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Borsa İstanbul'da Portföy Çeşitlendirme Gücünün Zamanla Değişimi: BİST 30 Üzerine Bir Uygulama

Yıl 2025, Cilt: 9 Sayı: 2, 177 - 192, 31.12.2025

Kemal Özdemir

Öz

Bu çalışmada, 2015–2025 döneminde Borsa İstanbul’da işlem gören BIST 30 şirketlerinden oluşturulan eşit ağırlıklı portföyün çeşitlendirme oranı (DR) analiz edilerek Türkiye hisse senedi piyasasında çeşitlendirme stratejisinin etkinliği incelenmiştir. 12 aylık hareketli pencere yöntemiyle hesaplanan DR değerleri, portföyün dönemsel olarak farklı çeşitlendirme güçlerine sahip olduğunu göstermektedir. Bulgular, 2018 kur krizi, 2020 COVID-19 pandemisi ve 2023 seçim süreci gibi belirsizlik dönemlerinde hisse korelasyonlarının artmasıyla DR’ın 1,3–1,5 aralığına kadar gerilediğini, buna karşın 2016–2017 ve 2024–2025 gibi istikrarlı dönemlerde 1,8–2,0 seviyelerine yükseldiğini ortaya koymuştur. Sonuçlar, çeşitlendirmenin statik değil, piyasa koşullarına duyarlı dinamik bir yapı sergilediğini göstermektedir. Türkiye sermaye piyasasında sürdürülebilir risk azaltımı için yalnızca hisse bazlı değil, farklı varlıkları da kapsayan stratejik portföy yaklaşımının benimsenmesi gerektiği sonucuna ulaşılmıştır.

Anahtar Kelimeler

Çeşitlendirme Oranı Borsa İstanbul Portföy Riski

Kaynakça

  • Aït-Sahalia, Y., & Xiu, D. (2016). Increased correlations across asset classes: Volatility or jumps?, Journal of Econometrics, 194(2), 205–219. https://doi.org/10.1016/j.jeconom.2016.05.002
  • Akhtaruzzaman, M., Boubaker, S., & Sensoy, A. (2021). Financial contagion during COVID–19 crisis. Finance Research Letters, 38, 101604. https://doi.org/10.1016/j.frl.2020.101604
  • Ang, A., & Bekaert, G. (2002). International asset allocation with regime shifts. The Review of Financial Studies, 15(4), 1137–1187. https://doi.org/10.1093/rfs/15.4.1137
  • Ang, A., & Chen, J. (2002). Asymmetric correlations of equity portfolios. Journal of Financial Economics, 63(3), 443–494. https://doi.org/10.1016/S0304-405X(02)00068-5
  • Attig, N., & Sy, O. (2023). Diversification during Hard Times. Financial Analysts Journal, 79(2), 45–64. http://dx.doi.org/10.2139/ssrn.3848814
  • Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes, Econometrica, 66(1), 47–78. https://doi.org/10.2307/2998540
  • Baur, D. G., & Lucey, B. M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold, Financial Review, 45(2), 217–229. https://doi.org/10.1111/j.1540-6288.2010.00244.x
  • Butler, K. C., & Joaquin, D. C. (2002). Are the gains from international portfolio diversification exaggerated? The influence of downside risk in bear markets, Journal of International Money and Finance, 21(5), 981–1011. https://doi.org/10.1016/S0261-5606(02)00048-7
  • Chiang, T. C., Jeon, B. N., & Li, H. (2007). Dynamic correlation analysis of financial contagion: Evidence from Asian markets, Journal of International Money and Finance, 26(7), 1206–1228. https://doi.org/10.1016/j.jimonfin.2007.06.005
  • Choueifaty, Y., & Coignard, Y. (2008). Toward maximum diversification, The Journal of Portfolio Management, 35(1), 40–51. https://doi.org/10.3905/JPM.2008.35.1.40
  • Das, S., Demirer, R., Gupta, R., & Mangisa, S. (2019). The effect of global crises on stock market correlations: Evidence from scalar regressions via functional data analysis, Structural Change and Economic Dynamics, 50, 132–147. https://doi.org/10.1016/j.strueco.2019.05.007
  • DeMiguel, V., Garlappi, L., & Uppal, R. (2009). Optimal versus naive diversification: How inefficient is the 1/N portfolio strategy?, The Review of Financial Studies, 22(5), 1915–1953. https://doi.org/10.1093/rfs/hhm075
  • Doğan, İ. (2025). Döviz kurları ve borsa İstanbul endeksleri arasındaki volatilite etkileşimi: Fourier varyansta nedensellik yaklaşımı, Ahi Evran Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(1), 52-65.
  • Engle, R. F. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity Models, Journal of Business & Economic Statistics, 20(3), 339–350. https://doi.org/10.1198/073500102288618487
  • Engle, R. F., & Rangel, J. G. (2008). The spline-GARCH model for low-frequency volatility and its global macroeconomic causes, The Review of Financial Studies, 21(3), 1187–1222. http://dx.doi.org/10.2139/ssrn.939447
  • Essaadi, E., Jouini, J., & Khallouli, W. (2009). The Asian crisis contagion: A dynamic correlation approach analysis, Panoeconomicus, 56(2), 241–260. https://doi.org/10.2298/PAN0902241E
  • Forbes, K., & Rigobon, R. (2002). No contagion, only interdependence: Measuring stock market co-movements, The Journal of Finance, 57(5), 2223–2261. https://doi.org/10.1111/0022-1082.00494
  • Frank, N. (2009). Linkages between asset classes during the financial crisis, accounting for market microstructure noise and non-synchronous trading. Oxford-Man Institute of Quantitative Finance, University of Oxford.
  • Gagnon, M. H., Manseau, A., & Power, S. (2020). They're back! Post-financialization diversification benefits of commodities, International Review of Financial Analysis, 71, 101515. https://doi.org/10.1016/j.irfa.2020.101515
  • Gul, F. (1991). A theory of disappointment aversion, Econometrica, 59(3), 667–686. https://doi.org/10.2307/2938223
  • Huang, R., Kambouroudis, D., & McMillan, D. G. (2025). Is portfolio diversification still effective: evidence spanning three crises from the perspective of U.S. investors, Journal of Asset Management, 26, 115–135. https://doi.org/10.1057/s41260-025-00398-z
  • Kritzman, Mark and Li, Yuanzhen and Page, Sebastien and Rigobon, Roberto, Principal Components as a Measure of Systemic Risk (June 30, 2010), MIT Sloan Research Paper, No. 4785-10. https://doi.org/10.3905/jpm.2011.37.4.112
  • Kotkatvuori-Örnberg, J., Nikkinen, J., & Äijö, J. (2013). Stock market correlations during the financial crisis of 2008–2009: Evidence from 50 equity markets, International Review of Financial Analysis, 28, 70–78. https://doi.org/10.1016/j.irfa.2013.01.009
  • Longin, F., & Solnik, B. (2001). Extreme correlation of international equity markets, The Journal of Finance, 56(2), 649–676. https://doi.org/10.1111/0022-1082.00340
  • Loretan, M., & English, W. B. (2000). Evaluating “correlation breakdowns” during periods of market volatility (International Finance Discussion Paper No. 658). Board of Governors of the Federal Reserve System.
  • Markowitz, H. (1952). Portfolio selection, The Journal of Finance, 7(1), 77–91. https://doi.org/10.2307/2975974
  • Page, S., & Panariello, R. A. (2018). When diversification fails, Financial Analysts Journal, 74(3), 19–32. https://doi.org/10.2469/faj.v74.n3.3
  • Ramchand, L., & Susmel, R. (1998). Volatility and cross correlation across major stock markets, Journal of Empirical Finance, 5(4), 397–416. https://doi.org/10.1016/S0927-5398(98)00003-6
  • Solnik, B. H. (1974). Why not diversify internationally rather than domestically?, Financial Analysts Journal, 30(4), 48–54. https://www.jstor.org/stable/4479813
  • Tang, K., & Xiong, W. (2012). Index investment and the financialization of commodities, Financial Analysts Journal, 68, 54-74. https://doi.org/10.2469/faj.v68.n6.5
  • Yılmaz, H. (2025). BIST 30’da ortalama varyans modeli, Sharpe ve Treynor ölçütlerine dayalı genetik algoritmayla portföy optimizasyonu uygulaması, Süleyman Demirel Üniversitesi Vizyoner Dergisi, 16(45), 90–112. https://doi.org/10.21076/vizyoner.1498629
  • Zonon, B. I. P., Bouraima, M. B., Chen, C., & Dumor, K. (2025). The impact of COVID-19 on global stock markets: Comparative insights from developed, developing, and regionally integrated markets, Economies, 13(2), 39. https://doi.org/10.3390/economies13020039

Time-Varying Diversification Power in Borsa İstanbul:An Application on BİST 30 Index

Yıl 2025, Cilt: 9 Sayı: 2, 177 - 192, 31.12.2025

Kemal Özdemir

Öz

This study investigates the effectiveness of diversification strategies in the Turkish stock market by analyzing the Diversification Ratio (DR) of an equally weighted BIST 30 portfolio between 2015 and 2025. Using a 12-month rolling window, the DR values reveal substantial time variation in diversification strength. The findings show that during stress periods such as the 2018 currency crisis, the COVID-19 pandemic, and the 2023 election cycle, rising stock correlations caused the DR to decline to around 1.3–1.5. In contrast, in more stable periods like 2016–2017 and 2024–2025, the DR increased to approximately 1.8–2.0, indicating a restoration of portfolio balance. These results highlight that diversification is not static but dynamically shaped by market conditions. The study concludes that sustainable risk mitigation in Turkey’s capital market requires a strategic portfolio design that integrates multiple assets rather than relying solely on stock-level diversification.

Anahtar Kelimeler

Diversification Ratio Borsa Istanbul Portfolio Risk

Kaynakça

  • Aït-Sahalia, Y., & Xiu, D. (2016). Increased correlations across asset classes: Volatility or jumps?, Journal of Econometrics, 194(2), 205–219. https://doi.org/10.1016/j.jeconom.2016.05.002
  • Akhtaruzzaman, M., Boubaker, S., & Sensoy, A. (2021). Financial contagion during COVID–19 crisis. Finance Research Letters, 38, 101604. https://doi.org/10.1016/j.frl.2020.101604
  • Ang, A., & Bekaert, G. (2002). International asset allocation with regime shifts. The Review of Financial Studies, 15(4), 1137–1187. https://doi.org/10.1093/rfs/15.4.1137
  • Ang, A., & Chen, J. (2002). Asymmetric correlations of equity portfolios. Journal of Financial Economics, 63(3), 443–494. https://doi.org/10.1016/S0304-405X(02)00068-5
  • Attig, N., & Sy, O. (2023). Diversification during Hard Times. Financial Analysts Journal, 79(2), 45–64. http://dx.doi.org/10.2139/ssrn.3848814
  • Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes, Econometrica, 66(1), 47–78. https://doi.org/10.2307/2998540
  • Baur, D. G., & Lucey, B. M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold, Financial Review, 45(2), 217–229. https://doi.org/10.1111/j.1540-6288.2010.00244.x
  • Butler, K. C., & Joaquin, D. C. (2002). Are the gains from international portfolio diversification exaggerated? The influence of downside risk in bear markets, Journal of International Money and Finance, 21(5), 981–1011. https://doi.org/10.1016/S0261-5606(02)00048-7
  • Chiang, T. C., Jeon, B. N., & Li, H. (2007). Dynamic correlation analysis of financial contagion: Evidence from Asian markets, Journal of International Money and Finance, 26(7), 1206–1228. https://doi.org/10.1016/j.jimonfin.2007.06.005
  • Choueifaty, Y., & Coignard, Y. (2008). Toward maximum diversification, The Journal of Portfolio Management, 35(1), 40–51. https://doi.org/10.3905/JPM.2008.35.1.40
  • Das, S., Demirer, R., Gupta, R., & Mangisa, S. (2019). The effect of global crises on stock market correlations: Evidence from scalar regressions via functional data analysis, Structural Change and Economic Dynamics, 50, 132–147. https://doi.org/10.1016/j.strueco.2019.05.007
  • DeMiguel, V., Garlappi, L., & Uppal, R. (2009). Optimal versus naive diversification: How inefficient is the 1/N portfolio strategy?, The Review of Financial Studies, 22(5), 1915–1953. https://doi.org/10.1093/rfs/hhm075
  • Doğan, İ. (2025). Döviz kurları ve borsa İstanbul endeksleri arasındaki volatilite etkileşimi: Fourier varyansta nedensellik yaklaşımı, Ahi Evran Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(1), 52-65.
  • Engle, R. F. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity Models, Journal of Business & Economic Statistics, 20(3), 339–350. https://doi.org/10.1198/073500102288618487
  • Engle, R. F., & Rangel, J. G. (2008). The spline-GARCH model for low-frequency volatility and its global macroeconomic causes, The Review of Financial Studies, 21(3), 1187–1222. http://dx.doi.org/10.2139/ssrn.939447
  • Essaadi, E., Jouini, J., & Khallouli, W. (2009). The Asian crisis contagion: A dynamic correlation approach analysis, Panoeconomicus, 56(2), 241–260. https://doi.org/10.2298/PAN0902241E
  • Forbes, K., & Rigobon, R. (2002). No contagion, only interdependence: Measuring stock market co-movements, The Journal of Finance, 57(5), 2223–2261. https://doi.org/10.1111/0022-1082.00494
  • Frank, N. (2009). Linkages between asset classes during the financial crisis, accounting for market microstructure noise and non-synchronous trading. Oxford-Man Institute of Quantitative Finance, University of Oxford.
  • Gagnon, M. H., Manseau, A., & Power, S. (2020). They're back! Post-financialization diversification benefits of commodities, International Review of Financial Analysis, 71, 101515. https://doi.org/10.1016/j.irfa.2020.101515
  • Gul, F. (1991). A theory of disappointment aversion, Econometrica, 59(3), 667–686. https://doi.org/10.2307/2938223
  • Huang, R., Kambouroudis, D., & McMillan, D. G. (2025). Is portfolio diversification still effective: evidence spanning three crises from the perspective of U.S. investors, Journal of Asset Management, 26, 115–135. https://doi.org/10.1057/s41260-025-00398-z
  • Kritzman, Mark and Li, Yuanzhen and Page, Sebastien and Rigobon, Roberto, Principal Components as a Measure of Systemic Risk (June 30, 2010), MIT Sloan Research Paper, No. 4785-10. https://doi.org/10.3905/jpm.2011.37.4.112
  • Kotkatvuori-Örnberg, J., Nikkinen, J., & Äijö, J. (2013). Stock market correlations during the financial crisis of 2008–2009: Evidence from 50 equity markets, International Review of Financial Analysis, 28, 70–78. https://doi.org/10.1016/j.irfa.2013.01.009
  • Longin, F., & Solnik, B. (2001). Extreme correlation of international equity markets, The Journal of Finance, 56(2), 649–676. https://doi.org/10.1111/0022-1082.00340
  • Loretan, M., & English, W. B. (2000). Evaluating “correlation breakdowns” during periods of market volatility (International Finance Discussion Paper No. 658). Board of Governors of the Federal Reserve System.
  • Markowitz, H. (1952). Portfolio selection, The Journal of Finance, 7(1), 77–91. https://doi.org/10.2307/2975974
  • Page, S., & Panariello, R. A. (2018). When diversification fails, Financial Analysts Journal, 74(3), 19–32. https://doi.org/10.2469/faj.v74.n3.3
  • Ramchand, L., & Susmel, R. (1998). Volatility and cross correlation across major stock markets, Journal of Empirical Finance, 5(4), 397–416. https://doi.org/10.1016/S0927-5398(98)00003-6
  • Solnik, B. H. (1974). Why not diversify internationally rather than domestically?, Financial Analysts Journal, 30(4), 48–54. https://www.jstor.org/stable/4479813
  • Tang, K., & Xiong, W. (2012). Index investment and the financialization of commodities, Financial Analysts Journal, 68, 54-74. https://doi.org/10.2469/faj.v68.n6.5
  • Yılmaz, H. (2025). BIST 30’da ortalama varyans modeli, Sharpe ve Treynor ölçütlerine dayalı genetik algoritmayla portföy optimizasyonu uygulaması, Süleyman Demirel Üniversitesi Vizyoner Dergisi, 16(45), 90–112. https://doi.org/10.21076/vizyoner.1498629
  • Zonon, B. I. P., Bouraima, M. B., Chen, C., & Dumor, K. (2025). The impact of COVID-19 on global stock markets: Comparative insights from developed, developing, and regionally integrated markets, Economies, 13(2), 39. https://doi.org/10.3390/economies13020039
Toplam 32 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular İşletme
Bölüm Araştırma Makalesi
Yazarlar

Kemal Özdemir 0000-0003-0644-6460

Gönderilme Tarihi 1 Kasım 2025
Kabul Tarihi 12 Kasım 2025
Yayımlanma Tarihi 31 Aralık 2025
Yayımlandığı Sayı Yıl 2025 Cilt: 9 Sayı: 2

Kaynak Göster

APA Özdemir, K. (2025). Borsa İstanbul’da Portföy Çeşitlendirme Gücünün Zamanla Değişimi: BİST 30 Üzerine Bir Uygulama. Ahi Evran Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(2), 177-192.
AMA Özdemir K. Borsa İstanbul’da Portföy Çeşitlendirme Gücünün Zamanla Değişimi: BİST 30 Üzerine Bir Uygulama. AEÜİİBFD. Aralık 2025;9(2):177-192.
Chicago Özdemir, Kemal. “Borsa İstanbul’da Portföy Çeşitlendirme Gücünün Zamanla Değişimi: BİST 30 Üzerine Bir Uygulama”. Ahi Evran Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 9, sy. 2 (Aralık 2025): 177-92.
EndNote Özdemir K (01 Aralık 2025) Borsa İstanbul’da Portföy Çeşitlendirme Gücünün Zamanla Değişimi: BİST 30 Üzerine Bir Uygulama. Ahi Evran Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 9 2 177–192.
IEEE K. Özdemir, “Borsa İstanbul’da Portföy Çeşitlendirme Gücünün Zamanla Değişimi: BİST 30 Üzerine Bir Uygulama”, AEÜİİBFD, c. 9, sy. 2, ss. 177–192, 2025.
ISNAD Özdemir, Kemal. “Borsa İstanbul’da Portföy Çeşitlendirme Gücünün Zamanla Değişimi: BİST 30 Üzerine Bir Uygulama”. Ahi Evran Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 9/2 (Aralık2025), 177-192.
JAMA Özdemir K. Borsa İstanbul’da Portföy Çeşitlendirme Gücünün Zamanla Değişimi: BİST 30 Üzerine Bir Uygulama. AEÜİİBFD. 2025;9:177–192.
MLA Özdemir, Kemal. “Borsa İstanbul’da Portföy Çeşitlendirme Gücünün Zamanla Değişimi: BİST 30 Üzerine Bir Uygulama”. Ahi Evran Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, c. 9, sy. 2, 2025, ss. 177-92.
Vancouver Özdemir K. Borsa İstanbul’da Portföy Çeşitlendirme Gücünün Zamanla Değişimi: BİST 30 Üzerine Bir Uygulama. AEÜİİBFD. 2025;9(2):177-92.