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Risk-Getiri İlişkisinin Analizi: Türkiye Örneği

Yıl 2021, Cilt: 6 Sayı: 1, 14 - 38, 31.03.2021
https://doi.org/10.29106/fesa.799148

Öz

Bu çalışmada Türk hisse senedi piyasaları için risk ile getiri arasındaki ilişki analiz edilmiştir. Bu amaçla öncelikle geleneksel yaklaşım çerçevesinde FIAPARCH-M, FIGARCH-M, HYGARCH, APARCH-M, GJR-GARCH ve GARCH-M modellerinden yararlanılmıştır. İlgili modeller hem tüm dönem için hem de volatilitedeki çoklu yapısal kırılmalar dikkate alınarak belirlenen yüksek ve düşük volatilite dönemleri için ayrı ayrı tahmin edilmiştir. Daha sonra alternatif bir yaklaşım olarak ilgili tüm modeller gerçekleşen piyasa risk priminin pozitif olduğu dönemler ile negatif olduğu dönemler dikkate alınarak tekrar tahmin edilmiştir. Ayrıca, bu alternatif modele dayalı olarak aşırı tepki hipotezinin Türk hisse senedi piyasaları için geçerli olup olmadığı da incelenmiştir. Geleneksel yaklaşıma dayalı bulgular teorik beklentilerin aksine Türk hisse senedi piyasasında risk ile getiri arasında negatif ve istatistiki olarak anlamlı olmayan bir ilişki olduğu sonucuna işaret etmektedir. Alternatif yaklaşıma dayalı bulgular ise risk ile getiri arasında teorik beklentilerle uyumlu bir ilişki olduğunu göstermektedir. Bulgular ayrıca aşırı tepki hipotezinin Türk hisse senedi piyasaları için geçerli olmadığı sonucuna işaret etmektedir. Bu bulgu da Türk hisse senedi piyasalarında uygulanabilecek yatırım stratejileri konusunda önemli bilgiler içermektedir.

Kaynakça

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Toplam 99 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular İşletme
Bölüm Araştırma Makaleleri
Yazarlar

Önder Büberkökü 0000-0002-7140-557X

Yayımlanma Tarihi 31 Mart 2021
Gönderilme Tarihi 23 Eylül 2020
Kabul Tarihi 3 Ocak 2021
Yayımlandığı Sayı Yıl 2021 Cilt: 6 Sayı: 1

Kaynak Göster

APA Büberkökü, Ö. (2021). Risk-Getiri İlişkisinin Analizi: Türkiye Örneği. Finans Ekonomi Ve Sosyal Araştırmalar Dergisi, 6(1), 14-38. https://doi.org/10.29106/fesa.799148