TÜRKİYE’DE A TİPİ HİSSE SENEDİ FONLARI GETİRİLERİNİN MİKRO BELİRLEYİCİLERİ: BİR ZAMAN SERİSİ ANALİZİ

Yrd.Doç.Dr.Gönül Yüce

Türkiye'de A Tipi Hisse Senedi Fonları Getirilerinin Mikro Belirleyicileri: Bir Zaman Serisi Analizi

Year 2012, Volume: 17 Issue: 3, 283 - 300, 01.09.2012

Yrd.Doç.Dr.Gönül Yüce

Abstract

Keywords

References

1. AKTAŞ, Cengiz (2009), Tþrkiyenin İhracat, İthalat ve Ekonomik Bþyþme Arasındaki Nedensellik Analizi, Kocaeli Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, Cilt 18, Sayı 2, s. 35-47.
2. ANDERSON, Seth ve Parvez Ahmed (2005), Mutual Fund: Fifty Years of Research Finding, Springer Science & Business Media, Inc., USA.
3. ANG, James., Carl R. Chen ve James Wuh. Lin, (1998), Mutual Fund Managers Efforts and Performance, Journal of Investing, Vol 7, No 4,s. 68-75.
4. APAK, Sudi (1995), Sermaye Piyasaları ve Borsa, Bilim Teknik Yayınevi, 1.Baskı, Eskişehir.
5. BLITZ, David C. ve Pim Vliet (2009), Dynamic Strategic Asset Allocation: Risk and Return Across Economic Regimes, SSRN Working Paper, No 1343063.
6. BONDT, Gabe De (2005), Determinant of Corporate Debt Securities in The Euro Area, The European Journal of Finance, Vol 11, No 6, s. 493-509.
7. BOYER, Brian ve Lu Zheng (2004), Who Moves The Market? A Study of Stock Prices and Sector Cash Flows, Univesity of Michigan, Working Paper.
8. BRAVERMAN, Oded, Shmuel Kandel, ve Avi Wohl (2005), The (Bad?) Timing of Mutual Fund Investors, Centre For Economic Policy Research Discussion Paper, No 5243.
9. BROWN, Stephen. J., William Goetzman, Takato Hiraki, Noriyoshi SHIRAISHİ, ve Masahiro Watanabe (2002), Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows, Yale ICF, Working Paper , No.02-09.
10. CHA, Heung ve Bong Lee (2001), The Market Demand Curve For Common Stocks: Evidence From Equity Mutual Fund Flows, Journal of Financial and Quantitative Analysis, Vol 36, s. 195-220.
11. CHAREMZA, Wojciech W. ve Derek F. Deadman (1993), New Directions in Econometric Practice, Edward Elgar Publishing, UK.
12. CHEVALIER, Judith ve Glenn Ellison (1997), Risk Taking by Mutual Funds as a Response to Incentive, Journal of Political Economy, Vol 105, No 6, s. 1167-1200.
13. DÜRER, Salih (1990), Menkul Kıymet Yatırım Fonları ve Tþrkiye Uygulaması Üzerine Bir İnceleme, Marmara Üniversitesi SBE Dergisi, Sayı 12, s. 17.
14. EDELEN, Roger M. ve Jerold B. Warner (1998), Why are Mutual Fund Flow and Market Returns Related? Evidence From High-Frequency Data, Working Paper; The Wharton School, University of Pennsyluania.
15. EDELEN, Roger M. ve Jerold B. Warner (2001), Aggregate Price Effect of Institutional Trading: A Study of Mutual Fund Flow and Market Returns, Journal of Financial Economics, Vol 59, s. 195-220.
16. EDWARD, F. Riedl ve Xiang Zhang (1998), Mutual Funds and Stock and Bond Markets Stability, Journal of Financial Services Research, Vol 13, No 3, s. 257-282.
17. ENGEN, Eric M. ve Andreas Lehnert (2000), Mutual Fund and The U.S. Equity Market, Federal Reserve Bulletin, December, s. 797-812.
18. FANT, L. Franklin (1999), Investment Behaviour of Mutual Fund Shareholder: The Evidence From Aggregate Fund Flows, Journal of Financial Markets, Vol 2, s. 391-402.
19. FORTUNE, Peter (1998), Mutual funds: Part II Fund Flows and Security Returns, New England Economic Review, January/February, s. 3-22.
20. FREEMAN, John P. ve Stewart L. Brown (2001), Mutual Fund Advisory Fees: The Costs of Conflicts of Interest, Journal of Corporation Law, Vol 26, No 3, s. 609-673.
21. FRIEND, Irwin, Marshall Blume, ve Jean Crockett (1970), Mutual Funds and Other Institutional Investors: A New Perspective, McGrawHill Book Co, New York.
22. GOETZMANN, William N. ve Massimo Massa (2003), Index Fund and Stock Market Growth, Journal of Business, Vol 79, s. 1-28.
23. GRANGER C. W. J. (1988), Some Recent Developments in a Concept of Causality”, Journal of Econometrics, Vol. 39, No 1-2, s. 199-211.
24. GRINBLATT, Mark ve Sheridan Titman (1994), A Study of Monthly Mutual Fund Return and Portfolio Performance Evaluation Techniques, Journal of Financial and Quantitative Analysis, Vol 29, No 3, s. 419- 444.
25. GUJARATI, Damodar N. (2006), Temel Ekonometri, Ñev: Ümit Şenesen ve Gþlay G. Şenesen, 4. Baskı, Literatþr Yayıncılık, İstanbul.
26. HENDRICKS, Darryll, Jayendu Patel ve Richard Zeckhauser (1993), Hot Hand in Mutual funds: Short-Run Persistence of Relative Performance 1974-1988, Journal of Finance, Vol 48, s. 93-130.
27. HENDRICKS, Darryll, Avanidhar Subrahmanyam, ve Sheridan Titman (1994), Security Analysis and Trading Patterns When Some Investors Receive Information Before Others, Journal of Finance, Vol 49, No 5, s. 1665-1698.
28. IPPOLITO, Richard (1992), Consumer Reaction to Measures of Poor Quality: Evidence From The Mutual Fund Industry, Journal of Law and Economics, Vol 35, No 1, s. 45-70.
29. KENNEDY, Peter (2006), Ekonometri Kılavuzu, Ñev: Muzaffer Sarımeşeli ve Şenay Aéıkgøz, 5. Baskı, Gazi Kitabevi, Ankara.
30. KOSKI, Jennifer ve Jeffrey Pontiff (1999), How Are Deribatives Used? Evidence From The Mutual Funds from the Mutual Fund Industry, Journal of Finance, Vol 54, s. 791-816.
31. KUTLAR, Aziz (2007), Ekonometriye Giriş, 1. Baskı, Nobel Yayınları, Ankara.
32. Mian S. NAZIR ve Muhammad M. Nawaz (2010), The Determinant of Mutual Fund Growth in Pakistan, International Research Journal of Finance and Economic, No 54.
33. NOFSINGER, John ve Richard W. Sias (1998), Herding and Feedback Trading by Institutional and Individual Investors, Working Paper, Washington State University.
34. OH, Natalie Y. ve Jerry T. Parwada (2007), Relations Between Mutual Fund Flows and Stock Market Return in Korea, International Financial Markets, Institution & Money, Vol 17, No 2, s. 140-151.
35. PARK, Jinwoo ve Catherine Shenoy (2002), An Examination of the Dynamic Behavior of Aggregate Bond and Stock Issues, International Review of Economics and Finance, Vol 11, s. 175-189.
36. REMOLONA, Eli M., Paul Kleiman, ve Debbie GRUENSTEIN (1997), Market Returns and Mutual Fund Flows, Federal Reserve Bank of New York Economic Policy Review, Vol 3, No 2 (July), s. 33-52.
37. ROMPOTIS, Gerasimos G. (2008), A Cost-Performance Analysis of Greek Mutual Fund, European Journal of Economics, Finance and Administrative Sciences, No 12.
38. SEVÜKTEKİN, Mustafa ve Mehmet Nargeleéekenler (2007), Ekonometrik Zaman Serileri Analizi: E-Views Uygulamalı, 2. Baskı, Nobel Yayınları, Ankara 2007.
39. SIAS, Richard W. ve Laura T. Starks (1997), Return Autocorrelation and Institutional Investors, Journal of Financial Economic, Vol 46, s. 103-131.
40. SIRRI, Erik ve Peter Tufano (1998), Costly Search and Mutual Fund Flows, Journal of Finance, Vol 53, s. 1589-1622.
41. TARI, Recep (2010), Ekonometri, 6. Baskı, Umuttepe Kitabevi, Kocaeli.
42. TEKER, Suat., Emre Karakurum, ve Osman Tav (2008), Yatırım Fonlarının Risk Odaklı Performans Değerlemesi, Doğuş Üniversitesi Dergisi, Cilt 9, Sayı 1, s. 89-105.
43. TEVFİK, Gþrman (1995), Dünyada ve Türkiye’de Yatırım Fonları, Tþrkiye İş Bankası Kþltþr Yayınları, No: 342, Ankara, 1995.
44. TUNCER, Selahattin (1989), Türkiye’de Menkul Kıymetler Yatırım Fonu”, Türkiye’de Yatırım Fonları ve Son Gelişmeler (Tebliğ ve panel), İktisadı Araştırma Vakfı Yayını, İstanbul.
45. WARTHER, Vincent (1995), Aggregate Mutual Fund Flows and Security Returns, Journal of Financial Economics, Vol 39, s. 209-235.
46. WERMERS, Russ (1999), Mutual Fund Herding and The Impact on Stock Prices, The Journal of Finance, Vol 54, No 2 (April), s. 581-622.
47. YAPRAKLI, Sevda (2007), Ticari ve Finansal Dışa Aéıklık ile Ekonomik Bþyþme Arasındaki İlişki: Tþrkiye Üzerine Bir Uygulama, İstanbul Üniversitesi İktisat Fakültesi Ekonometri ve İstatistik Dergisi, Sayı 5, s. 67-89.
48. SPK, Yatırım Fonlarına İlişkin Esaslar Tebliği, Sermaye Piyasası Mevzuatı, Seri: VII, No: 10, (19.12.1996), 22852 sayılı Resmi Gazete.

TÜRKİYE’DE A TİPİ HİSSE SENEDİ FONLARI GETİRİLERİNİN MİKRO BELİRLEYİCİLERİ: BİR ZAMAN SERİSİ ANALİZİ

Year 2012, Volume: 17 Issue: 3, 283 - 300, 01.09.2012

Yrd.Doç.Dr.Gönül Yüce

Abstract

Günümüzde, yatırımcılara sağladıkları kar oranları gittikçe artan ve cazip hale gelen yatırım fonlarının getirilerini belirleyen faktörlerin tespiti önem kazanmaya başlamıştır. Bu bağlamda, bu çalışma Türkiye’de yatırım fonları getirilerini etkileyen faktörlerin analiz edilmesini amaçlamıştır. Bu amaçla Türkiye’de yatırım fon sektörü içerisinde A tipi fonlardan hisse senedi fonları araştırma kapsamına alınmıştır. İlgili fonların getirilerine etki edebilecek mikro belirleyicilerin 2000-2010 dönemine ait aylık verileri kullanılmış ve Genişletilmiş Dickey-Fuller Birim Kök Testi (ADF), Johansen Eşbütünleşme Testi, Granger Nedensellik Testi ve Vektör Hata Düzeltme (VEC) modelleri kullanılarak bir uygulama yapılmıştır. Analiz sonuçları, A tipi hisse senedi fonlarında uzun döneme yakınsama süresinin 1 yıl olduğunu göstermiştir. Bu fonların riskli oluşu denge değerine ulaşmayı zorlaştırmış ve nispeten dalgalı bir seyir izlemesine neden olmuştur

Keywords

Yatırım Fonları, Zaman Serileri Analizi, Genişletilmiş Dickey-Fuller Birim Kök Testi, Vektör Hata Düzeltme Modeli

References

1. AKTAŞ, Cengiz (2009), Tþrkiyenin İhracat, İthalat ve Ekonomik Bþyþme Arasındaki Nedensellik Analizi, Kocaeli Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, Cilt 18, Sayı 2, s. 35-47.
2. ANDERSON, Seth ve Parvez Ahmed (2005), Mutual Fund: Fifty Years of Research Finding, Springer Science & Business Media, Inc., USA.
3. ANG, James., Carl R. Chen ve James Wuh. Lin, (1998), Mutual Fund Managers Efforts and Performance, Journal of Investing, Vol 7, No 4,s. 68-75.
4. APAK, Sudi (1995), Sermaye Piyasaları ve Borsa, Bilim Teknik Yayınevi, 1.Baskı, Eskişehir.
5. BLITZ, David C. ve Pim Vliet (2009), Dynamic Strategic Asset Allocation: Risk and Return Across Economic Regimes, SSRN Working Paper, No 1343063.
6. BONDT, Gabe De (2005), Determinant of Corporate Debt Securities in The Euro Area, The European Journal of Finance, Vol 11, No 6, s. 493-509.
7. BOYER, Brian ve Lu Zheng (2004), Who Moves The Market? A Study of Stock Prices and Sector Cash Flows, Univesity of Michigan, Working Paper.
8. BRAVERMAN, Oded, Shmuel Kandel, ve Avi Wohl (2005), The (Bad?) Timing of Mutual Fund Investors, Centre For Economic Policy Research Discussion Paper, No 5243.
9. BROWN, Stephen. J., William Goetzman, Takato Hiraki, Noriyoshi SHIRAISHİ, ve Masahiro Watanabe (2002), Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows, Yale ICF, Working Paper , No.02-09.
10. CHA, Heung ve Bong Lee (2001), The Market Demand Curve For Common Stocks: Evidence From Equity Mutual Fund Flows, Journal of Financial and Quantitative Analysis, Vol 36, s. 195-220.
11. CHAREMZA, Wojciech W. ve Derek F. Deadman (1993), New Directions in Econometric Practice, Edward Elgar Publishing, UK.
12. CHEVALIER, Judith ve Glenn Ellison (1997), Risk Taking by Mutual Funds as a Response to Incentive, Journal of Political Economy, Vol 105, No 6, s. 1167-1200.
13. DÜRER, Salih (1990), Menkul Kıymet Yatırım Fonları ve Tþrkiye Uygulaması Üzerine Bir İnceleme, Marmara Üniversitesi SBE Dergisi, Sayı 12, s. 17.
14. EDELEN, Roger M. ve Jerold B. Warner (1998), Why are Mutual Fund Flow and Market Returns Related? Evidence From High-Frequency Data, Working Paper; The Wharton School, University of Pennsyluania.
15. EDELEN, Roger M. ve Jerold B. Warner (2001), Aggregate Price Effect of Institutional Trading: A Study of Mutual Fund Flow and Market Returns, Journal of Financial Economics, Vol 59, s. 195-220.
16. EDWARD, F. Riedl ve Xiang Zhang (1998), Mutual Funds and Stock and Bond Markets Stability, Journal of Financial Services Research, Vol 13, No 3, s. 257-282.
17. ENGEN, Eric M. ve Andreas Lehnert (2000), Mutual Fund and The U.S. Equity Market, Federal Reserve Bulletin, December, s. 797-812.
18. FANT, L. Franklin (1999), Investment Behaviour of Mutual Fund Shareholder: The Evidence From Aggregate Fund Flows, Journal of Financial Markets, Vol 2, s. 391-402.
19. FORTUNE, Peter (1998), Mutual funds: Part II Fund Flows and Security Returns, New England Economic Review, January/February, s. 3-22.
20. FREEMAN, John P. ve Stewart L. Brown (2001), Mutual Fund Advisory Fees: The Costs of Conflicts of Interest, Journal of Corporation Law, Vol 26, No 3, s. 609-673.
21. FRIEND, Irwin, Marshall Blume, ve Jean Crockett (1970), Mutual Funds and Other Institutional Investors: A New Perspective, McGrawHill Book Co, New York.
22. GOETZMANN, William N. ve Massimo Massa (2003), Index Fund and Stock Market Growth, Journal of Business, Vol 79, s. 1-28.
23. GRANGER C. W. J. (1988), Some Recent Developments in a Concept of Causality”, Journal of Econometrics, Vol. 39, No 1-2, s. 199-211.
24. GRINBLATT, Mark ve Sheridan Titman (1994), A Study of Monthly Mutual Fund Return and Portfolio Performance Evaluation Techniques, Journal of Financial and Quantitative Analysis, Vol 29, No 3, s. 419- 444.
25. GUJARATI, Damodar N. (2006), Temel Ekonometri, Ñev: Ümit Şenesen ve Gþlay G. Şenesen, 4. Baskı, Literatþr Yayıncılık, İstanbul.
26. HENDRICKS, Darryll, Jayendu Patel ve Richard Zeckhauser (1993), Hot Hand in Mutual funds: Short-Run Persistence of Relative Performance 1974-1988, Journal of Finance, Vol 48, s. 93-130.
27. HENDRICKS, Darryll, Avanidhar Subrahmanyam, ve Sheridan Titman (1994), Security Analysis and Trading Patterns When Some Investors Receive Information Before Others, Journal of Finance, Vol 49, No 5, s. 1665-1698.
28. IPPOLITO, Richard (1992), Consumer Reaction to Measures of Poor Quality: Evidence From The Mutual Fund Industry, Journal of Law and Economics, Vol 35, No 1, s. 45-70.
29. KENNEDY, Peter (2006), Ekonometri Kılavuzu, Ñev: Muzaffer Sarımeşeli ve Şenay Aéıkgøz, 5. Baskı, Gazi Kitabevi, Ankara.
30. KOSKI, Jennifer ve Jeffrey Pontiff (1999), How Are Deribatives Used? Evidence From The Mutual Funds from the Mutual Fund Industry, Journal of Finance, Vol 54, s. 791-816.
31. KUTLAR, Aziz (2007), Ekonometriye Giriş, 1. Baskı, Nobel Yayınları, Ankara.
32. Mian S. NAZIR ve Muhammad M. Nawaz (2010), The Determinant of Mutual Fund Growth in Pakistan, International Research Journal of Finance and Economic, No 54.
33. NOFSINGER, John ve Richard W. Sias (1998), Herding and Feedback Trading by Institutional and Individual Investors, Working Paper, Washington State University.
34. OH, Natalie Y. ve Jerry T. Parwada (2007), Relations Between Mutual Fund Flows and Stock Market Return in Korea, International Financial Markets, Institution & Money, Vol 17, No 2, s. 140-151.
35. PARK, Jinwoo ve Catherine Shenoy (2002), An Examination of the Dynamic Behavior of Aggregate Bond and Stock Issues, International Review of Economics and Finance, Vol 11, s. 175-189.
36. REMOLONA, Eli M., Paul Kleiman, ve Debbie GRUENSTEIN (1997), Market Returns and Mutual Fund Flows, Federal Reserve Bank of New York Economic Policy Review, Vol 3, No 2 (July), s. 33-52.
37. ROMPOTIS, Gerasimos G. (2008), A Cost-Performance Analysis of Greek Mutual Fund, European Journal of Economics, Finance and Administrative Sciences, No 12.
38. SEVÜKTEKİN, Mustafa ve Mehmet Nargeleéekenler (2007), Ekonometrik Zaman Serileri Analizi: E-Views Uygulamalı, 2. Baskı, Nobel Yayınları, Ankara 2007.
39. SIAS, Richard W. ve Laura T. Starks (1997), Return Autocorrelation and Institutional Investors, Journal of Financial Economic, Vol 46, s. 103-131.
40. SIRRI, Erik ve Peter Tufano (1998), Costly Search and Mutual Fund Flows, Journal of Finance, Vol 53, s. 1589-1622.
41. TARI, Recep (2010), Ekonometri, 6. Baskı, Umuttepe Kitabevi, Kocaeli.
42. TEKER, Suat., Emre Karakurum, ve Osman Tav (2008), Yatırım Fonlarının Risk Odaklı Performans Değerlemesi, Doğuş Üniversitesi Dergisi, Cilt 9, Sayı 1, s. 89-105.
43. TEVFİK, Gþrman (1995), Dünyada ve Türkiye’de Yatırım Fonları, Tþrkiye İş Bankası Kþltþr Yayınları, No: 342, Ankara, 1995.
44. TUNCER, Selahattin (1989), Türkiye’de Menkul Kıymetler Yatırım Fonu”, Türkiye’de Yatırım Fonları ve Son Gelişmeler (Tebliğ ve panel), İktisadı Araştırma Vakfı Yayını, İstanbul.
45. WARTHER, Vincent (1995), Aggregate Mutual Fund Flows and Security Returns, Journal of Financial Economics, Vol 39, s. 209-235.
46. WERMERS, Russ (1999), Mutual Fund Herding and The Impact on Stock Prices, The Journal of Finance, Vol 54, No 2 (April), s. 581-622.
47. YAPRAKLI, Sevda (2007), Ticari ve Finansal Dışa Aéıklık ile Ekonomik Bþyþme Arasındaki İlişki: Tþrkiye Üzerine Bir Uygulama, İstanbul Üniversitesi İktisat Fakültesi Ekonometri ve İstatistik Dergisi, Sayı 5, s. 67-89.
48. SPK, Yatırım Fonlarına İlişkin Esaslar Tebliği, Sermaye Piyasası Mevzuatı, Seri: VII, No: 10, (19.12.1996), 22852 sayılı Resmi Gazete.

There are 48 citations in total.

Details

Primary Language	Turkish
Journal Section	Articles
Authors	Yrd.Doç.Dr.Gönül Yüce This is me
Publication Date	September 1, 2012
Published in Issue	Year 2012 Volume: 17 Issue: 3

Cite

APA	Yüce, .Y. (2012). TÜRKİYE’DE A TİPİ HİSSE SENEDİ FONLARI GETİRİLERİNİN MİKRO BELİRLEYİCİLERİ: BİR ZAMAN SERİSİ ANALİZİ. Süleyman Demirel Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 17(3), 283-300.

Article Files

Full Text