Borsa İstanbul’da Sermaye Varlıkları Fiyatlama Modelleri SVFM ve USVFM’nin Geçerliliği

Yıl 2024, Cilt: 9 Sayı: 1, 26 - 42, 29.03.2024

Muhammad Muddasir , Gülşah Kulalı

https://doi.org/10.30784/epfad.1383837

Öz

Bu çalışmanın amacı, Borsa İstanbul’da Sermaye Varlıkları Fiyatlama Modeli (SVFM) ve Uluslararası Sermaye Varlıkları Fiyatlama Modeli (USVFM) geçerli midir, sorusunu cevaplamaktır. Alan yazında bu soru üzerine henüz tam bir fikir birliğine ulaşılamamıştır. Bu çalışmada BIST-30 ve BIST-100 endekslerindeki işletmelerin Mart 2010 ile Şubat 2019 arası günlük pay senedi getirilerinden oluşan dengesiz panel veri seti kullanılarak bu tartışmaya yeni kanıtlar sunmak hedeflenmekte ve risk-beklenen getiri ilişkisinin doğrusal olup olmadığı araştırılmaktadır. Ampirik uygulama olarak panel regresyon analizi metodolojisi kullanılmıştır. Bulgularımız Borsa İstanbul’da (BIST) hem SVFM hem de USVFM’nin geçerli olduğunu göstermektedir. Aynı zamanda bulgularımız, her iki endeks için pay senedi getirilerini açıklamada USVFM’nin SVFM’ye göre daha iyi performans gösterdiğini ortaya koymaktadır. Açıklama gücündeki bu yüksek performans BIST-30 endeksinde BIST-100 endeksine kıyasla daha ön plana çıkmaktadır. Bu bulgulara dayanarak yatırımcılar, BIST-100'de döviz kuru ilişkili çeşitlendirmenin daha fazla olması nedeniyle Türkiye piyasasında riski azaltacak portföyler oluştururken yatırımcıların BIST-30 yerine BIST-100'ü kolaylıkla önceliklendirebilirler.

Anahtar Kelimeler

Borsa İstanbul, SVFM, USVFM, Döviz Kuru, Yükselen Piyasalar, Panel Veri Analizi

The Validity of CAPM and ICAPM in the Istanbul Stock Exchange

Öz

This study aims to answer the following research question: Are the Capital Asset Pricing Model (CAPM) and International Capital Asset Pricing Model (ICAPM) valid in the Istanbul Stock Exchange (ISE)? No broad agreement has been reached in the literature on this question, yet. Using an unbalanced panel of daily stock returns of companies in the BIST-30 index and as of BIST-100 index from March 2010 to February 2019, this paper seeks to provide new evidence on this discussion and explores whether the risk-expected return relationship is linear. In the empirical framework, panel regression analysis methodology is employed. Our findings indicate that both linear CAPM and linear ICAPM models are valid in ISE. Moreover, it is observed that the ICAPM outperforms the CAPM in explaining the stock returns for both indices. This outperformance is especially more pronounced for BIST-30 than BIST-100. Depending on these findings, investors can easily prioritize BIST-100 over BIST-30 when constructing portfolios to reduce risk in the Turkish market, given the fact that exchange rate-relevant diversification is greater in BIST-100.

Anahtar Kelimeler

ISE, CAPM, ICAPM, Exchange Rate, Emerging Markets, Panel Data Analysis

Kaynakça

• Acheampong, P. and Agalega, E. (2013). Does the capital assets pricing model (CAPM) predict stock market returns in Ghana? Evidence from selected stocks on the Ghana stock exchange. Research Journal of Finance and Accounting, 4(9), 27-35. Retrieved from https://www.iiste.org/Journals/index.php/RJFA/
• Al Refai, H. (2009). Empirical test of the relationship between risk and returns in Jordan capital market (SSRN Working Paper No. 1443367). Retrieved from https://papers.ssrn.com/
• Aliyev, D. and Soltanli, A. (2018). Empirical test of capital asset pricing model on selected banking shares from Borsa Istanbul. Academic Journal of Economic Studies, 4(1), 74-81. Retrieved from https://www.ceeol.com/
• Arda, A., Saldanli, A. and Uzun, S. (2023). Validity of asset pricing models in Istanbul stock exchange (ISE) information technology index. Theoretical and Applied Economics, 1(634), 115-136. Retrieved from https://ideas.repec.org/
• Bianconi, M., MacLachlan, S. and Sammon, M. (2015). Implied volatility and the risk-free rate of return in options markets. The North American Journal of Economics and Finance, 31, 1-26. http://dx.doi.org/10.1016/j.najef.2014.10.003
• Brealey, R.A., Myers, S.C., Allen, F. and Krishnan, V.S. (2006). Corporate finance (Vol. 8). Boston: McGraw-Hill/Irwin.
• Byrne, B.M. (2013). Structural equation modeling with Mplus: Basic concepts, applications, and programming. New York: Routledge.
• Choudhary, K. and Choudhary, S. (2010). Testing capital asset pricing model: Empirical evidences from Indian equity market. Eurasian Journal of Business and Economics, 3(6), 127-138. Retrieved from https://www.ejbe.org/index.php/EJBE/
• Demircioglu, E. (2015). Testing of capital assets pricing model (CAPM) in cement sector & power generation and distribution sector in Turkey. International Journal of Advanced Multidisciplinary Research and Review, 3(4), 1-25. Retrieved from https://mpra.ub.uni-muenchen.de
• Dumas, B. and Solnik, B. (1993). The world price of foreign exchange risk. The Journal of Finance, 50(2), 445-479. https://doi.org/10.1111/j.1540-6261.1995.tb04791.x
• Eraslan, V. (2013). Fama and French three-factor model: Evidence from Istanbul stock exchange. Business and Economics Research Journal, 4(2), 11-22. Retrieved from https://www.berjournal.com
• Erdinç, Y. (2017). Comparison of CAPM, three-factor Fama-French model and five-factor Fama-French model for the Turkish stock market. In G. Kucukkocaoglu and S. Gokten (Eds.), Financial management from an emerging market perspective (pp 69-92). London: Intechopen.
• Fearnley, T.A. (2002). Estimation of an international capital asset pricing model with stocks and government bonds (SSRN Working Paper No. 477465). Retrieved from https://papers.ssrn.com/
• Ferreira, J.C. and Monte, A.P. (2015). Empirical test to single and multifactor model of CAPM in the Portuguese stock exchange. Paper presented at the XIX Congreso Internacional de Investigación en Ciencias Administrativas. Universidad Juarez del Estado de Durango, Mexico. Retrieved from https://bibliotecadigital.ipb.pt/handle/10198/16962
• Fletcher, J. (2000). On the conditional relationship between beta and return in international stock returns. International Review of Financial Analysis, 9(3), 235-245. https://doi.org/10.1016/S1057-5219(00)00030-2
• Foerster, S.R. and Sapp, S.G. (2005). Valuation of financial versus non-financial firms: A global perspective. Journal of International Financial Markets, Institutions and Money, 15(1), 1-20. https://doi.org/10.1016/j.intfin.2004.01.003
• Fraser, P., Hamelink, F., Hoesli, M. and Macgregor, B. (2004). Time-varying betas and the cross-sectional return–risk relation: Evidence from the UK. The European Journal of Finance, 10(4), 255-276. https://doi.org/10.1080/13518470110053407
• Ghysels, E., Plazzi, A. and Valkanov, R. (2016). Why invest in emerging markets? The role of conditional return asymmetry. The Journal of Finance, 71(5), 2145-2192. https://doi.org/10.1111/jofi.12420
• Gökgöz, F. (2007). Testing the asset pricing models in Turkish stock markets: CAPM vs three factor model. International Journal of Economic Perspectives, 1(2), 103-117. Retrieved from https://search.ebscohost.com/
• Güler, A., İlhan, Ç., Bilal, Z. and Serkan, K. (2018). A comparison of the performance of Fama-French multifactor asset pricing models: An application on Borsa Istanbul. Istanbul Business Research, 47(2), 183-207. doi: 10.26650/ibr.2018.47.02.0026
• Gürsoy, C.T. and Rejepova, G. (2007). Test of capital asset pricing model in Turkey. Doğuş Üniversitesi Dergisi, 8(1), 47-58. Retrieved from https://dergipark.org.tr/tr/pub/doujournal
• Hair, J.F., Black, W.C., Babin, B.J. and Anderson, R.E. (2010). Canonical correlation: A supplement to multivariate data analysis. Multivariate data analysis: A global perspective. USA: Pearson Prentice Hall Publishing.
• He, X., Gokmenoglu, K.K., Kirikkaleli, D. and Rizvi, S.K.A. (2021). Co‐movement of foreign exchange rate returns and stock market returns in an emerging market: Evidence from the wavelet coherence approach. International Journal of Finance & Economics, 28(2), 1994-2005. https://doi.org/10.1002/ijfe.2522
• Kara, E. (2016). Testing Fama and French's three-factor asset pricing model: Evidence from Borsa Istanbul. Çankırı Karatekin University Journal of the Faculty of Economics and Administrative Sciences, 6(1), 257-272. Retrieved from https://dergipark.org.tr/tr/pub/ckuiibfd
• Karacabey, A.A. and Karatepe, Y. (2004). Beta and returns: Istanbul stock exchange evidence. Investment Management and Financial Innovations, 1(3), 86-89. Retrieved from http://www.irbis-nbuv.gov.ua/
• Kassouri, Y. and Altıntaş, H. (2020). Threshold cointegration, nonlinearity, and frequency domain causality relationship between stock price and Turkish Lira. Research in International Business and Finance, 52, 101097. https://doi.org/10.1016/j.ribaf.2019.101097
• Kaya, E. (2021). Relative performances of asset pricing models for BIST 100 Index. Spanish Journal of Finance and Accounting/Revista Española de Financiación y Contabilidad, 50(3), 280-301. https://doi.org/10.1080/02102412.2020.1801169
• Knudsen, J. (2009). Testing the developed world: Global CAPM vs. local CAPM (Unpublished doctoral dissertation). Norges Handelshøyskole, Bergen, Norway.
• Maeda, B.A. (2016). An empirical review of asset pricing models for the Japanese share market. International Journal of Economics and Finance, 8(11), 155-158. https://doi.org/10.5539/ijef.v8n11p155
• Markowitz, W. (1959). Variations in rotation of the earth, results obtained with the dual-rate moon camera and photographic zenith tubes. Paper presented at the International Astronomical Union Symposium. Lancaster, England. https://doi.org/10.1017/S0074180900104164
• Markowski, L. (2020). Further evidence on the validity of CAPM: The Warsaw stock exchange application. Journal of Economics and Management, 39(1), 82-104. https://doi.org/10.22367/jem.2020.39.05
• Megginson, W.L. (1997). Corporate finance theory. Boston: Addison-Wesley.
• Michailidis, G., Tsopoglou, S. and Papanastasiou, D. (2006). Testing the capital asset pricing model (CAPM): The case of the emerging Greek securities market. International Research Journal of Finance and Economics, 4, 78-82. Retrieved from http://www.eurojournals.com/finance.htm
• Minović, J. and Živković, B. (2010). Open issues in testing liquidity in frontier financial markets: The case of Serbia. Economic Annals, 55(185), 33-62. https://doi.org/10.2298/EKA1085033M
• Ng, D.T. (2004). The international CAPM when expected returns are time-varying. Journal of International Money and Finance, 23(2), 189-230. https://doi.org/10.1016/j.jimonfin.2003.12.001
• Nhu, N., Ulku, N. and Zhang, J. (2015). The Fama-French five factor model: Evidence from Vietnam (New Zealand Finance Colloquium Working Paper No. 49). Retrieved from https://nzfc.ac.nz/archives/2016/papers/updated/49.pdf
• Oecworld. (2020). Turkey (TUR) exports, imports, and trade partners [Dataset]. Retrieved from https://oec.world/en/profile/country/tur
• Offiong, A.I., Riman, H.B., Mboto, H.W., Eyo, E.I. and Punah, D.G. (2020). Capital asset pricing model (CAPM) and the Douala Stock Exchange. International Journal of Financial Research, 11(5), 191-198. https://doi.org/10.5430/ijfr.v11n5p191
• Perković, A. (2011). Research of beta as adequate risk measure-is beta still alive? Croatian Operational Research Review, 2(1), 102-111. Retrieved from https://hrcak.srce.hr/
• Ratra, D. (2017). Application of capital asset pricing model in Indian stock market. International Journal of Engineering and Management Research (IJEMR), 7(2), 1-7. Retrieved from https://www.indianjournals.com/
• Roll, R. (1977). A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory. Journal of Financial Economics, 4(2), 129-176. https://doi.org/10.1016/0304-405X(77)90009-5
• Sahin, A., Dogukanli, H. and Sengül, S. (2016). The determinants of equity home bias in Turkey. Muhasebe ve Finansman Dergisi, 72, 163–186. doi:10.25095/mufad.396730
• Schramn, R.M. and Wang, H.N. (1999). Measuring the cost of capital in an international CAPM framework. Journal of Applied Corporate Finance, 12(3), 63-72. https://doi.org/10.1111/j.1745-6622.1999.tb00031.x
• Setyowati, A. (2010). Capital asset pricing model (CAPM): The theory and evidence in Indonesia stock exchange (IDX) at the period of 2004-2009 (Unpublished doctoral dissertation). Sebelas Maret University, Java Tengah, Indonesia.
• Taha, A. and Tuna, G. (2023). Oil price and composite risk exposure within international capital asset pricing model: A case of Saudi Arabia and Turkey. Energies, 16(7), 3103. https://doi.org/10.3390/en16073103
• Theriou, N.G., Aggelidis, V.P., Maditinos, D.I. and Šević, Ž. (2010). Testing the relation between beta and returns in the Athens Stock Exchange. Managerial Finance, 36(12), 1043-1056. https://doi.org/10.1108/03074351011088441
• Trifan, A.L. (2009). Testing capital asset pricing model for Romanian capital market. Annales Universitatis Apulensis: Series Oeconomica, 11(1), 426. Retrieved from http://oeconomica.uab.ro/upload/lucrari/
• Verma, R. (2011). Testing forecasting power of the conditional relationship between beta and return. The Journal of Risk Finance, 12(1), 69-77. https://doi.org/10.1108/15265941111100085
• WITS Data. (2023). Turkey trade balance, exports, imports by country and region 2020 [Dataset]. Retrieved from https://wits.worldbank.org/CountryProfile/en/Country/TUR/Year/LTST/TradeFlow/EXPIMP