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

Yıl 2021, Cilt: 13 Sayı: 25, 637 - 648, 31.07.2021

Alibey Kudar

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

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

Otoregresif arbitraj fiyatlama modeli, otoregresif sermaye varlıklarını fiyatlama modeli, bankacılık sektörü.

Kaynakça

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