THE LONG MEMORY BEHAVIOR IN TIME-VARYING BETA: AN EMPIRICAL APPLICATION ON BIST

Year 2020, , 200 - 210, 20.12.2020

Hüseyin Keskin , İsmail Çelik

https://doi.org/10.21076/vizyoner.733976

Abstract

Bu çalışmanın amacı Borsa İstanbul alt endekslerinde bir sistematik risk göstergesi olarak kabul gören zamanla değişen beta katsayısında uzun bellek davranışını araştırmaktır. Borsa İstanbul ulusal endeks ve alt endeksleri ile iki yıllık gösterge tahvil faizine ilişkin Ocak 2009 ve Eylül 2019 arasındaki veriler kullanılarak zamana bağlı değişen beta katsayısını DECO-FIGARCH modeli ile tespit etmenin yanı sıra GPH, Lo R/S ve GSP testleriyle beta katsayısının uzun bellek davranışları analiz edilmiştir. Yapılan analizlere göre seçilen üç alt endeksin (bankacılık, mali ve sınai) de beta katsayısının zamana bağlı olarak değiştiği ve beta katsayısının uzun bellek davranışı sergilediği (ortalamasına hiperbolik hızda geri döndüğü) sonuçlarına ulaşılmıştır. Zamana bağlı değişen beta katsayılarının geçmişe bakılarak öngörülebilir olduğu ve bu nedenle de zayıf formda piyasa etkinliğiyle çeliştiği kanıtlanmaktadır.

Keywords

: Sermaye Varlıklarını Fiyatlandırma Modeli, Sistematik Risk, DECO-FIGARCH Modeli, Uzun Hafıza, Zamanla Değişen Beta Katsayısı

THE LONG MEMORY BEHAVIOR IN TIME-VARYING BETA: AN EMPIRICAL APPLICATION ON BIST

Abstract

The study aims to investigate the long memory behavior in time-varying beta, a systematic risk indicator, in İstanbul Stock Exchange (BIST) sub-indices. Using the data regarding BIST national indices, sub-indices and two-year benchmark bond interest rate between January 2009 and September 2019, the time-varying beta coefficient is determined with DECO-FIGARCH model, and the long memory behaviors of the beta coefficient are analyzed with GPH, Lo R / S and GSP tests. It is found that the beta coefficient of the three sub-indices (banking, financial and industrial) changes over time and the beta coefficient demonstrates long memory behavior (mean-reverting at a hyperbolic speed). It is indicated that the time-varying beta coefficients are forecastable and our findings contradict the weak-form of market efficiency.

Keywords

Capital Asset Pricing Model, Systematic Risk, DECO-FIGARCH Model, Long Memory, Time-Varying Beta Coefficient

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