İMKB’DE SEKTÖR BETALARININ TAHMİNİNDE TEK ENDEKS PİYASA MODELİ VE VARSAYIMLARININ GEÇERLİLİĞİ ÜZERİNE BİR ANALİZ

Öz

Bu çalışmada tek endeks piyasa modelinin istatistiksel özelliklerinin incelenmesi amaçlanmıştır. Buna ek olarak model ile ilgili temel varsayımların karşılanabilme düzeyi araştırılmıştır. 2000-2012 dönemi baz alınarak günlük, haftalık ve aylık bazda sektörel logaritmik getiriler kullanılmış, piyasayı temsilen İMKB-100 endeksi seçilmiştir. Sektör betalarının istatistiksel anlamlılığı, model tanımlamasının doğruluğu, ARCH etkisi, otokorelasyon ve değişen varyans sorunlarının incelenmesi, araştırmanın temelini oluşturmaktadır. Günlük getiri bazında kurulan modellerin istatistiksel ve ekonometrik açıdan sorunlu olduğu ifade edilebilir. Öte yandan getiri aralığı genişletildikçe temel varsayımların karşılanma oranında iyileşme olduğu gözlenmiştir.

Anahtar Kelimeler

• Sistematik Risk, Tek Endeks Modeli, EKKY, GARCH

AN ANALYSIS OF SINGLE INDEX MARKET MODEL AND ITS ASSUMPTIONS’ VALIDITY IN ESTIMATING SECTOR BETAS AT ISTANBUL STOCK EXCHANGE

Öz

This study aims examination of statistical properties of single index market model. Moreover, the fulfillment degree of basic assumptions related with the model is researched. Daily, weekly, and monthly logarithmic industry portfolio returns covering 2000-2012 period are used and ISE-100 index is chosen to represent the market portfolio. Main goals of this research are to investigate statistical significance of the sector betas, the accuracy of the model specification, ARCH effect, and autocorrelation and heteroscedasticity problems. It can be said that single index model based on daily return interval does not satisfy econometrical and statistical assumptions. Furthermore, it is observed that the fulfillment degree of basic assumptions increases as the return interval gets wider.

Anahtar Kelimeler

• Systematic Risk, Single Index Market Model, OLS, GARCH

Kaynakça

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