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İSTANBUL BORSASINDA ÇEŞİTLENDİRME VE PORTFÖY OLUŞTURULMASI

Year 1996, Volume: 14 Issue: 2, 139 - 157, 31.07.1996

Abstract

Bu
makalede gelişmekte olan borsalardan biri olan İstanbul Borsası 'nda
çeşitlendirme ve portföy oluşturulması problemi incelenmektedir. Bu inceleme iki
aşamada yapılmaktadır.



Birinci
bölümde çeşitlendirme süreci 4 Ocak 1988 ile 31 Temmuz 1992 tarihleri arasında
İstanbul borsasına kote edilmiş olan 119 hisse senedi fiyatı kullanılarak
incelenmektedir. İkinci bölümde ise11 Ağustos 1989 da çıkanlan 32 numaralı
kararname ile Türkiye'de yabancıların hisse senedi yatırımlarıyla ilgili bütün
kısıtlamalarının kaldırılmasının etkilerini irdelemek amacıyla 11 Ağustos 1989'dan
önce borsaya kote edilen elli altı hisse senedi, 11 Ağustos 1989'dan önceki ve
sonraki dönemlerde incelenip, dönem sonuçlan birbirleriyle karşılaştırılmıştır.
Sonuçlar, bütün dönemlerde, 10-15 hisse senediyle oluşturulan portföylerle,
beklenmeyen fiyat varyanslarının %80 'inin giderileceğini göstermiştir.

References

  • Berndt- E. K. , B. H. Hall, R. E. Hall, J. A. Hausman, 1974, Estimation inièrence in nonlinear structural models, Annals Gf Economic, Social Measurement, 653-665.
  • Bonser-Neaì, Catherine. Gregory Brauer, Robert Neal,, Simon Wheatley, 1990, International investment restrictions, closed-end country fund prices, Journal of Finance, 45, 523-547.
  • Booth, G. Geoffrey, Mustafa Chowdhury„ Teppo Martikainen, 1993, The effect of ownership restrictions on stock price dynamics. LSU Working paper.
  • Eltork Edwin J.. Martin Gruber, 1 977, Risk reduction, portfolio size: an analytical solution, Journal of 41-427.
  • Elton, Edwin J. , Martin Gruber, 1987, Modern portfolio theory, investment analysis, New York: John Wiley, Sons.
  • Errunza, Vihang, Etienne Losq, 1985, Internationa} asset pricing under mild segmentation: Theory, test, Journal of Finance 40, 105-124.
  • Etrunza, Vihang, Etienne Losq, P. Padmanabham, 1992, The behavior of stock prices on LDC markets, Journal of Banking, Finance 16, 949-972.
  • Evans, J. , S. Archer, 1968, Diversification, reduction of dispersion, Journal ofFinance 23, 761-767.
  • Fama, Eugene, 19657 Portfolio analysis in a stable Paretian market, Management Science Il, 404-419.
  • Fama, Eugene, 1976, Foundations of finance, New York: Basic Books.
  • Frankfurter, George, Christopher Lamoureux, 1987, The relevance of the distributional form of comrnon stock returns to the construction of optimal portfolios, Journal of Financial, Quantitative Analysis , 505-511.
  • Gültekin Mustafa, N. Büent-Gültekin Alessandro-Penati,--1989, Capital controls, international capital market-segmentatiom, The evidence-from-the Japanese. American stock markets;- of Finance, 44, 849-869.
  • Hietala, Pekka T. , 1989, Asset-pncinginpartialiysegmented -markets: Evidence ffi)m the Finnish market, Jonrnal of Finance 44, 697-718.
  • Lau, H S. Lau, J. R. Wingender, 1990, The distribution of stock Feturns: New evidence against the stable model, Journal of Business, Economic SEatistics 8, 217-224. Levy,-Haim, Marshall-Samat, 1970, International diversification of investment portfolios, American Economic Review, 60, 668-675.
  • Lintner, John- 1965, The valuation of risk assets, the selection of risky investments in stock poffoliosa capital budgets, Review ofEconomics, Statistics 47, 13-37.
  • Markovitz, Harrv, 1959, Portfolio selection Efficient diversification of invesünents, John Wiley, Sons .
  • Sharpe, W, 1963, A simplified model for portfolio anlysis, Management Science, January 1963, 277-293.
  • Solnik, Bruno, 1975, The advantages-of domest.it¥ñüernatioMFdiverýñcati0T©-i3i Elton, Gruber's Intemational Capital Markets, Amsterdam: North Holland.
  • Wagner, W., S. Lau. 1971, 'The -effect of on risk, FinaiiciaI AnaIysts' 27, 48-53.
Year 1996, Volume: 14 Issue: 2, 139 - 157, 31.07.1996

Abstract

References

  • Berndt- E. K. , B. H. Hall, R. E. Hall, J. A. Hausman, 1974, Estimation inièrence in nonlinear structural models, Annals Gf Economic, Social Measurement, 653-665.
  • Bonser-Neaì, Catherine. Gregory Brauer, Robert Neal,, Simon Wheatley, 1990, International investment restrictions, closed-end country fund prices, Journal of Finance, 45, 523-547.
  • Booth, G. Geoffrey, Mustafa Chowdhury„ Teppo Martikainen, 1993, The effect of ownership restrictions on stock price dynamics. LSU Working paper.
  • Eltork Edwin J.. Martin Gruber, 1 977, Risk reduction, portfolio size: an analytical solution, Journal of 41-427.
  • Elton, Edwin J. , Martin Gruber, 1987, Modern portfolio theory, investment analysis, New York: John Wiley, Sons.
  • Errunza, Vihang, Etienne Losq, 1985, Internationa} asset pricing under mild segmentation: Theory, test, Journal of Finance 40, 105-124.
  • Etrunza, Vihang, Etienne Losq, P. Padmanabham, 1992, The behavior of stock prices on LDC markets, Journal of Banking, Finance 16, 949-972.
  • Evans, J. , S. Archer, 1968, Diversification, reduction of dispersion, Journal ofFinance 23, 761-767.
  • Fama, Eugene, 19657 Portfolio analysis in a stable Paretian market, Management Science Il, 404-419.
  • Fama, Eugene, 1976, Foundations of finance, New York: Basic Books.
  • Frankfurter, George, Christopher Lamoureux, 1987, The relevance of the distributional form of comrnon stock returns to the construction of optimal portfolios, Journal of Financial, Quantitative Analysis , 505-511.
  • Gültekin Mustafa, N. Büent-Gültekin Alessandro-Penati,--1989, Capital controls, international capital market-segmentatiom, The evidence-from-the Japanese. American stock markets;- of Finance, 44, 849-869.
  • Hietala, Pekka T. , 1989, Asset-pncinginpartialiysegmented -markets: Evidence ffi)m the Finnish market, Jonrnal of Finance 44, 697-718.
  • Lau, H S. Lau, J. R. Wingender, 1990, The distribution of stock Feturns: New evidence against the stable model, Journal of Business, Economic SEatistics 8, 217-224. Levy,-Haim, Marshall-Samat, 1970, International diversification of investment portfolios, American Economic Review, 60, 668-675.
  • Lintner, John- 1965, The valuation of risk assets, the selection of risky investments in stock poffoliosa capital budgets, Review ofEconomics, Statistics 47, 13-37.
  • Markovitz, Harrv, 1959, Portfolio selection Efficient diversification of invesünents, John Wiley, Sons .
  • Sharpe, W, 1963, A simplified model for portfolio anlysis, Management Science, January 1963, 277-293.
  • Solnik, Bruno, 1975, The advantages-of domest.it¥ñüernatioMFdiverýñcati0T©-i3i Elton, Gruber's Intemational Capital Markets, Amsterdam: North Holland.
  • Wagner, W., S. Lau. 1971, 'The -effect of on risk, FinaiiciaI AnaIysts' 27, 48-53.
There are 19 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Ayşe Yüce This is me

Publication Date July 31, 1996
Submission Date January 1, 1996
Published in Issue Year 1996 Volume: 14 Issue: 2

Cite

APA Yüce, A. (1996). İSTANBUL BORSASINDA ÇEŞİTLENDİRME VE PORTFÖY OLUŞTURULMASI. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 14(2), 139-157.
AMA Yüce A. İSTANBUL BORSASINDA ÇEŞİTLENDİRME VE PORTFÖY OLUŞTURULMASI. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. December 1996;14(2):139-157.
Chicago Yüce, Ayşe. “İSTANBUL BORSASINDA ÇEŞİTLENDİRME VE PORTFÖY OLUŞTURULMASI”. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi 14, no. 2 (December 1996): 139-57.
EndNote Yüce A (December 1, 1996) İSTANBUL BORSASINDA ÇEŞİTLENDİRME VE PORTFÖY OLUŞTURULMASI. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 14 2 139–157.
IEEE A. Yüce, “İSTANBUL BORSASINDA ÇEŞİTLENDİRME VE PORTFÖY OLUŞTURULMASI”, Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, vol. 14, no. 2, pp. 139–157, 1996.
ISNAD Yüce, Ayşe. “İSTANBUL BORSASINDA ÇEŞİTLENDİRME VE PORTFÖY OLUŞTURULMASI”. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 14/2 (December 1996), 139-157.
JAMA Yüce A. İSTANBUL BORSASINDA ÇEŞİTLENDİRME VE PORTFÖY OLUŞTURULMASI. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 1996;14:139–157.
MLA Yüce, Ayşe. “İSTANBUL BORSASINDA ÇEŞİTLENDİRME VE PORTFÖY OLUŞTURULMASI”. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, vol. 14, no. 2, 1996, pp. 139-57.
Vancouver Yüce A. İSTANBUL BORSASINDA ÇEŞİTLENDİRME VE PORTFÖY OLUŞTURULMASI. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 1996;14(2):139-57.

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