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Petrolün Portföy Optimizasyonu İçin Önemi: Borsa İstanbul’da Yer Alan Petrokimya Plastik Firmaları Üzerine Bir Uygulama

Yıl 2019, Cilt: 33 Sayı: 4, 1245 - 1259, 25.10.2019

Öz

Bu çalışma petrol ve petrokimya plastik sektöründeki firmalar
arasındaki oynaklık yayılımını ölçüp buradan elde edilecek varyans ve kovaryans
serileri ile portföy optimizasyonuna bakmayı amaçlamaktadır. Veriler 9 Haziran
2015 ve 3 Mayıs 2019 tarihleri arasını kapsamakta olup, Batı Texas ham petrol ve
Borsa İstanbul’daki 20 petrokimya plastik firma hisse senetleri fiyatları
kullanılmıştır. Oynaklık yayılımı için DCC-GARCH modelinden yararlanılmıştır. Portföy
optimizasyonu için petrol ve tüm firmaların ortalama ağırlıkları ve optimal
hedge oranları hesaplanılmıştır. Yapılan analizler sonucunda, petrol ve 11
firma hisse senetleri arasında önemli derecede oynaklık yayılımı mevcuttur. Ayrıca
portföy optimizasyonundan çıkan sonuçlar, optimal bir portföy için petrolün
önemini göstermektedir. Yatırımcılar petrol varlığı yerine daha çok firma hisse
senetlerine yatırım yaparak risklerini minimize edebilirler.




Kaynakça

  • Antonakakis, N., Cunado, J., Filis, G., Gabauer, D., Gracia, F.P. (2018). Oil volatility, oil and gas firms and portfolio diversification, Energy Economics 70, 499–515.
  • Arouri, M.E., Nguyen, D.K. (2010). Oil prices, stock markets and portfolio investment: evidence from sector analysis in Europe over the last decade. Energy Policy 38, 4528–5439.
  • Arouri, M.E., Jouini, J., Nguyen, D.K. (2012). On the impacts of oil price fluctuations on European equity markets: volatility spillover and hedging effectiveness. Energy Econ. 34 (2), 611–617.
  • Basher, Syed A., and Perry Sadorsky. (2016). “Hedging Emerging Market Stock Prices with Oil, Gold, Vix, and Bonds: A Comparison Between DCC, ADCC and GO-GARCH.” Energy Economics, 54: 235-247.
  • Çağlı, Efe Ç., Fatma D. Taşkın, and Pınar E. Mandacı. (2014). “The Interactions between Oil Prices and Borsa Istanbul Sector Indices.” International Journal of Economic Policy in Emerging Economies, 7(1): 55-65.
  • Demiralay, S. ve Gencer, H.G. (2014). Volatility Transmissions between Oil Prices and Emerging Market Sectors: Implications for Portfolio Management and Hedging Strategies. International Journal of Energy Economics and Policy Vol. 4, No. 3, 2014, pp.442-447
  • Demirer, R., Jategaonkar, S., Khalifa, A. (2015). Oil price risk exposure and the cross-section of stock returns: the case of net exporting countries. Energy Econ. 49, 132–140.
  • Dickey, D. A. and W. A. Fuller (1979). ‘Distribution of the estimators for autoregressive time series with a unit root’, Journal of the American Statistical Association. Vol. 74: 427-431.
  • Du, L., He, Y. (2015). Extreme risk spillovers between crude oil and stock markets. Energy Econ. 51, 455–465.
  • Engle, R. (2002). “Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models.” American Statistical Association Journal of Business & Economic Statistics, 20(3).
  • Ergün, Uğur ve Azizah, İbrahim (2013). Global Energy Prıces and the Behavior of Energy Stock Price Fluctuations, Asian Economic and Financial Review, 2013, 3(11):1460-1465
  • Gomes, M., Chaibi, A. (2014). Volatility spillovers between oil prices and stock returns: a focus on frontier markets. J. Appl. Bus. Res. 30, 509–526.
  • Gönüllü, Ç.O., Otluoğlu, M., ve Şengöz M.H. (2015). Ham Petrol Fiyatı Değişimlerinin Petrokimya Sektörü Getirileri Üzerindeki Etkisi. International Journal of Economic & Administrative Studies. Sayı:14, 223-234.
  • Kroner, K., Ng, V. (1998). Modeling asymmetric movements of asset prices. Rev. Financ. Stud. 11, 844–871.
  • Kroner, K., Sultan, J. (1993). Time-varying distributions and dynamic hedging with foreign currency futures. J. Financ. Quant. Anal. 28, 535–551.
  • Lin, B., Wesseh Jr., P., Appiah, M.O. (2014). Oil price fluctuation, volatility spillover and the Ghanaian equity market: implication for portfolio management and hedging effectiveness. Energy Econ. 42, 172–182.
  • Malik, Farooq, and Bradley Ewing. (2009). “Volatility Transmission between Oil Prices and Equity Sector Returns.” International Review of Financial Analysis, 18: 95–100.
  • Malik, Farooq, and Shawkat Hammoudeh. (2007). “Shock and Volatility Transmission in the Oil, US and Gulf Equity Markets.” International Review of Economics and Finance, 17: 357–368.
  • Narayan, P.K., Sharma, S.S. (2014). Firm return volatility and economic gains: the role of oil prices. Econ. Model. 38, 142–151.
  • Narayan, P.K., Narayan, S. (2010). Modelling the impact of oil prices on Vietnam's stock prices. Appl. Energy 87 (1), 356–361.
  • Naifar, N., ve Al Dohaiman, M. S. (2013). Nonlinear analysis among crude oil prices, stock markets’ return and macroeconomic variables. International Review of Economics & Finance, 27, 416–431.
  • Öztürk, M. B., Gümüş, G.K., Taşkın, F.D., Çağlı, E.Ç. (2013). Petrol Ve Doğalgaz Fiyatları İle İmalat Ve Kimya-Petrolplastik Sektörlerinin Endeksleri Arasındaki İlişki, Niğde Üniversitesi İİBF Dergisi, Cilt: 6, Sayı: 2, s.64-74 64
  • Phillips, P. C. B. and Perron, P. (1988). ‘Testing for a unit root in time series regressions’, Biometrika: Vol. 75: 335-346.
  • Sarwar, S., Shahbaz, M., Anwar, A., ve Tiwari, A.K. (2019). The importance of oil assets for portfolio optimization: The analysis of firm level stocks. Energy Economics, 78, 217–234.
  • www.kap.org.tr Kamuyu Aydınlatma Platformu
Yıl 2019, Cilt: 33 Sayı: 4, 1245 - 1259, 25.10.2019

Öz

Kaynakça

  • Antonakakis, N., Cunado, J., Filis, G., Gabauer, D., Gracia, F.P. (2018). Oil volatility, oil and gas firms and portfolio diversification, Energy Economics 70, 499–515.
  • Arouri, M.E., Nguyen, D.K. (2010). Oil prices, stock markets and portfolio investment: evidence from sector analysis in Europe over the last decade. Energy Policy 38, 4528–5439.
  • Arouri, M.E., Jouini, J., Nguyen, D.K. (2012). On the impacts of oil price fluctuations on European equity markets: volatility spillover and hedging effectiveness. Energy Econ. 34 (2), 611–617.
  • Basher, Syed A., and Perry Sadorsky. (2016). “Hedging Emerging Market Stock Prices with Oil, Gold, Vix, and Bonds: A Comparison Between DCC, ADCC and GO-GARCH.” Energy Economics, 54: 235-247.
  • Çağlı, Efe Ç., Fatma D. Taşkın, and Pınar E. Mandacı. (2014). “The Interactions between Oil Prices and Borsa Istanbul Sector Indices.” International Journal of Economic Policy in Emerging Economies, 7(1): 55-65.
  • Demiralay, S. ve Gencer, H.G. (2014). Volatility Transmissions between Oil Prices and Emerging Market Sectors: Implications for Portfolio Management and Hedging Strategies. International Journal of Energy Economics and Policy Vol. 4, No. 3, 2014, pp.442-447
  • Demirer, R., Jategaonkar, S., Khalifa, A. (2015). Oil price risk exposure and the cross-section of stock returns: the case of net exporting countries. Energy Econ. 49, 132–140.
  • Dickey, D. A. and W. A. Fuller (1979). ‘Distribution of the estimators for autoregressive time series with a unit root’, Journal of the American Statistical Association. Vol. 74: 427-431.
  • Du, L., He, Y. (2015). Extreme risk spillovers between crude oil and stock markets. Energy Econ. 51, 455–465.
  • Engle, R. (2002). “Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models.” American Statistical Association Journal of Business & Economic Statistics, 20(3).
  • Ergün, Uğur ve Azizah, İbrahim (2013). Global Energy Prıces and the Behavior of Energy Stock Price Fluctuations, Asian Economic and Financial Review, 2013, 3(11):1460-1465
  • Gomes, M., Chaibi, A. (2014). Volatility spillovers between oil prices and stock returns: a focus on frontier markets. J. Appl. Bus. Res. 30, 509–526.
  • Gönüllü, Ç.O., Otluoğlu, M., ve Şengöz M.H. (2015). Ham Petrol Fiyatı Değişimlerinin Petrokimya Sektörü Getirileri Üzerindeki Etkisi. International Journal of Economic & Administrative Studies. Sayı:14, 223-234.
  • Kroner, K., Ng, V. (1998). Modeling asymmetric movements of asset prices. Rev. Financ. Stud. 11, 844–871.
  • Kroner, K., Sultan, J. (1993). Time-varying distributions and dynamic hedging with foreign currency futures. J. Financ. Quant. Anal. 28, 535–551.
  • Lin, B., Wesseh Jr., P., Appiah, M.O. (2014). Oil price fluctuation, volatility spillover and the Ghanaian equity market: implication for portfolio management and hedging effectiveness. Energy Econ. 42, 172–182.
  • Malik, Farooq, and Bradley Ewing. (2009). “Volatility Transmission between Oil Prices and Equity Sector Returns.” International Review of Financial Analysis, 18: 95–100.
  • Malik, Farooq, and Shawkat Hammoudeh. (2007). “Shock and Volatility Transmission in the Oil, US and Gulf Equity Markets.” International Review of Economics and Finance, 17: 357–368.
  • Narayan, P.K., Sharma, S.S. (2014). Firm return volatility and economic gains: the role of oil prices. Econ. Model. 38, 142–151.
  • Narayan, P.K., Narayan, S. (2010). Modelling the impact of oil prices on Vietnam's stock prices. Appl. Energy 87 (1), 356–361.
  • Naifar, N., ve Al Dohaiman, M. S. (2013). Nonlinear analysis among crude oil prices, stock markets’ return and macroeconomic variables. International Review of Economics & Finance, 27, 416–431.
  • Öztürk, M. B., Gümüş, G.K., Taşkın, F.D., Çağlı, E.Ç. (2013). Petrol Ve Doğalgaz Fiyatları İle İmalat Ve Kimya-Petrolplastik Sektörlerinin Endeksleri Arasındaki İlişki, Niğde Üniversitesi İİBF Dergisi, Cilt: 6, Sayı: 2, s.64-74 64
  • Phillips, P. C. B. and Perron, P. (1988). ‘Testing for a unit root in time series regressions’, Biometrika: Vol. 75: 335-346.
  • Sarwar, S., Shahbaz, M., Anwar, A., ve Tiwari, A.K. (2019). The importance of oil assets for portfolio optimization: The analysis of firm level stocks. Energy Economics, 78, 217–234.
  • www.kap.org.tr Kamuyu Aydınlatma Platformu
Toplam 25 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Ayşegül Kırkpınar 0000-0002-7339-8262

Yayımlanma Tarihi 25 Ekim 2019
Yayımlandığı Sayı Yıl 2019 Cilt: 33 Sayı: 4

Kaynak Göster

APA Kırkpınar, A. (2019). Petrolün Portföy Optimizasyonu İçin Önemi: Borsa İstanbul’da Yer Alan Petrokimya Plastik Firmaları Üzerine Bir Uygulama. Atatürk Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 33(4), 1245-1259.

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