OTOREGRESIF ARBİTRAJ FİYATLAMA VE SERMAYE VARLIKLARINI FİYATLANDIRMA MODELLERİNİN KARŞILAŞTIRILMASI: TÜRKİYE’DEKİ BANKACILIK SEKTÖRÜ İÇİN BİR UYGULAMA

Alibey Kudar

doi:10.14784/marufacd.976601

OTOREGRESIF ARBİTRAJ FİYATLAMA VE SERMAYE VARLIKLARINI FİYATLANDIRMA MODELLERİNİN KARŞILAŞTIRILMASI: TÜRKİYE’DEKİ BANKACILIK SEKTÖRÜ İÇİN BİR UYGULAMA

Öz

Bu çalışmada, otoregresif arbitraj fiyatlama ve otoregresif sermaye varlıklarını fiyatlama modelleri, Türkiye’deki bankacılık sektörünün hisse senedi getirilerinin haftalık verileri kullanılarak birbiriyle kıyaslanmıştır. Bu çerçevede 5 bankanın hisse senedi getirileri araştırılmıştır. Çalışma kapsamındaki analiz sonuçlarına göre, otoregresif arbitraj fiyatlama modelinin ve otoregresif sermaye varlıklarını fiyatlama modelinin hisse senedi getirilerini tahmin ederken benzer sonuçlar ürettiği sonucuna ulaşılmıştır. Ayrıca, bir banka haricinde diğer bankaların getiri oranlarını açıklamada, birinci dereceden otoregresif değişken katsayısı her iki modelde de anlamlı çıkmamıştır.

Anahtar Kelimeler

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Details

Primary Language

Turkish

Subjects

-

Journal Section

Research Article

Authors

Alibey Kudar This is me
0000-0001-7224-2891
Türkiye

Publication Date

July 31, 2021

Submission Date

November 28, 2020

Acceptance Date

April 15, 2021

Published in Issue

Year 1970 Volume: 13 Number: 25

DOI

https://doi.org/10.14784/marufacd.976601

IZ

https://izlik.org/JA85XL25GJ

Cite

RIS / Bibtex

APA

Kudar, A. (2021). OTOREGRESIF ARBİTRAJ FİYATLAMA VE SERMAYE VARLIKLARINI FİYATLANDIRMA MODELLERİNİN KARŞILAŞTIRILMASI: TÜRKİYE’DEKİ BANKACILIK SEKTÖRÜ İÇİN BİR UYGULAMA. Finansal Araştırmalar Ve Çalışmalar Dergisi, 13(25), 637-648. https://doi.org/10.14784/marufacd.976601