Abstract
In this article, performing an application of Single Index Model, a part of the Modern Portfolio Theory, was our aim. In the paper, Modern portfolio theory was summarized with its historical development; A portfolio was created by using Single Index Model, its return and risk were calculated. The portfolio consists of 13 common stocks were chosen in accordance with the model among 125 manufacturing companies’ common stocks that are transacted in The First National Market. A 82 month-period was our base period between Dec.1997 and Oct.2004. The ISE-100 index was used as “The Market Index”. After the creation of the portfolio, it was observed that the total risk reduced because of “diversification” and the stocks, that were not in ISE-100 Index, had great weights in the portfolio.
Abstract
Bu çalışmada, Modern Portföy Kuramı’nın bir parçasını oluşturan Tek İndeks Modeli’nin uygulanması amaçlanmıştır. Makalede portföy kuramı, tarihsel gelişimi içerisinde özetlenmiş; Aralık 1997 tarihinden itibaren İMKB Birinci Ulusal Pazarı’nda işlem gören imalat sanayiinde faaliyet gösteren 125 şirketin hisse senetlerinden, Tek İndeks Modeli çerçevesinde bir portföy oluşturulmuş, portföyün getirisi ve riski hesap-lanmıştır. Çalışmada, Aralık 1997-Ekim 2004 arasındaki 82 aylık dönem ele alınmış; piyasa indeksi olarak, İMKB-100 indeksi kullanılmıştır. Portföy oluşturulduktan sonra “çeşitlendirme” nedeniyle risk’in azaldığı ve portföye dahil olan hisse senetlerinin ağırlıklı olarak İMKB-100 indeksine dahil olmayan şirketlerden oluştuğu gözlenmiştir.
Details
| Primary Language | Turkish |
|---|---|
| Journal Section | Articles |
| Authors | |
| Publication Date | June 6, 2005 |
| Submission Date | January 1, 2005 |
| Published in Issue | Year 2005 Volume: 23 Issue: 1 |
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