The Importance of Market Returns in Financial Return Analysis: US Air Carriers

Öz

The Importance of Market Returns in Financial Return Analysis: US Air Carriers

Öz

A financial return can be examined under two different segments the market dimension and the idiosyncratic dimension. This paper mainly concentrates on this issue in the United States Air Carrier Market. The financial returns of air carriers have been divided into these two parts and market returns were changed while idiosyncratic returns are stable. Naturally, the purpose of this research is to detect the most suitable financial context for air carriers regarding risk (standard deviation). To realize this, three forms of simulations, which are uniform (platycurtic), laplace (leptokurtic) and normal (mesocurtic) are utilized and results are taken. The results are added to the financial returns of air carriers and the new financial returns are taken and interpreted. In all three forms, the returns show leptocurtic character and three hypotheses of the research were confirmed. On the other side, according to Value-at-Risk (VaR) calculations, standard deviations are indicators of the risk. Risk formulation of the financial returns is changed depending on the changes in market forms. Therefore, the research proves the statistical importance of market returns.

Anahtar Kelimeler

• Air Carriers
• Returns
• Monte Carlo Simulation Model
• Standard deviation

Kaynakça

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