Risk-Getiri İlişkisinin Analizi: Türkiye Örneği

Önder Büberkökü

doi:10.29106/fesa.799148

Risk-Getiri İlişkisinin Analizi: Türkiye Örneği

Abstract

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.

Keywords

References

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Details

Primary Language

Turkish

Subjects

Business Administration

Journal Section

Research Article

Authors

Önder Büberkökü ^*
0000-0002-7140-557X
Türkiye

Publication Date

March 31, 2021

Submission Date

September 23, 2020

Acceptance Date

January 3, 2021

Published in Issue

Year 2021 Volume: 6 Number: 1

DOI

https://doi.org/10.29106/fesa.799148

IZ

https://izlik.org/JA59YF74UT

Cite

RIS / Bibtex

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

AMA

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

Chicago

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

EndNote

Büberkökü Ö (March 1, 2021) Risk-Getiri İlişkisinin Analizi: Türkiye Örneği. Finans Ekonomi ve Sosyal Araştırmalar Dergisi 6 1 14–38.

IEEE

[1]Ö. Büberkökü, “Risk-Getiri İlişkisinin Analizi: Türkiye Örneği”, Finans Ekonomi ve Sosyal Araştırmalar Dergisi, vol. 6, no. 1, pp. 14–38, Mar. 2021, doi: 10.29106/fesa.799148.

ISNAD

Büberkökü, Önder. “Risk-Getiri İlişkisinin Analizi: Türkiye Örneği”. Finans Ekonomi ve Sosyal Araştırmalar Dergisi 6/1 (March 1, 2021): 14-38. https://doi.org/10.29106/fesa.799148.

JAMA

1.Büberkökü Ö. Risk-Getiri İlişkisinin Analizi: Türkiye Örneği. Finans Ekonomi ve Sosyal Araştırmalar Dergisi. 2021;6:14–38.

MLA

Büberkökü, Önder. “Risk-Getiri İlişkisinin Analizi: Türkiye Örneği”. Finans Ekonomi Ve Sosyal Araştırmalar Dergisi, vol. 6, no. 1, Mar. 2021, pp. 14-38, doi:10.29106/fesa.799148.

Vancouver

1.Önder Büberkökü. Risk-Getiri İlişkisinin Analizi: Türkiye Örneği. Finans Ekonomi ve Sosyal Araştırmalar Dergisi. 2021 Mar. 1;6(1):14-38. doi:10.29106/fesa.799148

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