Türkiye'nin Risk ve Getiri Açısından Gelişen Hisse Senedi Piyasaları Arasındaki Yeri ve Uluslararası Çeşitlendirme

Year 2013, Issue: 26, 105 - 121, 01.12.2013

Hasan Ayaydın

Abstract

Çalışmanın amacı Türkiye ile gelişen hisse senedi piyasaları arasındaki getiri ilişkilerini ortaya koymak ve uluslararası çeşitlendirme yararının geçerli olup olmadığını incelemektir. Bu amaçla çalışma 04 Ocak 2010-21 Eylül 2012 döneminde 21 gelişen piyasa için gerçekleştirilmiştir. Ulaşılan sonuçlar Türkiye’nin gelişen piyasalar arasında oldukça riskli bir konuma sahip bulunduğunu göstermektedir. Bu nedenle Türkiye’nin riski seven yatırımcılar tarafından tercih edilen bir piyasa özelliği taşıdığı sonucuna varılmaktadır. Türkiye’nin en düşük pozitif yönlü ilişkiye sahip olduğu piyasaların Asya piyasaları olması dikkat çekicidir. Dolayısıyla Türk yatırımcıları Türkiye ile en düşük pozitif yönlü ilişkiye sahip olan bu piyasaları portföylerine ekleyerek çeşitlendirmenin riski azaltıcı faydasından yararlanabilirler. Çalışmada gelişen piyasalar arasındaki ilişkinin artma eğiliminde olduğu tespit edilmiştir. Bu bulgu çeşitlendirme yararının azaldığını gösterir. İlişkinin artması söz konusu piyasalar arasında entegrasyonun artarak devam etmesine, ticari ve finansal liberalizasyonun artmasına bağlanmıştır

Keywords

Uluslararası Çeşitlendirme, Gelişen Piyasalar, Risk-Getiri, Sharpe Oranı, Korelasyon

Risk and Return Relationship Between Turkey and The Emerging Stock Markets and International Diversification

Abstract

The aim of this study is examine the return correlations between Turkey and the emerging stock
markets, and to demonstrate whether it is valid to examine the benefits of international diversification.
For this purpose, the study was carried out for 21 emerging market in the period of January 4 2010-21
September 2012. The results achieved show that Turkey is quite risky in emerging markets. It is
concluded that Turkey is a market preferred by risk-loving investors. Have a positive relationship with
Turkey is the lowest is noteworthy that the markets Asian markets. Therefore, the lowest positive
relationships with Turkey, Turkish investors have the benefit of reducing the risk of these markets
benefit from portfolio diversification by adding. In this study, the relationships between the emerging
markets were found to be in an upward trend. This finding indicates that reduced the benefits of
diversification. Increasing relationships between these markets is linked to continue to increase
integration, an increase in trade and financial liberalization.

Keywords

International Diversification, Emerging Markets, Risk-Return, Sharpe Ratio, Correlation

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