OTOREGRESIF ARBİTRAJ FİYATLAMA VE SERMAYE VARLIKLARINI FİYATLANDIRMA MODELLERİNİN KARŞILAŞTIRILMASI: TÜRKİYE’DEKİ BANKACILIK SEKTÖRÜ İÇİN BİR UYGULAMA

Alibey Kudar

doi:10.14784/marufacd.976601

OTOREGRESIF ARBİTRAJ FİYATLAMA VE SERMAYE VARLIKLARINI FİYATLANDIRMA MODELLERİNİN KARŞILAŞTIRILMASI: TÜRKİYE’DEKİ BANKACILIK SEKTÖRÜ İÇİN BİR UYGULAMA

Öz

Bu çalışmada, otoregresif arbitraj fiyatlama ve otoregresif sermaye varlıklarını fiyatlama modelleri, Türkiye’deki bankacılık sektörünün hisse senedi getirilerinin haftalık verileri kullanılarak birbiriyle kıyaslanmıştır. Bu çerçevede 5 bankanın hisse senedi getirileri araştırılmıştır. Çalışma kapsamındaki analiz sonuçlarına göre, otoregresif arbitraj fiyatlama modelinin ve otoregresif sermaye varlıklarını fiyatlama modelinin hisse senedi getirilerini tahmin ederken benzer sonuçlar ürettiği sonucuna ulaşılmıştır. Ayrıca, bir banka haricinde diğer bankaların getiri oranlarını açıklamada, birinci dereceden otoregresif değişken katsayısı her iki modelde de anlamlı çıkmamıştır.

Anahtar Kelimeler

Kaynakça

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Ayrıntılar

Birincil Dil

Türkçe

Konular

-

Bölüm

Araştırma Makalesi

Yazarlar

Alibey Kudar Bu kişi benim
0000-0001-7224-2891
Türkiye

Yayımlanma Tarihi

31 Temmuz 2021

Gönderilme Tarihi

28 Kasım 2020

Kabul Tarihi

15 Nisan 2021

Yayımlandığı Sayı

Yıl 1970 Cilt: 13 Sayı: 25

DOI

https://doi.org/10.14784/marufacd.976601

IZ

https://izlik.org/JA85XL25GJ

Kaynak Göster

RIS / Bibtex

APA

Kudar, A. (2021). OTOREGRESIF ARBİTRAJ FİYATLAMA VE SERMAYE VARLIKLARINI FİYATLANDIRMA MODELLERİNİN KARŞILAŞTIRILMASI: TÜRKİYE’DEKİ BANKACILIK SEKTÖRÜ İÇİN BİR UYGULAMA. Finansal Araştırmalar ve Çalışmalar Dergisi, 13(25), 637-648. https://doi.org/10.14784/marufacd.976601