THE RELATIONSHIP BETWEEN SYSTEMATIC RISK AND FINANCIAL RATIOS: A SECTORAL ASSESSMENT WITHIN THE SCOPE OF BORSA ISTANBUL

Abstract

This study investigates the connection between systematic risk and firm-level financial metrics for companies listed in the Borsa Istanbul Industrial Index. Employing time-series analytical techniques, it assesses the association between a sector's systematic risk, proxied by the beta coefficient, and its core profitability indicators: return on assets (ROA), return on equity (ROE), net profit margin (NM), and operating profit margin (OPR). The model utilizes a quarterly dataset spanning the decade from 2015 to 2024. The results indicate that ROA exerts a mitigating influence on the beta coefficient, whereas ROE demonstrates a positive and statistically robust link with systematic risk. Conversely, neither net profit margin nor operating profit margin were found to have a discernible long-term relationship with the market risk measure. Additionally, a long-term cointegration relationship among the variables is identified, indicating that systematic risk and profitability ratios move together over time. The study provides sector-level empirical evidence for evaluating financial risk in Turkish industrial sector

Keywords

• Systematic risk
• Beta coefficient
• Financial ratio
• Industrial Index

SİSTEMATİK RİSK İLE FİNANSAL ORANLAR ARASINDAKİ İLİŞKİ: BORSA İSTANBUL KAPSAMINDA SEKTÖREL BİR DEĞERLENDİRME

Öz

Bu çalışma, Borsa İstanbul Sanayi Endeksi’nde yer alan firmalar için sistematik risk ile finansal oranlar arasındaki ilişkiyi analiz etmektedir. Sistematik riskin bir göstergesi olan beta katsayısı ile aktif karlılığı (ROA), özsermaye karlılığı (ROE), net kar marjı (NM) ve faaliyet kar marjı (OPR) arasındaki ilişki eşbütünleşme analizi kullanılarak 2015–2024 dönemine ait çeyreklik frekanstaki veri seti kullanılarak test edilmiştir. Bulgular, ROA’nın beta katsayısı üzerinde negatif bir etkiye sahip olduğunu, ROE’nin ise sistematik risk üzerinde pozitif ve istatistiksel olarak anlamlı bir etki yarattığını göstermektedir. Buna karşılık, net kâr marjı ve faaliyet kâr marjının uzun dönemde anlamlı bir etkisi bulunmamaktadır. Ayrıca değişkenler arasında uzun dönemli bir eşbütünleşme ilişkisinin varlığı ayrıca tespit edilmiştir. Elde edilen sonuçlar, Türk sanayi sektörünün finansal riskinin değerlendirilmesine yönelik sektör düzeyinde önemli ampirik kanıtlar sunmaktadır

Anahtar Kelimeler

• Sistematik risk
• Beta katsayısı
• Finansal oranlar
• Sanayi endeksi

Kaynakça

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