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Did 2008 Crisis Affect Systematic Risks of the Sectors? The Case of Turkey

Year 2020, , 581 - 592, 01.07.2020
https://doi.org/10.17541/optimum.648725

Abstract

This study examines the effects of the 2008 financial crisis on the betas of four sectors in Borsa Istanbul (BIST) separately as pre-crisis, crisis and post-crisis period. Systematic risks (betas) of these four sectors are calculated through CAPM model with the dummy variable, which includes crisis information exogenously. Afterwards, CAPM was estimated separately for three periods (pre-financial crisis, crisis period and post-crisis) and time varying betas were obtained. Thus, it was determined which sector stocks were perceived as more risky/reliable in crisis period by financial investors. Findings show that service sector stocks are perceived as more reliable and financial sector stocks are perceived riskier by financial investors in crisis period with a decrease in risk appetite.

References

  • Abiyev, V. (2015). Time-Varying Beta Risk and Its Modeling Techniques for Turkish Industry Portfolios. Economics, Business and Finance, 30 (352), 79-108.
  • Celik, S. (2013). Testing the Stability of Beta: A Sectoral Analysis in Turkish Stock Market. Journal of Economics and Behavioral Studies, 5(1), 18.
  • Choudhry, T. (2005). Time-varying beta and the Asian financial crisis: Evidence from Malaysian and Taiwanese firms. Pacific-Basin Finance Journal, 13(1), 93-118.
  • Hammoudeh, S., & Al-Gudhea, S. (2006). Pricing Risk, Oil and Financial Factors in Saudi Sector Index Returns, Topics in Middle Eastern and North African Economies, Loyola University Chicago Loyola eCommons.
  • Gujarati, D. N. (2011). Econometrics by example/Damodar Gujarati (No. 330.015195 G84.).
  • Kaderli, Y., Petek, A., Doğaner, M., & Babayiğit, G. (2013). The Sensitivity to Market Index and Non-Systematic Risk Measurement of Sector Indices in Borsa İstanbul. Anadolu University Journal of Social Sciences, Vol.: 13 (3), pp. 55-64.
  • Kalafatcilar, K., & Keles, G. (2011). Risk Appetite Indices and Their Expressions. Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  • Kumar, Manmohan S. and Persaud, A. (2002). Pure Contagion and Investors’ Shifting Risk Appetite: Analytical Issues and Empirical Evidence, International Finance, 5 (3), pp. 401–436.
  • Masset, P., & Weisskopf, J. P. (2010). Raise Your Glass: Wine Investment and The Financial Crisis. American Association of Wine Economists, Aawe Working Paper, No.57. www.wine-economics.org, Access: 02.08.2019.
  • Mirza, N., & Simatupang, D. D. (2004). Comparative Systematic Risk Analysis: Evidence on the Banking Sector in the United States, Western Europe and South East Asia. The Lahore Journal of Economics, Vol. 9 (1), pp. 149-173.
  • Tetik, N., & Uğur, A. (2010). Analysis of Yield Interval by Sectors in Estimating Beta Coefficient: A Research on ISE. Atatürk University Journal of Economics and Administrative Sciences, Vol. 24 (1), pp. 15-24.
  • Weerakhajornsak, W. (2007). Asset Pricing in Energy Sector: The Evidence from Stock Exchange of Thailand. Master dissertation, University of the Thai Chamber of Commerce.

2008 Krizi Sektörlerin Sistematik Riskini Etkiledi mi? Türkiye Örneği

Year 2020, , 581 - 592, 01.07.2020
https://doi.org/10.17541/optimum.648725

Abstract

Bu çalışma, 2008 finansal krizinin Borsa İstanbul (BIST)’da bulunan dört sektörün betaları üzerindeki etkilerini kriz öncesi, kriz ve kriz sonrası dönem olarak ayrı ayrı incelemektedir. Kriz bilgisini modele dışsal olarak dahil eden Kukla değişkenli CAPM aracılığı ile bu dört sektörün sistematik riskleri (betaları) hesaplanmıştır. Daha sonra CAPM, üç ayrı dönem (Finansal kriz öncesi, kriz dönemi ve kriz sonrası) için ayrı ayrı tahmin edilerek değişen betalar elde edilmiştir. Böylece, kriz dönemlerinde finansal yatırımcıların hangi sektör hisse senetlerinin daha riskli/güvenilir olarak algıladıkları tespit edilmiştir. Bulgular, risk iştahında bir azalış olduğu kriz dönemlerinde, hizmet sektörü hisse senetlerinin finansal yatırımcılar tarafından daha güvenilir, mali sektör hisse senetlerinin ise daha riskli olarak algılandığını göstermektedir. 

References

  • Abiyev, V. (2015). Time-Varying Beta Risk and Its Modeling Techniques for Turkish Industry Portfolios. Economics, Business and Finance, 30 (352), 79-108.
  • Celik, S. (2013). Testing the Stability of Beta: A Sectoral Analysis in Turkish Stock Market. Journal of Economics and Behavioral Studies, 5(1), 18.
  • Choudhry, T. (2005). Time-varying beta and the Asian financial crisis: Evidence from Malaysian and Taiwanese firms. Pacific-Basin Finance Journal, 13(1), 93-118.
  • Hammoudeh, S., & Al-Gudhea, S. (2006). Pricing Risk, Oil and Financial Factors in Saudi Sector Index Returns, Topics in Middle Eastern and North African Economies, Loyola University Chicago Loyola eCommons.
  • Gujarati, D. N. (2011). Econometrics by example/Damodar Gujarati (No. 330.015195 G84.).
  • Kaderli, Y., Petek, A., Doğaner, M., & Babayiğit, G. (2013). The Sensitivity to Market Index and Non-Systematic Risk Measurement of Sector Indices in Borsa İstanbul. Anadolu University Journal of Social Sciences, Vol.: 13 (3), pp. 55-64.
  • Kalafatcilar, K., & Keles, G. (2011). Risk Appetite Indices and Their Expressions. Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  • Kumar, Manmohan S. and Persaud, A. (2002). Pure Contagion and Investors’ Shifting Risk Appetite: Analytical Issues and Empirical Evidence, International Finance, 5 (3), pp. 401–436.
  • Masset, P., & Weisskopf, J. P. (2010). Raise Your Glass: Wine Investment and The Financial Crisis. American Association of Wine Economists, Aawe Working Paper, No.57. www.wine-economics.org, Access: 02.08.2019.
  • Mirza, N., & Simatupang, D. D. (2004). Comparative Systematic Risk Analysis: Evidence on the Banking Sector in the United States, Western Europe and South East Asia. The Lahore Journal of Economics, Vol. 9 (1), pp. 149-173.
  • Tetik, N., & Uğur, A. (2010). Analysis of Yield Interval by Sectors in Estimating Beta Coefficient: A Research on ISE. Atatürk University Journal of Economics and Administrative Sciences, Vol. 24 (1), pp. 15-24.
  • Weerakhajornsak, W. (2007). Asset Pricing in Energy Sector: The Evidence from Stock Exchange of Thailand. Master dissertation, University of the Thai Chamber of Commerce.
There are 12 citations in total.

Details

Primary Language English
Subjects Economics, Finance
Journal Section Articles
Authors

Metin Tetik 0000-0003-2741-7175

E. Tuğba Ciğeroğlu This is me 0000-0001-7752-3270

Eser Yeşildağ 0000-0002-6230-2990

Publication Date July 1, 2020
Submission Date November 19, 2019
Published in Issue Year 2020

Cite

APA Tetik, M., Ciğeroğlu, E. T., & Yeşildağ, E. (2020). Did 2008 Crisis Affect Systematic Risks of the Sectors? The Case of Turkey. Optimum Ekonomi Ve Yönetim Bilimleri Dergisi, 7(2), 581-592. https://doi.org/10.17541/optimum.648725
AMA Tetik M, Ciğeroğlu ET, Yeşildağ E. Did 2008 Crisis Affect Systematic Risks of the Sectors? The Case of Turkey. OEYBD. July 2020;7(2):581-592. doi:10.17541/optimum.648725
Chicago Tetik, Metin, E. Tuğba Ciğeroğlu, and Eser Yeşildağ. “Did 2008 Crisis Affect Systematic Risks of the Sectors? The Case of Turkey”. Optimum Ekonomi Ve Yönetim Bilimleri Dergisi 7, no. 2 (July 2020): 581-92. https://doi.org/10.17541/optimum.648725.
EndNote Tetik M, Ciğeroğlu ET, Yeşildağ E (July 1, 2020) Did 2008 Crisis Affect Systematic Risks of the Sectors? The Case of Turkey. Optimum Ekonomi ve Yönetim Bilimleri Dergisi 7 2 581–592.
IEEE M. Tetik, E. T. Ciğeroğlu, and E. Yeşildağ, “Did 2008 Crisis Affect Systematic Risks of the Sectors? The Case of Turkey”, OEYBD, vol. 7, no. 2, pp. 581–592, 2020, doi: 10.17541/optimum.648725.
ISNAD Tetik, Metin et al. “Did 2008 Crisis Affect Systematic Risks of the Sectors? The Case of Turkey”. Optimum Ekonomi ve Yönetim Bilimleri Dergisi 7/2 (July 2020), 581-592. https://doi.org/10.17541/optimum.648725.
JAMA Tetik M, Ciğeroğlu ET, Yeşildağ E. Did 2008 Crisis Affect Systematic Risks of the Sectors? The Case of Turkey. OEYBD. 2020;7:581–592.
MLA Tetik, Metin et al. “Did 2008 Crisis Affect Systematic Risks of the Sectors? The Case of Turkey”. Optimum Ekonomi Ve Yönetim Bilimleri Dergisi, vol. 7, no. 2, 2020, pp. 581-92, doi:10.17541/optimum.648725.
Vancouver Tetik M, Ciğeroğlu ET, Yeşildağ E. Did 2008 Crisis Affect Systematic Risks of the Sectors? The Case of Turkey. OEYBD. 2020;7(2):581-92.

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