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TÜRKİYE’DEKİ MENKUL KIYMET YATIRIM ORTAKLIKLARININ ETKİNLİKLERİNİN VERİ ZARFLAMA ANALİZİ İLE DEĞERLENDİRİLMESİ

Year 2008, Issue: 31, 69 - 94, 11.05.2015

Levent Çıtak

Abstract

Bu çalışmada parametrik olmayan bir etkinlik ölçüm yöntemi olan Veri Zarflama Analizi (VZA) ile Türkiye’deki menkul kıymet yatırım ortaklıklarının etkinlikleri değerlendirilmektedir. Çalışmada üç adet girdi ve üç adet çıktının yer aldığı CCR ve BCC veri zarflama modelleri kullanılmıştır. 2005-2007 yılını kapsayan çalışmada menkul kıymet yatırım ortaklıklarının faaliyet etkinsizlikleri saf teknik etkinsizlikten ziyade ölçek etkinsizliğinden kaynaklanmakta iken, son dönemde ölçek etkinliklerini arttırarak daha etkin hale geldikleri ortaya çıkmıştır. Menkul kıymet yatırım ortaklıklarının büyük bir çoğunluğu ölçeğe göre artan getiride faaliyet göstermektedir. Bu durum, genişlemek suretiyle daha etkin hala gelebileceklerini göstermektedir. Ayrıca, büyük menkul kıymet yatırım ortaklıkları küçük olanlardan daha etkin durumdadır.

Keywords

Menkul Kıymet Yatırım Ortaklıkları Veri Zarflama Analizi Toplam Teknik Etkinlik Saf Teknik Etkinlik Ölçek Etkinliği.

References

  • ALEXANDER, Michael; (2007), “Complex Decision Making using Non- Parametric Data Envelopment Analysis (Chapter 6)”, iç. H. QUDRAT- ULLAH, J.M. SPECTOR, P.I. DAVIDSEN (Ed.), Complex Decision Making, Springer, ss. 97-111.
  • ALY, Hassan Y.; Richard GRABOWSKİ; Carl PASURKA ve Nanda RANGAN; (2001), “Technical, Scale, and Allocative Efficiencies in U.S. Banking: An Empirical Investigation”, The Review of Economics and Statistics 72(2), ss. 211-218.
  • ANDERSON, Randy I.; Robert FOK; Thomas SPRINGER ve James WEBB; (2002) “Technical Efficiency and Economies Of Scale: A Non- Parametric Analysis Of REIT Operating Efficiency”, European Journal of Operational Research, 139, ss. 598-612.
  • ATAN, Murat; A. GÖKSEL ve G. KARPAT; (2002), “Ankara’daki Anadolu liselerinin Toplam Etkinliğinin Veri Zarflama Analizi (VZA) ile Sap- tanması”, XI. Eğitim Bilimleri Kongresi, KKTC Yakın Doğu Üniver- sitesi, Kıbrıs, 23-26 Ekim.
  • BAKIRCI, Fehim; (2006), Üretimde Etkinlik ve Verimlilik Ölçümü Veri Zarflama Analizi: Teori ve Uygulama, Atlas Yayınları, 1. Basım, An- kara, 250s.
  • BANKER, R.D.; A. CHARNES ve William W. COOPER; (1984), “Some Models for Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis, Management Science, 30(9), ss. 1078-1092.
  • CHARNES, Abraham; William W. COOPER ve Eduardo RHODES; (1978), “Measuring the Efficiency of Decisison Making Units”, European Journal of Operational Research, 2, ss. 429-444.
  • CHEN, Zhiping ve Ruiyue LİN; (2006), “Mutual Fund Performance Evaluation Using Data Envelopment Analysis with New Risk Measures”, OR Spectrum, 28(3), ss. 375-398.
  • CHOI, Yoon K. ve B.P.S MURTHI; (2001), “Relative Performance Evaluation of Mutual Funds: A Non-Parametric Approach”, Journal of Business Finance and Accounting, 28(7) & (8), ss.853-876.
  • CUMMINS , J. David ve Hongmin ZI; (1998), “Comparison of Frontier Efficiency Methods: An Application to the U.S. Life Insurance Industry”, Journal of Productivity Analysis, 10, ss.131-152.
  • DYSON, R.G.; R. ALLEN; A.S. CAMANHO; V.V. PODINOVSKI; C.S. SARRICO ve E.A. SHALE; (2001), “Pitfalls and Protocols in DEA”, European Journal of Operational Research, 132, ss.245-259.
  • ELING, Martin; (2006), “Performance Measurement Of Hedge Funds Using Data Envelopment Analysis”, Financial Markets Portfolio Management, 20, ss. 442-471.
  • FERRIS, Stephen P. ve Don M. CHANCE; (1987), “The Effect of 12b-1 Plans on Mutual Fund Expense Ratios: A Note”, The Journal Of Finance, 42(4), ss. 1077-1090.
  • GALAGEDERA, Don U.A.ve Param SİLVAPULLE; (2002), “Australian Mutual Fund Performance Appraisal Using Data Envelopment Analysis”, Managerial Finance, 28(9), ss. 60-73.
  • GREGORİOU, Greg N.; Komlan SEDZRO ve Joe ZHU; (2005), “Hedge Fund Performance Appraisal Using Data Envelopment Analysis”, European Journal of Operational Research, 164, ss. 555–571.
  • GRINBLATT, Mark ve Sheridan TITMAN; (1989), “Mutual Fund Performance: An Analysis of Quartely Portfolio Holdings”, Journal of Business, 62(3), ss. 392-416.
  • HASLEM, John A. ve Carl A. SCHERAGA; (2003), “Data Envelopment Analysis of Morningstar’s Large-Cap Mutual Funds”, The Journal of Investing, Winter 2003, ss. 41-48.
  • HASLEM, John A. ve Carl A. SCHERAGA; (2006), “Data Envelopment Analysis of Morningstar’s Small-Cap Mutual Funds”, The Journal of Investing, Spring 2006, ss. 1-.6. İSTANBUL MENKUL KIYMETLER BORSASI, İnternet Erişim Tarihi: http://www.imkb.gov.tr/piyasalar/hisse.htm#fon 14.12.2007.
  • JACOBS, Rowena; (2001), “Alternative Methods to Examine Hospital Efficiency: Data Envelopment Analysis and Stochastic Erontier Analysis”, Health Care Management Science, 4, ss. 103-115
  • MURTHI, B.P.S.; Yoon K. CHOI; Preyas DESAI; (1997), “Efficiency Of Mutual Funds and Portfolio Performance Measurement: A Non- Parametric Approach”, European Journal of Operational Research, 98, ss. 408-418.
  • NGUYEN, Huyen ve Thi THANH; (2006), “On the Use Data Development Analysis in Hedge Fund Performance Appraisal”, İnternet Adresi: http://halshs.archives-ouvertes.fr/docs/00/12/02/92/PDF/ Nguyen_Hedge FundPerformance_DEA_200612.pdf, Erişim Tarihi: 02.12.2007.
  • OZKAN-GUNAY, E. Nur ve Arzu TEKTAS; (2006), “Efficiency Analysis Of The Turkish Banking Sector In Precrisis and Crisis Perıod: A Dea Approach”, Contemporary Economic Policy, 24(3), ss. 418-431.
  • ROWE, Wei Wang ve Wallace N. Davidson III; (2000), “Fund Manager Succession in Closed-End Mutual Funds”, The Financial Review, 35, ss.53-78.
  • SENGUPTA, Jati K.; (2003), “Efficiency Tests for Mutual Fund Portfolios”, Applied Financial Economics, 13, ss. 869-876.
  • SERMAYE PİYASASI KURULU, İnternet Adresi: http://www.spk.gov.tr/kyd /yo/yo_ index.html?tur=, Erişim Tarihi: 14.12.2007.
  • SHERMAN, H. David ve Franklin GOLD; (1985), “Bank Branch Operating Efficiency Evaluation With Data Envelopment Analysis”, Journal of Banking and Finance, 9, ss. 297-315.
  • TARIM, Armağan; (2001), Veri Zarflama Analizi: Matematiksel Program- lama Tabanlı Göreli Etkinlik Ölçüm Yaklaşımı, İnceleme, “Araştır- ma, İnceleme, Çeviri Dizisi”, Sayıştay Yayın İşleri Müdürlüğü, Ankara, 222s.
  • TARIM, S. Armağan ve Mehmet Baha KARAN; (2001), “Investment Fund Performance Measurement Using Weight-Restricted Data Envelopment Analysis: An Application to the Turkish Capital Market”, Russian and East European Finance and Trade, 37 (5), ss. 64-84.
  • TOPUZ, John C.; Ali F. DARRAT ve Roger M. SHELOR; (2005), “Technical, Allocative and Scale Efficiencies of REITs: An Empirical Inquiry”, Journal of Business Finance & Accounting, 32(9) & (10), ss. 1961- 1994.
  • YILDIZ, Ayşe; (2006), “Yatırım Fonları Performanslarının Veri Zarflama Ana- lizi Yöntemiyle değerlendirilmesi”, Ankara Üniversitesi SBF Dergisi, 61(2), ss. 211-234.
  • YILMAZ, Cengiz; Tuncer ÖZDİL ve Güray AKDOĞAN; (2002), Seçilmiş İşletmelerin Toplam Etkinliklerinin Veri Zarflama Yöntemi İle Ölçül- mesi”, Manas Üniversitesi Sosyal Bilimler Dergisi, Kırgızistan Tür- kiye Manas Üniversitesi Yayınları: 20, 6(4), ss. 174-183.

Year 2008, Issue: 31, 69 - 94, 11.05.2015

Levent Çıtak

Abstract

References

  • ALEXANDER, Michael; (2007), “Complex Decision Making using Non- Parametric Data Envelopment Analysis (Chapter 6)”, iç. H. QUDRAT- ULLAH, J.M. SPECTOR, P.I. DAVIDSEN (Ed.), Complex Decision Making, Springer, ss. 97-111.
  • ALY, Hassan Y.; Richard GRABOWSKİ; Carl PASURKA ve Nanda RANGAN; (2001), “Technical, Scale, and Allocative Efficiencies in U.S. Banking: An Empirical Investigation”, The Review of Economics and Statistics 72(2), ss. 211-218.
  • ANDERSON, Randy I.; Robert FOK; Thomas SPRINGER ve James WEBB; (2002) “Technical Efficiency and Economies Of Scale: A Non- Parametric Analysis Of REIT Operating Efficiency”, European Journal of Operational Research, 139, ss. 598-612.
  • ATAN, Murat; A. GÖKSEL ve G. KARPAT; (2002), “Ankara’daki Anadolu liselerinin Toplam Etkinliğinin Veri Zarflama Analizi (VZA) ile Sap- tanması”, XI. Eğitim Bilimleri Kongresi, KKTC Yakın Doğu Üniver- sitesi, Kıbrıs, 23-26 Ekim.
  • BAKIRCI, Fehim; (2006), Üretimde Etkinlik ve Verimlilik Ölçümü Veri Zarflama Analizi: Teori ve Uygulama, Atlas Yayınları, 1. Basım, An- kara, 250s.
  • BANKER, R.D.; A. CHARNES ve William W. COOPER; (1984), “Some Models for Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis, Management Science, 30(9), ss. 1078-1092.
  • CHARNES, Abraham; William W. COOPER ve Eduardo RHODES; (1978), “Measuring the Efficiency of Decisison Making Units”, European Journal of Operational Research, 2, ss. 429-444.
  • CHEN, Zhiping ve Ruiyue LİN; (2006), “Mutual Fund Performance Evaluation Using Data Envelopment Analysis with New Risk Measures”, OR Spectrum, 28(3), ss. 375-398.
  • CHOI, Yoon K. ve B.P.S MURTHI; (2001), “Relative Performance Evaluation of Mutual Funds: A Non-Parametric Approach”, Journal of Business Finance and Accounting, 28(7) & (8), ss.853-876.
  • CUMMINS , J. David ve Hongmin ZI; (1998), “Comparison of Frontier Efficiency Methods: An Application to the U.S. Life Insurance Industry”, Journal of Productivity Analysis, 10, ss.131-152.
  • DYSON, R.G.; R. ALLEN; A.S. CAMANHO; V.V. PODINOVSKI; C.S. SARRICO ve E.A. SHALE; (2001), “Pitfalls and Protocols in DEA”, European Journal of Operational Research, 132, ss.245-259.
  • ELING, Martin; (2006), “Performance Measurement Of Hedge Funds Using Data Envelopment Analysis”, Financial Markets Portfolio Management, 20, ss. 442-471.
  • FERRIS, Stephen P. ve Don M. CHANCE; (1987), “The Effect of 12b-1 Plans on Mutual Fund Expense Ratios: A Note”, The Journal Of Finance, 42(4), ss. 1077-1090.
  • GALAGEDERA, Don U.A.ve Param SİLVAPULLE; (2002), “Australian Mutual Fund Performance Appraisal Using Data Envelopment Analysis”, Managerial Finance, 28(9), ss. 60-73.
  • GREGORİOU, Greg N.; Komlan SEDZRO ve Joe ZHU; (2005), “Hedge Fund Performance Appraisal Using Data Envelopment Analysis”, European Journal of Operational Research, 164, ss. 555–571.
  • GRINBLATT, Mark ve Sheridan TITMAN; (1989), “Mutual Fund Performance: An Analysis of Quartely Portfolio Holdings”, Journal of Business, 62(3), ss. 392-416.
  • HASLEM, John A. ve Carl A. SCHERAGA; (2003), “Data Envelopment Analysis of Morningstar’s Large-Cap Mutual Funds”, The Journal of Investing, Winter 2003, ss. 41-48.
  • HASLEM, John A. ve Carl A. SCHERAGA; (2006), “Data Envelopment Analysis of Morningstar’s Small-Cap Mutual Funds”, The Journal of Investing, Spring 2006, ss. 1-.6. İSTANBUL MENKUL KIYMETLER BORSASI, İnternet Erişim Tarihi: http://www.imkb.gov.tr/piyasalar/hisse.htm#fon 14.12.2007.
  • JACOBS, Rowena; (2001), “Alternative Methods to Examine Hospital Efficiency: Data Envelopment Analysis and Stochastic Erontier Analysis”, Health Care Management Science, 4, ss. 103-115
  • MURTHI, B.P.S.; Yoon K. CHOI; Preyas DESAI; (1997), “Efficiency Of Mutual Funds and Portfolio Performance Measurement: A Non- Parametric Approach”, European Journal of Operational Research, 98, ss. 408-418.
  • NGUYEN, Huyen ve Thi THANH; (2006), “On the Use Data Development Analysis in Hedge Fund Performance Appraisal”, İnternet Adresi: http://halshs.archives-ouvertes.fr/docs/00/12/02/92/PDF/ Nguyen_Hedge FundPerformance_DEA_200612.pdf, Erişim Tarihi: 02.12.2007.
  • OZKAN-GUNAY, E. Nur ve Arzu TEKTAS; (2006), “Efficiency Analysis Of The Turkish Banking Sector In Precrisis and Crisis Perıod: A Dea Approach”, Contemporary Economic Policy, 24(3), ss. 418-431.
  • ROWE, Wei Wang ve Wallace N. Davidson III; (2000), “Fund Manager Succession in Closed-End Mutual Funds”, The Financial Review, 35, ss.53-78.
  • SENGUPTA, Jati K.; (2003), “Efficiency Tests for Mutual Fund Portfolios”, Applied Financial Economics, 13, ss. 869-876.
  • SERMAYE PİYASASI KURULU, İnternet Adresi: http://www.spk.gov.tr/kyd /yo/yo_ index.html?tur=, Erişim Tarihi: 14.12.2007.
  • SHERMAN, H. David ve Franklin GOLD; (1985), “Bank Branch Operating Efficiency Evaluation With Data Envelopment Analysis”, Journal of Banking and Finance, 9, ss. 297-315.
  • TARIM, Armağan; (2001), Veri Zarflama Analizi: Matematiksel Program- lama Tabanlı Göreli Etkinlik Ölçüm Yaklaşımı, İnceleme, “Araştır- ma, İnceleme, Çeviri Dizisi”, Sayıştay Yayın İşleri Müdürlüğü, Ankara, 222s.
  • TARIM, S. Armağan ve Mehmet Baha KARAN; (2001), “Investment Fund Performance Measurement Using Weight-Restricted Data Envelopment Analysis: An Application to the Turkish Capital Market”, Russian and East European Finance and Trade, 37 (5), ss. 64-84.
  • TOPUZ, John C.; Ali F. DARRAT ve Roger M. SHELOR; (2005), “Technical, Allocative and Scale Efficiencies of REITs: An Empirical Inquiry”, Journal of Business Finance & Accounting, 32(9) & (10), ss. 1961- 1994.
  • YILDIZ, Ayşe; (2006), “Yatırım Fonları Performanslarının Veri Zarflama Ana- lizi Yöntemiyle değerlendirilmesi”, Ankara Üniversitesi SBF Dergisi, 61(2), ss. 211-234.
  • YILMAZ, Cengiz; Tuncer ÖZDİL ve Güray AKDOĞAN; (2002), Seçilmiş İşletmelerin Toplam Etkinliklerinin Veri Zarflama Yöntemi İle Ölçül- mesi”, Manas Üniversitesi Sosyal Bilimler Dergisi, Kırgızistan Tür- kiye Manas Üniversitesi Yayınları: 20, 6(4), ss. 174-183.
There are 31 citations in total.

Details

Primary Language Turkish
Journal Section Makaleler
Authors

Levent Çıtak This is me

Publication Date May 11, 2015
Published in Issue Year 2008 Issue: 31

Cite

APA Çıtak, L. (2015). TÜRKİYE’DEKİ MENKUL KIYMET YATIRIM ORTAKLIKLARININ ETKİNLİKLERİNİN VERİ ZARFLAMA ANALİZİ İLE DEĞERLENDİRİLMESİ. Erciyes Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi(31), 69-94.

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