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

Year 2021, Volume: 13 Issue: 25, 637 - 648, 31.07.2021

Alibey Kudar

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

Abstract

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.

Keywords

Otoregresif arbitraj fiyatlama modeli, otoregresif sermaye varlıklarını fiyatlama modeli, bankacılık sektörü.

References

• AUKEA, Leonard, DIAGNE, Ababacar, NGUYEN, Trang ve STALIN, Olivia (2017). “The Capital asset pricing model and the Arbitrage pricing theory”, Gothenburg University Financial Risk MSA400, May 15, 2017, http://www.math.chalmers.se/Stat/Grundutb/CTH/mve220/1617/CAPT.pdf, 1-20.
• BLACK, Fischer (1972). “Capital market equilibrium with restricted borrowing”, Journal of Business, 45(3), 444– 455.
• CAGNETTI, Arduino (2002). “Capital Asset Pricing Model and Arbitrage Pricing Theory in the Italian Stock Market: an Empirical Study”, https://era.ed.ac.uk/handle/1842/1821, 1-29.
• CHEN, Long, NOVY-MARX, Robert ve ZHANG, Lu (2011). “An Alternative Three Factor Model”, http://dx. doi.org/10.2139/ssrn.1418117
• CHEN, N. F. (1983). “Some Empirical Tests of the Theory of Arbitrage Pricing”, Journal of Finance, 38(6), 1393– 1414.
• COFFIE, William ve CHUKWULOBELU, Osita (2012). “The Application of Capital Asset Pricing Model (CAPM) to Individual Securities on Ghana Stock Exchange”, Kojo Menyah, Joshua Abor, in (ed.) Finance and Development in Africa (Research in Accounting in Emerging Economies, Volume 12), Emerald Group Publishing Limited, 121 – 147
• DHANKAR, Roj ve SINGH, Rohini (2005). “Arbitrage Pricing Theory and the Capital Asset Pricing Model – Evidence from the Indian Stock Market”, Journal of Financial Management and Analysis, 18(1), 14-27.
• DASH, Mihir ve RISHIKA, Rao (2009). “Asset Pricing Models in Indian Capital Markets”, https://www.academia. edu/21539670/Asset_Pricing_Models_in_Indian_Capital_Markets
• DAVIDSON, Russell, MACKINNON, James (1981). “Several Tests for Model Specification in the Presence of Alternative Hypotheses”, Econometrica, 49(3), 781-793.
• ELSHQIRAT, Mohammad K. (2019). “An Empirical Examination of the Arbitrage Pricing Theory: Evidence from Jordan”, Journal of Studies in Social Sciences, 18(2), 46-67.
• FAFF, Robert W. (1993). “A Multivariate Test of an Equilibrium APT with Time Varying Risk Premia in the Australian Equity Market”, Australian Journal of Management, 17(2), 233-258
• FAMA, Eugene F. ve FRENCH, Kenneth R. (2004). “The capital asset pricing model: theory and evidence”, Journal of Economic Perspectives, 18(3), 25–46
• FAMA, Eugene F. ve FRENCH, Kenneth R. (1993). “Common risk factors in the returns on stocks and bonds”, Journal of Financial Economics, 33(1), 3–56.
• GABRIEL, Monogbe Tunde, SEMION, Edori Inivia ve AKPOEDE, Iki Barnabas (2016). “The Application of Arbitrage Pricing Theory (APT) in the Nigeria Capital Market”, IIARD International Journal of Banking and Finance Research, 2(1), 32-45.
• JAYAKUMAR, David Sam ve SAMUEL, W. (2016). “Modeling The Autoregressive Capital Asset Pricing Model For Top 10 Selected Securities in BSE”, International Journal of Managament, 7(2), 314-325.
• KAYA, Emine ve GÜNGÖR, Bener (2017). “Fama ve French Üç Faktörlü Modelin Geçerliliği: Borsa Istanbul Üzerine Panel Veri Analizi”, Akademik AraĢtırmalar ve ÇalıĢmalar Dergisi, 9(17), 222-236.
• LINTNER, John (1965). “The valuation of risk assets and the selection of risky investments in stockportfolios and capital budgets”, Review of Economics and Statistics, 47(1), 13–37
• MALHOTRA, Karan (2010). “Autoregressive multifactor APT model for U.S. Equity Markets”, MPRA Paper 23418, University Library of Munich, Germany
• MEI, Jianping (1994). “Do You Have to Know Betas? An Autoregressive Method for Testing the APT”, in New Methods for the Arbitrage Pricing Theory and the Present Value, World Scientific, New York
• MICHAILIDIS, Grigoris (2008). “Multivariate methods in examining Greek stock market returns”, 8th Global Conference on Business & Economics.
• MOSSIN, Jan (1966). “Equilibrium in a capital asset market”, Econometrica, 35, 768–783.
• OYETAYO, Oluwatosin ve ADEYEYE Patrik O. (2017). “A Robust Application of the Arbitrage Pricing Theory: Evidence from Nigeria”, Journal of Economics and Behavioral Studies, 9(1), 141-151
• POTERBA, James M. ve SUMMERS, Lawrence H. (1988). “Mean reversion in stock prices: Evidence and Implications”, Journal of Financial Economics, 22(1), 27-59.
• PINTO, Maria Helena Ferreira ve ARMADA, Manuel J. Rocha (2002). “An Autoregressive Approach of the Arbitrage Pricing Model to the Portuguese Stock Market”, International Journal of Business, 7(2), 37-52.
• ROSS, Stephen A. (1976). “The Arbitrage Theory of Capital Asset Pricing”, Journal of Economic Theory, 13, 341- 360.
• ROSSI, Matteo (2016). “The capital asset pricing model: a critical literature review”, Global Business and Economics Review, 18(5), 604-617.
• SHARPE, William F. (1964). “Capital asset prices: A theory of market equilibrium under conditions of risk”, Journal of Finance,19, 425–442.
• SIAHAAN, Andysah P. U. ve RUSIADI (2018). “Autoregression Vector Prediction on Banking Stock Return Using CAPM Model Approach and Multi-factor APT”, International Journal of Civil Engineering and Technology, 9(9), 1093-1103.
• USLU, Hüseyin ve UZKARALAR, Önder. (2020). “Arbitraj Fiyatlama Teorisinin Türkiye ekonomisinde geçerliliği: Küresel ekonomik kriz bağlamında ampirik bir analiz”, Gazi İktisat ve İşletme Dergisi, 6(2), 179-195.
• ZHANG, Lina ve LI, Qian (2012). “Comparing CAPM and APT in the Chinese Stock Market”, Umea School of Business, Master Thesis. http://www.diva-portal.org/smash/get/diva2:636626/FULLTEXT01.pdf
• http://www.borsaistanbul.com (Erişim tarihi: 2018)
• http://www.tcmb.gov.tr (Erişim tarihi: 2018)