Cathedra, 3(2),TezlerDENİZ, D. (2014) “Portföy Yönetiminde Uluslararası Çeşitlendirme ve Bir Türkiye Uygulaması”, İstanbul Üniveristesi Sosyal Bilimler Enstitüsü, Yüksek Lisans Tezi.ERMİŞ, Volkan 2010 “The Factors Affecting Commodity Futures and Their Correlation with Each Other”, İstanbul Bilgi Üniversitesi Sosyal Bilimler Enstitüsü, İstanbul.GÖKAKIN, Efe 2014 “Emtia Fiyatları ve Tanınmış Bazı Endekslerin BİST100 Endeksi Üzerine Etkisi”, Uşak Üniversitesi Sosyal Bilimler Enstitüsü, Yüksek Lisans Tezi, Uşak.JONSON, C., LARSSON, A. (2014) “The Benefits Commodity Futures- An Investigation from Perspective of Swedish and Norwegian Investor”, Master Thesis, Copenhagen Business School, 2014 M.Sc. Applied Economics and Finance.Elektronik KaynaklarMSCI, www.mscı.comMATRİKS VERİ SAĞLAYICISI, www.matriks.com.tr
Öz
The
basic assumption of the modern portfolio theory is that adding of assets, which
has low correlation between each other, to portfolio would reduce portfolio
risk. This study investigates the contribution of gold to diversify stocks
portfolio on Istanbul Stock Exchange (BIST) between April 1999- April 2018
periods Negative correlation between stocks and gold and negative beta
coefficients for gold were found and this negative relationship increased
during local and global shock periods. For this reason, it was understood that
it is beneficial to diversify stock portfolio with gold and gold is safe haven
for BIST investor. In fact, gold was added at different ratios to stocks
portfolio and it was seen that risk of mixed portfolio decreased significantly
and increased Sharpe ratio of it compared to stocks portfolio. In addition,
losses of portfolios decreased significantly during crisis periods. Also, in
this study the contribution of commodities to portfolio diversification was
assessed and found that other precious metals, platinum and silver, may also contribute
to stock portfolio diversification.
Anahtar Kelimeler
Portfolio Diversification Commodity Gold Portfolio Performance Sharpe Ratio
Kaynakça
- KAYNAKLARKitaplarKARAN, M.B. (2011), Yatırım Analizi ve Portföy Yönetimi, Ankara: Gazi Kitabevi, 3. Baskı.Makale ve BildirilerAKSOY, M., TOPÇU, N. (2013) “Altın ile Hisse Senedi ve Enflasyon Arasındaki İlişki”, Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, Cilt: 27, Sayı: 1, 59-78.ALKULAIB, Y., ALMUDHAF, F. (2011), “Does Gold Shine in the Portfolio of a Kuwaiti Investor”, International Journal of Economics and Finance, Vol. 4, No. 1; January 2012.BAUR, D.G., LUCEY, B.M. (2010) “Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold”, The Financial Review, 45, 217–229.BAUR, D.G., MCDERMOTT, T.K. 2010, “Is Gold a Safe Haven? International Evidence”, Journal of Banking & Finance, Vol:34, 1886–1898.BECKMANN, J., BERGER, T., CZUDAJ, R. 2014 “Does Gold Act as a Hedge or a Safe Haven for Stocks? A Smooth Transition Approach”, Ruhr Economic Papers, Working Paper, No. 502, 1-21.CHEN, A.S., LIN, J.W., 2014, “The Relation Between Gold and Stocks: An Analysis of Severe Bear Markets”, Applied Economics Letters, Vol. 21, No. 3, 158–170.CHUA, J.H., SICK, G., WOODWARD, R.S., 1990, “Diversifying with Gold Stocks”, Financial Analysts Journal, V:46, Issue:4, 76-79.CHOUDHRY, T., HASSAN, S.S., SAROSH, S., 2015, “Relationship between gold and stock markets during the global financial crisis: Evidence from nonlinear causality tests”, International Review of Financial Analysis, Vol:41, 247-256.CONOVER, C.M., JENSEN, G.R., JOHNSON, R.R., MERCER, J.M, 2007, “Can Precious Metals Make Your Portfolio Shine?”, Working Paper.ÇİTAK, S. (1999), “Dünya Altın Piyasaları, İstanbul Altın Borsası ve Risk Yönetiminde Altın”, İMKB Dergisi, Cilt: 3 Sayı: 12, Ekim-Kasım-Aralık 1999, 51-89.HILLIER, D., Draper, P., & Faff, R. (2006). “Do Precious Metals Shine? An investment perspective”, Financial Analysts Journa, 62(2), 98-106.HOANG, T.H.V., LEAN, H.H., Wong, W.K. 2015, International Review of Financial Analysis, Vol: 42, 98–108.ILDIRAR, M., ISCAN, E. (2016) “The Interaction Between Stock Prices And Commodity Prices: Eastern Europe and Central Asia Case”, International Journal of Economics And Finance Studies, 8(2), 94-106.JAFFE, J.F. 1989 “Gold and Gold Stocks for Institutional Portfolios”, Financial Analysts Journal, March/April 1989.LEVY, R.A. (1968) “Measurement of Investment Performance”, The Journal of Financial and Quantitative Analysis, 3(1), 35-57.MULYADI, M.S., ANWAR, Y. (2012) “Gold Versus Stock Investment: An Econometric Analysis”, International Journal of Development and Sustainability, Vol.1 No.1, 1-7.SMITH, K.V. ve TITO, D.A. (1969) “Risk-Return Measures of Ex Post Portfolio Performance”, Journal of Financial and Quantative Analysis, 4(4),449-471.RATNER, M., & KLEİN, S. (2008). The portfolio implications of gold investment. Journal of Investing, Spring, 77-87,SUMNER , Steven W., JOHNSON,R., SOENEN,L. (2011), “Spillover Effects Among Gold, Stocks, and Bonds”, Journal of Centrum Cathedra, 3(2),TezlerDENİZ, D. (2014) “Portföy Yönetiminde Uluslararası Çeşitlendirme ve Bir Türkiye Uygulaması”, İstanbul Üniveristesi Sosyal Bilimler Enstitüsü, Yüksek Lisans Tezi.ERMİŞ, Volkan 2010 “The Factors Affecting Commodity Futures and Their Correlation with Each Other”, İstanbul Bilgi Üniversitesi Sosyal Bilimler Enstitüsü, İstanbul.GÖKAKIN, Efe 2014 “Emtia Fiyatları ve Tanınmış Bazı Endekslerin BİST100 Endeksi Üzerine Etkisi”, Uşak Üniversitesi Sosyal Bilimler Enstitüsü, Yüksek Lisans Tezi, Uşak.JONSON, C., LARSSON, A. (2014) “The Benefits Commodity Futures- An Investigation from Perspective of Swedish and Norwegian Investor”, Master Thesis, Copenhagen Business School, 2014 M.Sc. Applied Economics and Finance.Elektronik KaynaklarMSCI, www.mscı.comMATRİKS VERİ SAĞLAYICISI, www.matriks.com.tr
Ayrıntılar
| Birincil Dil | Türkçe |
|---|---|
| Bölüm | Araştırma Makaleleri |
| Yazarlar | |
| Yayımlanma Tarihi | 30 Haziran 2018 |
| Gönderilme Tarihi | 17 Nisan 2018 |
| Yayımlandığı Sayı | Yıl 2018 Cilt: 5 Sayı: 2 |
