TY  - JOUR
TT  - BORSA YATIRIM FONLARININ ENDEKS PİYASALARINDA VOLATİLİTE ÜZERİNDEKİ ETKİSİ: İMKB-30 ENDEKSİ ÜZERİNE BİR UYGULAMA
AU  - Karahan, Ferit
AU  - Kayalı, M. Mesut
AU  - Baş, Metin
PY  - 2016
DA  - December
JF  - Dumlupınar Üniversitesi Sosyal Bilimler Dergisi
PB  - Kütahya Dumlupınar Üniversitesi
WT  - DergiPark
SN  - 1302-1842
SP  - 205
EP  - 234
KW  - Index Instruments
KW  - Volatility
KW  - Time Series Analysis
KW  - Exchange Traded Fund
N2  - Çalışmada Türkiyeendeks piyasalarında 7 Nisan 2009 tarihinde işlem görmeye başlayan IST30 BorsaYatırım Fonu’nun İMKB-30 spot ve vadeli endeks piyasalara olan volatiliteetkisi fon kurulma tarihinin öncesi ve sonrası olmak üzere iki dönem halindeele alınmaktadır. Borsa yatırımfonlarının endeks piyasaların volatilitesine etkisini araştırmak için zamanserisi modelleri kullanılmıştır. Uygulama sonuçları, fonun işleme başlamatarihinden öncesinde ve sonrasında endeks yatırım araçlarının volatilitesindebir düşüş meydana geldiğini göstermektedir. Çalışmada IMKB-30 endeksindeki dayanakvarlıkların her iki dönemdeki volatilitesi de araştırılmıştır. 13 hisseninvolatilitesi yükselirken, 17 hissenin volatilitesinin düştüğü bulunmuştur.Toplu sonuçlar, dayanak varlıkların volatilitesinin düştüğünü göstermektedir.Bu sonuç, Lin ve Chiang(2005)’ın bulgularıylauyumludur.
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UR  - https://dergipark.org.tr/tr/pub/dpusbe/article/286621
L1  - https://dergipark.org.tr/tr/download/article-file/269374
ER  -