Risk-Getiri İlişkisinin Analizi: Türkiye Örneği

Önder Büberkökü

doi:10.29106/fesa.799148

Risk-Getiri İlişkisinin Analizi: Türkiye Örneği

Öz

Bu çalışmada Türk hisse senedi piyasaları için risk ile getiri arasındaki ilişki analiz edilmiştir. Bu amaçla öncelikle geleneksel yaklaşım çerçevesinde FIAPARCH-M, FIGARCH-M, HYGARCH, APARCH-M, GJR-GARCH ve GARCH-M modellerinden yararlanılmıştır. İlgili modeller hem tüm dönem için hem de volatilitedeki çoklu yapısal kırılmalar dikkate alınarak belirlenen yüksek ve düşük volatilite dönemleri için ayrı ayrı tahmin edilmiştir. Daha sonra alternatif bir yaklaşım olarak ilgili tüm modeller gerçekleşen piyasa risk priminin pozitif olduğu dönemler ile negatif olduğu dönemler dikkate alınarak tekrar tahmin edilmiştir. Ayrıca, bu alternatif modele dayalı olarak aşırı tepki hipotezinin Türk hisse senedi piyasaları için geçerli olup olmadığı da incelenmiştir. Geleneksel yaklaşıma dayalı bulgular teorik beklentilerin aksine Türk hisse senedi piyasasında risk ile getiri arasında negatif ve istatistiki olarak anlamlı olmayan bir ilişki olduğu sonucuna işaret etmektedir. Alternatif yaklaşıma dayalı bulgular ise risk ile getiri arasında teorik beklentilerle uyumlu bir ilişki olduğunu göstermektedir. Bulgular ayrıca aşırı tepki hipotezinin Türk hisse senedi piyasaları için geçerli olmadığı sonucuna işaret etmektedir. Bu bulgu da Türk hisse senedi piyasalarında uygulanabilecek yatırım stratejileri konusunda önemli bilgiler içermektedir.

Anahtar Kelimeler

Kaynakça

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Ayrıntılar

Birincil Dil

Türkçe

Konular

İşletme

Bölüm

Araştırma Makalesi

Yazarlar

Önder Büberkökü ^*
0000-0002-7140-557X
Türkiye

Yayımlanma Tarihi

31 Mart 2021

Gönderilme Tarihi

23 Eylül 2020

Kabul Tarihi

3 Ocak 2021

Yayımlandığı Sayı

Yıl 2021 Cilt: 6 Sayı: 1

DOI

https://doi.org/10.29106/fesa.799148

IZ

https://izlik.org/JA59YF74UT

Kaynak Göster

RIS / Bibtex

APA

Büberkökü, Ö. (2021). Risk-Getiri İlişkisinin Analizi: Türkiye Örneği. Finans Ekonomi ve Sosyal Araştırmalar Dergisi, 6(1), 14-38. https://doi.org/10.29106/fesa.799148

AMA

1.Büberkökü Ö. Risk-Getiri İlişkisinin Analizi: Türkiye Örneği. FESA. 2021;6(1):14-38. doi:10.29106/fesa.799148

Chicago

Büberkökü, Önder. 2021. “Risk-Getiri İlişkisinin Analizi: Türkiye Örneği”. Finans Ekonomi ve Sosyal Araştırmalar Dergisi 6 (1): 14-38. https://doi.org/10.29106/fesa.799148.

EndNote

Büberkökü Ö (01 Mart 2021) Risk-Getiri İlişkisinin Analizi: Türkiye Örneği. Finans Ekonomi ve Sosyal Araştırmalar Dergisi 6 1 14–38.

IEEE

[1]Ö. Büberkökü, “Risk-Getiri İlişkisinin Analizi: Türkiye Örneği”, FESA, c. 6, sy 1, ss. 14–38, Mar. 2021, doi: 10.29106/fesa.799148.

ISNAD

Büberkökü, Önder. “Risk-Getiri İlişkisinin Analizi: Türkiye Örneği”. Finans Ekonomi ve Sosyal Araştırmalar Dergisi 6/1 (01 Mart 2021): 14-38. https://doi.org/10.29106/fesa.799148.

JAMA

1.Büberkökü Ö. Risk-Getiri İlişkisinin Analizi: Türkiye Örneği. FESA. 2021;6:14–38.

MLA

Büberkökü, Önder. “Risk-Getiri İlişkisinin Analizi: Türkiye Örneği”. Finans Ekonomi ve Sosyal Araştırmalar Dergisi, c. 6, sy 1, Mart 2021, ss. 14-38, doi:10.29106/fesa.799148.

Vancouver

1.Önder Büberkökü. Risk-Getiri İlişkisinin Analizi: Türkiye Örneği. FESA. 01 Mart 2021;6(1):14-38. doi:10.29106/fesa.799148

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