Year 2010,
Volume: 24 Issue: 1, 15 - 24, 12.04.2011
Abstract
Menkul kıymetlere yatırım yaparken göz önünde bulundurulması
gereken en önemli nokta, menkul kıymetlerin getirilerinin risklerinden fazla
olup olmadığıdır. Dolayısıyla, portföy yönetiminin başlıca amacı menkul
kıymetlerin getirisi ile riski arasında ilişki kurmaktır. Hisse senetleri için getiri
ile riski arasında ilişki kuran ölçüt beta katsayısıdır. Beta katsayısı, hisse senedi
getirisinin piyasa portföy getirisine olan duyarlılığını göstermektedir. Beta
katsayısını hesaplarken kullanılan getiri aralığı ve firmanın faaliyet göstermekte
olduğu sektör bata katsayısını etkileyen birçok faktörden iki tanesini
oluşturmaktadır. Çalışmada, İMKB’de bulunan dört sektördeki hisse
senetlerinin beta katsayıları hesaplanmış ve bunlar kullanılarak analiz
yapılmıştır. Analiz sonucu, sınai, hizmet ve teknoloji sektörlerinin pazardan
aynı şekilde etkilendiği, mali sektörün ise diğer üç sektörden farklı olarak
pazardan etkilendiği tespit edilmiştir.
References
- Brailsford, T. J. ve Faff, R. W. (1997) "Testing The Conditional CAPM And The Effect of Intervaling: A Note," Pacific-Basin Finance Journal, 5(5): 527-537
- Brailsford, T. J. ve Josev, T. (1997) “The Impact of The Return Interval On The Estimation of Systematic Risk”, Pasific-Basin Financial Journal, 5:357-376
- Ceylan, Ali ve Korkmaz, T. (2000) Sermaye Piyasası ve Menkul Değer Analizi, Ekin Kitabevi, Bursa
- Cohen, K., Hawaiwini, G., Mayer, S., Schwartz, R. ve Whitcomb, D. (1983) “Estimating and Adjusting For The Undervaluing Effect Bias in Beta,” Management Science, 29:135-148.
- Daves, P. R., Ehrhardt, M. C. ve Kunkel, R. A. (2000) “Estimating Systematic Risk: The Choice of Return Interval And Estimation Period”, Journal of Financial And Strategic Decisions, 13:7-13
- Frankfurter, G., Leung W. ve Brockman, W. (1994) “Compounding Period Length And The Market Model”, Journal of Economics And Business, 46:179–193
- Hammoudeh, S. ve Al-Gudhea, S. (2006) “Pricing Risk, Oil and Financial Factors in Saudi Sector Index Returns”, Middle Eastern And North African Economies, Vol.8
- Handa, P., Kothari, S.P., ve Wasley, C. (1989) “The Relation Between the Return Interval And Betas: Implications for the Size Effect,” Journal of Financial Economics, 23:79-100.
- Handa, P., Kothari, S.P. ve Wasley, C. (1993) “Sensitivity of Multivariate Tests of The Capital Asset Pricing Model to the Return Interval Measurement,” Journal of Finance, 48:1543-1551
- Hawawini, G. (1983) “Why Beta Shifts As The Return Interval Changes”, Financial Analysts, 39:73–77
- Martin, G., McCarthy, D. ve Schneeweis, T. (1997) “Return Interval Selection And CTA Performance Analysis”, Derivatives Quarterly, Summer:73- 82
- Mirza, Nawazish ve Simatupang, D.D. (2003), “Comparative Systematic Risk Analysis: Evidence On The Banking Sector In The United States, Western Europe And South East Asia”, The Lahore Journal Of Economics, Vol.0, No.1
- Weerakhajornsak, Weera (2007), “Asset Pricing in Energy Sector: The Evidence from Stock Exchange of Thailand”, http://department.utcc.ac.th/library/images/stories/file/.../proceeding05 8.doc, Alınış Tarihi:29.12.2009
- http://analiz.ibsyazilim.com
Year 2010,
Volume: 24 Issue: 1, 15 - 24, 12.04.2011
Abstract
References
- Brailsford, T. J. ve Faff, R. W. (1997) "Testing The Conditional CAPM And The Effect of Intervaling: A Note," Pacific-Basin Finance Journal, 5(5): 527-537
- Brailsford, T. J. ve Josev, T. (1997) “The Impact of The Return Interval On The Estimation of Systematic Risk”, Pasific-Basin Financial Journal, 5:357-376
- Ceylan, Ali ve Korkmaz, T. (2000) Sermaye Piyasası ve Menkul Değer Analizi, Ekin Kitabevi, Bursa
- Cohen, K., Hawaiwini, G., Mayer, S., Schwartz, R. ve Whitcomb, D. (1983) “Estimating and Adjusting For The Undervaluing Effect Bias in Beta,” Management Science, 29:135-148.
- Daves, P. R., Ehrhardt, M. C. ve Kunkel, R. A. (2000) “Estimating Systematic Risk: The Choice of Return Interval And Estimation Period”, Journal of Financial And Strategic Decisions, 13:7-13
- Frankfurter, G., Leung W. ve Brockman, W. (1994) “Compounding Period Length And The Market Model”, Journal of Economics And Business, 46:179–193
- Hammoudeh, S. ve Al-Gudhea, S. (2006) “Pricing Risk, Oil and Financial Factors in Saudi Sector Index Returns”, Middle Eastern And North African Economies, Vol.8
- Handa, P., Kothari, S.P., ve Wasley, C. (1989) “The Relation Between the Return Interval And Betas: Implications for the Size Effect,” Journal of Financial Economics, 23:79-100.
- Handa, P., Kothari, S.P. ve Wasley, C. (1993) “Sensitivity of Multivariate Tests of The Capital Asset Pricing Model to the Return Interval Measurement,” Journal of Finance, 48:1543-1551
- Hawawini, G. (1983) “Why Beta Shifts As The Return Interval Changes”, Financial Analysts, 39:73–77
- Martin, G., McCarthy, D. ve Schneeweis, T. (1997) “Return Interval Selection And CTA Performance Analysis”, Derivatives Quarterly, Summer:73- 82
- Mirza, Nawazish ve Simatupang, D.D. (2003), “Comparative Systematic Risk Analysis: Evidence On The Banking Sector In The United States, Western Europe And South East Asia”, The Lahore Journal Of Economics, Vol.0, No.1
- Weerakhajornsak, Weera (2007), “Asset Pricing in Energy Sector: The Evidence from Stock Exchange of Thailand”, http://department.utcc.ac.th/library/images/stories/file/.../proceeding05 8.doc, Alınış Tarihi:29.12.2009
- http://analiz.ibsyazilim.com
There are 14 citations in total.
Details
| Primary Language | tr;en |
|---|---|
| Journal Section | Makaleler |
| Authors | |
| Publication Date | April 12, 2011 |
| Published in Issue | Year 2010 Volume: 24 Issue: 1 |
