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Türkiye'nin Risk ve Getiri Açısından Gelişen Hisse Senedi Piyasaları Arasındaki Yeri ve Uluslararası Çeşitlendirme

Yıl 2013, Sayı: 26, 105 - 121, 01.12.2013

Öz

Çalışmanın amacı Türkiye ile gelişen hisse senedi piyasaları arasındaki getiri ilişkilerini ortaya koymak ve uluslararası çeşitlendirme yararının geçerli olup olmadığını incelemektir. Bu amaçla çalışma 04 Ocak 2010-21 Eylül 2012 döneminde 21 gelişen piyasa için gerçekleştirilmiştir. Ulaşılan sonuçlar Türkiye’nin gelişen piyasalar arasında oldukça riskli bir konuma sahip bulunduğunu göstermektedir. Bu nedenle Türkiye’nin riski seven yatırımcılar tarafından tercih edilen bir piyasa özelliği taşıdığı sonucuna varılmaktadır. Türkiye’nin en düşük pozitif yönlü ilişkiye sahip olduğu piyasaların Asya piyasaları olması dikkat çekicidir. Dolayısıyla Türk yatırımcıları Türkiye ile en düşük pozitif yönlü ilişkiye sahip olan bu piyasaları portföylerine ekleyerek çeşitlendirmenin riski azaltıcı faydasından yararlanabilirler. Çalışmada gelişen piyasalar arasındaki ilişkinin artma eğiliminde olduğu tespit edilmiştir. Bu bulgu çeşitlendirme yararının azaldığını gösterir. İlişkinin artması söz konusu piyasalar arasında entegrasyonun artarak devam etmesine, ticari ve finansal liberalizasyonun artmasına bağlanmıştır

Kaynakça

  • Arouri, M., F. Jawadi and D.K. Nguyen (2010). The Dynamics of Emerging stock Market, Contributions to Management Science. Berlin Heidelberg: Springer-Verlag.
  • Asgharian, H. and M. Nossman (2011). “Risk Contagion among International Stock Markets”. Journal of International Money and Finance, 30(1): 22-38.
  • Assidenou, K. E. (2011). “Cointegration of Major Stock Market Indices during the 2008 Global Financial Distress”. International Journal of Economics and Finance, 3: 212-222.
  • Bai, Y. and C. J. Green (2010). “International Diversification Strategies: Revisited from the Risk Perspective”. Journal of Banking & Finance, 34(1): 236-245.
  • Bailey, W. and J. Lim (1992). “Evaluating the Diversification Benefits of the New Country Funds”. The Journal of Portfolio Management, 18(3): 74-80.
  • Bailey, W. and R.M. Stulz (1990). “Benefits of International Diversification: Thee Case of Pasific Basin Stock Markets”. The Journal of Portfolio Managemet, 16(4): 57-61.
  • Bali, T., H. Mo and Y. Tang (2008). “The Role of Autoregressive Conditional Skewness and Kurtosis in the Estimation of Conditional VaR”. Journal of Banking and Finance, 32: 269–282.
  • Bekaert, G. and C.R. Harvey (2003). “Emerging Markets Finance”. Journal of Empirical Finance, 10(1-2): 3-55.
  • Bekaert, G., C.R. Harvey and A. Ng (2005). “Market Integration and Contagion”. Journal of Business, 78: 39–69.
  • Bertoneche, M.L. (1979). “Spectral Analysis of Stock Market Prices”. Journal of Banking and Finance, 3: 201–208.
  • Bluckberg, B. (1995). “Emerging Stock Markets and International Asset Pricing”. The World Bank Economic Review, 9(1): 131-151.
  • Boztosun, D. ve T. Çelik (2011). “Türkiye Borsasının Avrupa Borsaları ile Eşbütünleşme Analizi”. Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 16(1): 147-162.
  • Brigham, E. F. and J. F. Houston (2001). Fundamentals of Financial Management, New York: Harcourt college publishers.
  • Brooks, C. and H. Kat (2002). “The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors”. Journal of Alternative Investments, 5: 26–44.
  • Campa, J. M. and N. Fernandes (2006). “Sources of Gains from International Portfolio Diversification”. Journal of Empirical Finance, 13(4-5): 417-443.
  • Cappiello, L., R.F. Engle and K. Sheppard (2006). “Asymmetric Dynamics in the Correlations of Global Equity and Bond Return”. Journal of Financial Econometrics, 4: 537–572.
  • Cheung, P. and D. Liu (1994). “Common Stochastic Trends in Pacific Rim Stock Markets”. Quarterly Review of Economics and Finance, 34(3): 241-259.
  • Chiou, Wan-Jiun Paul, A. Lee and C.C.A. Chang (2009). “Do Investors Still Benefit from International Diversification with Investment Constraints?”. The Quarterly Review of Economics and Finance, 49(2): 448-483.
  • Chollete, L., V. Pena and C.L. Ching (2011). “International Diversification: A Copula Approach”. Journal of Banking & Finance, 35(2): 403-417.
  • Choudhry, T. (1997). “Stochastic Trends in Stock Prices: Evidence from Latin American Markets”. Journal of Macroeconomics, 19(2): 285-304.
  • Christofi, A and A. Pericli (1999). “Correlation in Price Changes and Volatility of Major Latin American Stock Markets”. Journal of Multinational Financial Management, 9(1): 79-93.
  • Civan, M. (2010). Sermaye Piyasası Analizleri ve Portföy Yönetimi. Bursa: Ekin Yayınları.
  • Claessens, S, S. Dasgupta and J. Glen (1995). “Return Behaviour in Emerging Stock Markets”. The World Bank Economic Review, 9(1): 131-151.
  • Coeurdacier, N. and S. Guibaud (2011). “International Portfolio Diversification is better than You Think”. Journal of International Money and Finance, 30: 289–308.
  • Corrado, C. J. and B.D. Jordan (2002). Fundamentals of Investments Valuation and Management. New York: McGraw-Hill Inc.
  • Dağlı, H. (1996). “Türkiye’nin Risk ve Getiri Açısından Gelişen Hisse Senedi Piyasaları Arasındaki Yeri”. İMKB, İktisat İşletme ve Finans, Sermaye Piyasası ve İMKB Üzerine Çalışmalar, 19-38.
  • Dağlı, H. (2012). Sermaye Piyasası ve Portföy Analizi. Trabzon: Derya Kitabevi.
  • Diamandis, P. F.(2009). “International Stock Market Linkages: Evidence from Latin America”. Global Finance Journal, 20: 13–30.
  • Dittmar, R. (2002). “Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns”. Journal of Finance, 57: 369–403.
  • Divecha, A. B., J. Drack and D. Stefec (1992). “Emerging Markets: A Quantitative Perspective. The Journal of Portfolio Management, 19(1): 41-50.
  • Driessen, J. and L. Laeven (2007). “International Portfolio Diversification Benefits: Cross Country Evidence from a Local Perspective”. Journal of Banking and Finance, 31: 1693– 1712.
  • Engle, R. F. (2002). “Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH”. Journal of Business and Economics Statistics, 20: 339–350.
  • Errunza, V. R. (1977). “Gains from Portfolio Diversification into Less Developed Countries”. Journal of International Business Studies, 8(2): 83-99.
  • Errunza, V. R. and P. Padmanabhan (1978). “Further Evidence on the Benefits of Portfolio Investments in Emerging Stock Markets”. Financial Analysts Journal, 44(4): 76-78.
  • Errunza, V., K. Hogan and M.W. Hung (1999). “Can the Gains from International Diversification be Achieved without Trading Abroad? Journal of Finance, 54. 2075– 2107.
  • Fabozzi, F. J. (1999). Investment Management. London: Pratice-Hall Inc.
  • Gallagher, T. J. and J.D. Andrew (1997). Financial Management, Principles and Practice. London: Prentice Hall Inc.
  • Gilmore, C. and G. Macmanus (2002). “International Portfolio Diversification: US and Central European Equity Markets”. Emerging Markets Review, 3(1): 69-83.
  • Gklezakoa, T. and J. Mylonakis (2011). “Links and Interdependence of Developed Stock Markets under Global Economic Crisis Conditions”. Journal of Financial Services Marketing, 14. 314-327.
  • Goetzmann, W.N., L. Li and K.G. Rouwenhorst (2005). “Long-term Global Market Correlations”. Journal of Business, 78: 1–38.
  • Griffin, J. M. and G.A. Karolyi (1998). “Another Look at the Role of the Industrial Structure of Markets for International Diversification Strategies”. Journal of Financial Economics, 50(3): 351-373
  • Grubel, H. (1968). “Internationally Diversified Portfolios”, American Economic Review, 58: 1299–1314.
  • Gündüz, L. and M. Omran (2001). “Gelişmekte Olan Piyasalarda Stokastik Trendler ve Hisse Senetleri Fiyatları: Orta Doğu ve Kuzey Afrika Ülkeleri Örneği”. İMKB Dergisi, 5(17): 1- 22.
  • Hauser, S, M. Marcus, U. Yaari (1994). “Investing in Emerging Stock Markets: Is it Worthwhile Hedging Foreign Exchange Risk”. The Journal of Portfolio Management, 20(3): 76-81.
  • Hilliard, J. (1979). “The Relationship between Equity Indices on world Exchanges”. Journal of Finance, 34: 103–114.
  • Jimenez-Toribioa, R., P. Guillotreau and R. Mongruel (2010). “Global integration of European Tuna Markets”. Progress In Oceanography, 86(1-2): 166-175.
  • Jiun, W. and P. Chiou (2009). “Benefits of International Diversification with Investment Constraints: An Over-time Perspective”. Journal of Multinational Financial Management, 19(2): 93-110.
  • Karan, M.B. (2011). Yatırım Analizi ve Portföy Yönetimi. Ankara: Gazi Kitabevi.
  • Kearney, C. and B.M. Lucey (2004). “International Equity Market Integration: Theory, Evidence and Implications”. International Review of Financial Analysis, 13(5): 571-583.
  • Korkmaz, T. ve E.İ. Çevik (2008). “Türkiye ve Uluslararası Hisse Senedi Piyasaları Arasındaki Eş bütünleşme İlişkisi ve Portföy Tercihleri”. BDDK Bankacılık ve Finansal Piyasalar, 2(1). 59-84.
  • Korkmaz, T. ve A. Ceylan (2010). Sermaye Piyasası ve Menkul Değer Analizi. Bursa: Ekin Yayınları.
  • Küçükçolak, N. (2008). “Cointegration of the Turkish equity market with Greek and other European Union Equity Market”. International Research Journal of Finance and Economics, 13: 58-73.
  • Lessard, D. R. (1973). “International Portfolio Diversification: A Multivariate Analysis for a Group of Latin American Countries”. Journal of Finance, 28 (3): 619-633.
  • Levy, H. and M. Sarnat (1970). “International Diversification of Investment Portfolios”. American Economic Review, 60: 668–675.
  • Levy, H. and M. Sarnat (1972). “International Diversification of Investment Portfolios”. American Economic Review, 60 (4): 668–675.
  • Li, K., A. Sarkar and Z. Wang (2003). “Diversification Benefits of Emerging Markets Subject to Portfolio Constraints”. Journal of Empirical Finance, 10(1-2): 57-80
  • Lins, K. V. and H. Servaes (2002). “Is Corporate Diversification Beneficiation in Emerging Markets?”. Financial Management, 31(2). 5-31.
  • Lintner, J. (1965). "Security Prices, Risk and Maximal Gain from Diversification". Journal of Finance, 20(4): 587-615.
  • Longin, F. and B. Solnik (1995). “Is the Correlation in International Equity Returns Constant: 1970–1990?. Journal of International Money and Finance, 14: 3–26.
  • Markowitz, H. M. (1952). “Portfolio Selection”. Journal of finance, 7(1): 77-91
  • Masih, R. and A.M.M. Masih (2001). “Long and Short-Term Dynamic Casual Transmission amongst International Stock Markets”. Journal of International Money and Finance, 20(4): 563-587.
  • Moerman, G. A. (2008). “Diversification in Euro Area Stock Markets: Country versus Industry”. Journal of International Money and Finance, 27(7): 1122-1134.
  • Morelli, D. (2010). “European Capital Market Integration: An Empirical Study Based on a European Asset Pricing Model”. Journal of International Financial Markets, Institutions and Money, 20(49): 363-375.
  • Mun, M. and R. Brooks (2012). “The Roles of News and Volatility in Stock Market Correlations during the Global Financial Crisis”. Emerging Market Review, 13: 1-7.
  • Narayan, P. K. and R. Smyth (2004). “Modeling The Linkage between the Australian and G7 stock Markets: Common Stochastic trends and Regime Shifts”. Applied Financial Economics, 14(14): 991-1004.
  • Nguyen, D. and T.N. Puri (2009). “Higher Order Systematic Co-moments and Asset Pricing: New Evidence”. Financial Review, 44. 345–369.
  • Odier, P. and B. Solnik (1993). “Lessons for International Asset Allocation”. Financial Analyst Journal, 49: 63–77.
  • Pesaran, M. H. and A. Pick (2007). “Econometric Issues in the Analysis of Contagion”. Journal of Economic Dynamics & Control, 31: 1245–1277.
  • Quaranta, A.G. and A. Zaffaroni (2008). “Robust Optimization of Conditional Value at Risk and Portfolio Selection”. Journal of Banking and Finance 32: 2046–2056.
  • Ripley, M. D. (1973). “Systematic Elements in the Linkage of National Stock Market Indices”. Review of Economics and Statistics, 55(3): 356-61.
  • Roll, R. (1988). “The International Crash of October 1987”. Financial Analysts Journal, 44: 19– 35.
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Risk and Return Relationship Between Turkey and The Emerging Stock Markets and International Diversification

Yıl 2013, Sayı: 26, 105 - 121, 01.12.2013

Öz

The aim of this study is examine the return correlations between Turkey and the emerging stock
markets, and to demonstrate whether it is valid to examine the benefits of international diversification.
For this purpose, the study was carried out for 21 emerging market in the period of January 4 2010-21
September 2012. The results achieved show that Turkey is quite risky in emerging markets. It is
concluded that Turkey is a market preferred by risk-loving investors. Have a positive relationship with
Turkey is the lowest is noteworthy that the markets Asian markets. Therefore, the lowest positive
relationships with Turkey, Turkish investors have the benefit of reducing the risk of these markets
benefit from portfolio diversification by adding. In this study, the relationships between the emerging
markets were found to be in an upward trend. This finding indicates that reduced the benefits of
diversification. Increasing relationships between these markets is linked to continue to increase
integration, an increase in trade and financial liberalization.

Kaynakça

  • Arouri, M., F. Jawadi and D.K. Nguyen (2010). The Dynamics of Emerging stock Market, Contributions to Management Science. Berlin Heidelberg: Springer-Verlag.
  • Asgharian, H. and M. Nossman (2011). “Risk Contagion among International Stock Markets”. Journal of International Money and Finance, 30(1): 22-38.
  • Assidenou, K. E. (2011). “Cointegration of Major Stock Market Indices during the 2008 Global Financial Distress”. International Journal of Economics and Finance, 3: 212-222.
  • Bai, Y. and C. J. Green (2010). “International Diversification Strategies: Revisited from the Risk Perspective”. Journal of Banking & Finance, 34(1): 236-245.
  • Bailey, W. and J. Lim (1992). “Evaluating the Diversification Benefits of the New Country Funds”. The Journal of Portfolio Management, 18(3): 74-80.
  • Bailey, W. and R.M. Stulz (1990). “Benefits of International Diversification: Thee Case of Pasific Basin Stock Markets”. The Journal of Portfolio Managemet, 16(4): 57-61.
  • Bali, T., H. Mo and Y. Tang (2008). “The Role of Autoregressive Conditional Skewness and Kurtosis in the Estimation of Conditional VaR”. Journal of Banking and Finance, 32: 269–282.
  • Bekaert, G. and C.R. Harvey (2003). “Emerging Markets Finance”. Journal of Empirical Finance, 10(1-2): 3-55.
  • Bekaert, G., C.R. Harvey and A. Ng (2005). “Market Integration and Contagion”. Journal of Business, 78: 39–69.
  • Bertoneche, M.L. (1979). “Spectral Analysis of Stock Market Prices”. Journal of Banking and Finance, 3: 201–208.
  • Bluckberg, B. (1995). “Emerging Stock Markets and International Asset Pricing”. The World Bank Economic Review, 9(1): 131-151.
  • Boztosun, D. ve T. Çelik (2011). “Türkiye Borsasının Avrupa Borsaları ile Eşbütünleşme Analizi”. Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 16(1): 147-162.
  • Brigham, E. F. and J. F. Houston (2001). Fundamentals of Financial Management, New York: Harcourt college publishers.
  • Brooks, C. and H. Kat (2002). “The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors”. Journal of Alternative Investments, 5: 26–44.
  • Campa, J. M. and N. Fernandes (2006). “Sources of Gains from International Portfolio Diversification”. Journal of Empirical Finance, 13(4-5): 417-443.
  • Cappiello, L., R.F. Engle and K. Sheppard (2006). “Asymmetric Dynamics in the Correlations of Global Equity and Bond Return”. Journal of Financial Econometrics, 4: 537–572.
  • Cheung, P. and D. Liu (1994). “Common Stochastic Trends in Pacific Rim Stock Markets”. Quarterly Review of Economics and Finance, 34(3): 241-259.
  • Chiou, Wan-Jiun Paul, A. Lee and C.C.A. Chang (2009). “Do Investors Still Benefit from International Diversification with Investment Constraints?”. The Quarterly Review of Economics and Finance, 49(2): 448-483.
  • Chollete, L., V. Pena and C.L. Ching (2011). “International Diversification: A Copula Approach”. Journal of Banking & Finance, 35(2): 403-417.
  • Choudhry, T. (1997). “Stochastic Trends in Stock Prices: Evidence from Latin American Markets”. Journal of Macroeconomics, 19(2): 285-304.
  • Christofi, A and A. Pericli (1999). “Correlation in Price Changes and Volatility of Major Latin American Stock Markets”. Journal of Multinational Financial Management, 9(1): 79-93.
  • Civan, M. (2010). Sermaye Piyasası Analizleri ve Portföy Yönetimi. Bursa: Ekin Yayınları.
  • Claessens, S, S. Dasgupta and J. Glen (1995). “Return Behaviour in Emerging Stock Markets”. The World Bank Economic Review, 9(1): 131-151.
  • Coeurdacier, N. and S. Guibaud (2011). “International Portfolio Diversification is better than You Think”. Journal of International Money and Finance, 30: 289–308.
  • Corrado, C. J. and B.D. Jordan (2002). Fundamentals of Investments Valuation and Management. New York: McGraw-Hill Inc.
  • Dağlı, H. (1996). “Türkiye’nin Risk ve Getiri Açısından Gelişen Hisse Senedi Piyasaları Arasındaki Yeri”. İMKB, İktisat İşletme ve Finans, Sermaye Piyasası ve İMKB Üzerine Çalışmalar, 19-38.
  • Dağlı, H. (2012). Sermaye Piyasası ve Portföy Analizi. Trabzon: Derya Kitabevi.
  • Diamandis, P. F.(2009). “International Stock Market Linkages: Evidence from Latin America”. Global Finance Journal, 20: 13–30.
  • Dittmar, R. (2002). “Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns”. Journal of Finance, 57: 369–403.
  • Divecha, A. B., J. Drack and D. Stefec (1992). “Emerging Markets: A Quantitative Perspective. The Journal of Portfolio Management, 19(1): 41-50.
  • Driessen, J. and L. Laeven (2007). “International Portfolio Diversification Benefits: Cross Country Evidence from a Local Perspective”. Journal of Banking and Finance, 31: 1693– 1712.
  • Engle, R. F. (2002). “Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH”. Journal of Business and Economics Statistics, 20: 339–350.
  • Errunza, V. R. (1977). “Gains from Portfolio Diversification into Less Developed Countries”. Journal of International Business Studies, 8(2): 83-99.
  • Errunza, V. R. and P. Padmanabhan (1978). “Further Evidence on the Benefits of Portfolio Investments in Emerging Stock Markets”. Financial Analysts Journal, 44(4): 76-78.
  • Errunza, V., K. Hogan and M.W. Hung (1999). “Can the Gains from International Diversification be Achieved without Trading Abroad? Journal of Finance, 54. 2075– 2107.
  • Fabozzi, F. J. (1999). Investment Management. London: Pratice-Hall Inc.
  • Gallagher, T. J. and J.D. Andrew (1997). Financial Management, Principles and Practice. London: Prentice Hall Inc.
  • Gilmore, C. and G. Macmanus (2002). “International Portfolio Diversification: US and Central European Equity Markets”. Emerging Markets Review, 3(1): 69-83.
  • Gklezakoa, T. and J. Mylonakis (2011). “Links and Interdependence of Developed Stock Markets under Global Economic Crisis Conditions”. Journal of Financial Services Marketing, 14. 314-327.
  • Goetzmann, W.N., L. Li and K.G. Rouwenhorst (2005). “Long-term Global Market Correlations”. Journal of Business, 78: 1–38.
  • Griffin, J. M. and G.A. Karolyi (1998). “Another Look at the Role of the Industrial Structure of Markets for International Diversification Strategies”. Journal of Financial Economics, 50(3): 351-373
  • Grubel, H. (1968). “Internationally Diversified Portfolios”, American Economic Review, 58: 1299–1314.
  • Gündüz, L. and M. Omran (2001). “Gelişmekte Olan Piyasalarda Stokastik Trendler ve Hisse Senetleri Fiyatları: Orta Doğu ve Kuzey Afrika Ülkeleri Örneği”. İMKB Dergisi, 5(17): 1- 22.
  • Hauser, S, M. Marcus, U. Yaari (1994). “Investing in Emerging Stock Markets: Is it Worthwhile Hedging Foreign Exchange Risk”. The Journal of Portfolio Management, 20(3): 76-81.
  • Hilliard, J. (1979). “The Relationship between Equity Indices on world Exchanges”. Journal of Finance, 34: 103–114.
  • Jimenez-Toribioa, R., P. Guillotreau and R. Mongruel (2010). “Global integration of European Tuna Markets”. Progress In Oceanography, 86(1-2): 166-175.
  • Jiun, W. and P. Chiou (2009). “Benefits of International Diversification with Investment Constraints: An Over-time Perspective”. Journal of Multinational Financial Management, 19(2): 93-110.
  • Karan, M.B. (2011). Yatırım Analizi ve Portföy Yönetimi. Ankara: Gazi Kitabevi.
  • Kearney, C. and B.M. Lucey (2004). “International Equity Market Integration: Theory, Evidence and Implications”. International Review of Financial Analysis, 13(5): 571-583.
  • Korkmaz, T. ve E.İ. Çevik (2008). “Türkiye ve Uluslararası Hisse Senedi Piyasaları Arasındaki Eş bütünleşme İlişkisi ve Portföy Tercihleri”. BDDK Bankacılık ve Finansal Piyasalar, 2(1). 59-84.
  • Korkmaz, T. ve A. Ceylan (2010). Sermaye Piyasası ve Menkul Değer Analizi. Bursa: Ekin Yayınları.
  • Küçükçolak, N. (2008). “Cointegration of the Turkish equity market with Greek and other European Union Equity Market”. International Research Journal of Finance and Economics, 13: 58-73.
  • Lessard, D. R. (1973). “International Portfolio Diversification: A Multivariate Analysis for a Group of Latin American Countries”. Journal of Finance, 28 (3): 619-633.
  • Levy, H. and M. Sarnat (1970). “International Diversification of Investment Portfolios”. American Economic Review, 60: 668–675.
  • Levy, H. and M. Sarnat (1972). “International Diversification of Investment Portfolios”. American Economic Review, 60 (4): 668–675.
  • Li, K., A. Sarkar and Z. Wang (2003). “Diversification Benefits of Emerging Markets Subject to Portfolio Constraints”. Journal of Empirical Finance, 10(1-2): 57-80
  • Lins, K. V. and H. Servaes (2002). “Is Corporate Diversification Beneficiation in Emerging Markets?”. Financial Management, 31(2). 5-31.
  • Lintner, J. (1965). "Security Prices, Risk and Maximal Gain from Diversification". Journal of Finance, 20(4): 587-615.
  • Longin, F. and B. Solnik (1995). “Is the Correlation in International Equity Returns Constant: 1970–1990?. Journal of International Money and Finance, 14: 3–26.
  • Markowitz, H. M. (1952). “Portfolio Selection”. Journal of finance, 7(1): 77-91
  • Masih, R. and A.M.M. Masih (2001). “Long and Short-Term Dynamic Casual Transmission amongst International Stock Markets”. Journal of International Money and Finance, 20(4): 563-587.
  • Moerman, G. A. (2008). “Diversification in Euro Area Stock Markets: Country versus Industry”. Journal of International Money and Finance, 27(7): 1122-1134.
  • Morelli, D. (2010). “European Capital Market Integration: An Empirical Study Based on a European Asset Pricing Model”. Journal of International Financial Markets, Institutions and Money, 20(49): 363-375.
  • Mun, M. and R. Brooks (2012). “The Roles of News and Volatility in Stock Market Correlations during the Global Financial Crisis”. Emerging Market Review, 13: 1-7.
  • Narayan, P. K. and R. Smyth (2004). “Modeling The Linkage between the Australian and G7 stock Markets: Common Stochastic trends and Regime Shifts”. Applied Financial Economics, 14(14): 991-1004.
  • Nguyen, D. and T.N. Puri (2009). “Higher Order Systematic Co-moments and Asset Pricing: New Evidence”. Financial Review, 44. 345–369.
  • Odier, P. and B. Solnik (1993). “Lessons for International Asset Allocation”. Financial Analyst Journal, 49: 63–77.
  • Pesaran, M. H. and A. Pick (2007). “Econometric Issues in the Analysis of Contagion”. Journal of Economic Dynamics & Control, 31: 1245–1277.
  • Quaranta, A.G. and A. Zaffaroni (2008). “Robust Optimization of Conditional Value at Risk and Portfolio Selection”. Journal of Banking and Finance 32: 2046–2056.
  • Ripley, M. D. (1973). “Systematic Elements in the Linkage of National Stock Market Indices”. Review of Economics and Statistics, 55(3): 356-61.
  • Roll, R. (1988). “The International Crash of October 1987”. Financial Analysts Journal, 44: 19– 35.
  • Rugman, A. M. (1976). “Risk Reduction by International Diversification”. Journal of International Business Studies, 7(2): 75-80.
  • Seyidoğlu, H. (2001). Uluslararası Finans. No: 16, İstanbul: Güzem Yayınları.
  • Sharpe, W. F. (1964). "Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk". The Journal of Finance, 19(3): 425-42.
  • Shawky, H.A., R. Kuenzel and A.D. Mikhail (1997). “International Portfolio Diversification: A Synthesis and an Update”. Journal of International Financial Markets, Institutions and Money, 7: 303–327.
  • Simkowitz, M.A. and W.L. Beedles (1978). “Diversification in a Three-Moment World”. Journal of Financial and Quantitative Analysis, 13: 927–941.
  • Solnik, B. (1974). “Why not Diversify Internationally rather than Domestically?”. Financial Analysts Journal, 30: 48–54.
  • Solnik, B. H. (1995). “Why not Diversify Internally rather than Domestically”. Financial Analysts Journal, 51 (1): 89-94.
  • Van Horne, J. C. (2001). Financial Management Policy. New Jersey: Prentice Hall.
  • Wilcox, J. W. (1992). “Taming Frontier Markets”. The Journal of Portfolio Management, 19(1): 51-56.
  • Zakamouline, V. and S. Koekebakker (2009). “Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance”. Journal of Banking and Finance, 33: 1242–1254.
Toplam 81 adet kaynakça vardır.

Ayrıntılar

Diğer ID JA37HT74VE
Bölüm Makaleler
Yazarlar

Hasan Ayaydın Bu kişi benim

Yayımlanma Tarihi 1 Aralık 2013
Yayımlandığı Sayı Yıl 2013 Sayı: 26

Kaynak Göster

APA Ayaydın, H. (2013). Türkiye’nin Risk ve Getiri Açısından Gelişen Hisse Senedi Piyasaları Arasındaki Yeri ve Uluslararası Çeşitlendirme. Kocaeli Üniversitesi Sosyal Bilimler Dergisi(26), 105-121.

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