Öz

Bu çalışmanın amacı, 1992-1999 döneminde Türkiye hisse senedi piyasasındaki oynaklığı sektör düzeyinde incelemektir. Sektörler birbirinden farklı özellikler gösterdiğinden, her bir sektörün oynaklığı ayrı ayrı analiz edilmiştir. Firmalar, İMKB’nin sektör sınıflandırmasına uygun olarak 15 sektörde toplanmıştır. Her bir sektör için oynaklık serileri oluşturulmuştur. Elde edilen bulgulara göre, Kimya, Bankacılık ve Metal eşya, makina gibi büyük endüstürilerde oynaklık eğilimi daha fazladır. Örneklemizdeki büyük sectörlerden ikisinde, Kimya ve Bankacılık sektörlerinde endüstri betaları 1.0’den büyük, diğer sektörlerin betaları ise önemli ölçüde düşük bulunmuştur. Bu çalışmada oynaklık serilerinin zaman serileri analizleri de yapılmıştır. Bulgularımız, Gıda, Yatırım ortaklıkları, Demir-Çelik ve Sigorta sektörlerinin pozitif trend, Metal eşya, makina sektörünün ise negatif trende sahip olduğunu göstermiştir. İmalat sektörünün oynaklık serilerinin devresel hareketleri de analiz edilmiştir. Bu sektöre ait oynaklık serilerinin , sektörün gelecekteki büyüme hızını tahminleme gücüne sahip olmadığı sonucuna ulaşılmıştır

VOLATILITY IN THE TURKISH STOCK MARKET: AN INDUSTRY-LEVEL ANALYSIS

Öz

This paper examines the volatility of Turkish stock market at the industry level over the period 19921999. Since the nature and composition of the industries are not the same, we study the volatility of each industry separately. Individual firms are aggregated into 15 industries according to the industry classification of ISE. The volatility series at the level of each industry are constructed. The results indicate that large industries, such as, Chemical, Banking, and Metal products, machinery, tend to have high-level volatility. The results also indicate that two of the large industries in our sample, Chemicals and Banking, have an industry-beta higher than 1.0. Other industries, however, have a substantially low industry beta. The time series behavior of volatility series is also analyzed. The results suggest that Food, Investment Trust, Ferrous Metals and Insurance industries exhibit significant positive trend and Metal products, machinery exhibit significant negative trend. The cyclical behavior of volatility series in industries belong to manufacture sector is also checked. The results indicate that the volatility series have no forecasting power for future output growth in that industry.

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