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Portfolio Risk Analysis: Evidence from International Stock Markets

Yıl 2019, Sayı: 112, 199 - 224, 29.10.2019
https://doi.org/10.33203/mfy.452336

Öz

Portfolio theory assumes investors are risk-averse, so accurately
measuring the level of financial risk in the stock markets is essential
to making correct portfolio decisions. Using both filtered historical
and Monte Carlo simulations, this study measures the market risk of
five developed and eight emerging stock markets. The results show that
the riskiest stock indices are the ISE100, BOVESPA, SSE Composite
and DAX30, respectively, whereas the S&P TSX, TSEC Weighted and
Jakarta Composite indices are found to be the least risky. Findings also
indicate that it is important to use models that take into account the
stylized facts of financial variables such as stock indices to obtain more
accurate results when measuring portfolio risk.

Kaynakça

  • Abad, P., Benito, S. & Lopez, C. (2014). A Comprehensive Review of Value-at-Risk Methodologies. The Spanish Review of Financial Economics, 12 (1), 15-32.
  • Akın, K.Y. & Akduğan, U. (2012). Finansal Piyasalarda Risklerin Belirlenmesinde Riske Maruz Değer Yöntemine İlişkin Bir Uygulama. Trakya Üniveristesi Sosyal Bilimler Dergisi, 14(1), 225-236.
  • Aloui, C. & Hamida, H.B. (2014). Modelling and Forecasting Value-at-Risk and Expected Shortfall for GCC Stock Markets: Do Long Memory, Structural Breaks, Asymmetry and Fat-Tails Matter?. North American Journal of Economics and Finance, 29, 349-380.
  • Altıntaş, K.M. (2007). Türk Özel Emeklilik Şirketlerinin Kısa Vadeli Yatırım Riskliliği: Riske Maruz Değer (VAR) Uygulaması. Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(2), 19- 37.
  • Altun, E. (2014). Uç Değerler Teorisi ve Riske Maruz Değer. Yüksek Lisans Tezi. http://www.openaccess.hacettepe.edu.tr:8080/xmlui/bitstream/handle/11655/2115.
  • Angelidis, T., Benos, A. & Degiannakis, S. (2004). The Use of GARCH Models in VaR Estimation. Statistical Methodology,1, 105-128..
  • Artzner, P., Delbaen, J., M. Eber & Heath, D . (1997). Thinking Coherently. Risk, 10 (11), 68–71.
  • Artzner, P., Delbaen, J., M. Eber & Heath, D. (1999). Coherent Measures of Risk. Mathematical Finance, 9 (3), 203–228.
  • Assaf, A. (2009). Extreme Observations and Risk Assessment in the Equity Markets of MENA Region: Tail Measures and value-at-risk. International Review of Financial Analysis, 18, 109-116.
  • Barone-Adesi, G., Giannopoulos, K. & Vosper, L. (1999). VaR without Correlations for Portfolios of Derivative Securities. The Journal of Futures Markets, 19 (5), 583-602.
  • Çelik, N. & Kaya, M.F. (2010), Uç değerler yöntemi ile Riske Maruz Değer’in Tahmini ve İstanbul Menkul Kıymetler Borsası Üzerine Bir Uygulama. Bankacılık ve Sigortacılık Araştırmaları Dergisi, 1(1), 19-32.
  • De Grauwe P. (2010) The Banking Crisis: Causes, Consequences and Remedies. In: Talani L.S. (eds) The Global Crash. Palgrave Macmillan, London.
  • Diamandis, P.F., Drakos, A.A., Kouretas, G.P. & Zarangas L. (2011). Value-at-Risk for Long and Short Trading Positions: Evidence from Developed and Emerging Equity Markets. Internatiaonal Review of Financial Analysis, 20,165-176.
  • Dimitrakopoulos, D.N., Kavussanos, M.G. & Spyrou, S.I. (2010). Value-at-Risk Models for Volatile Emerging Markets Equity Portfolios. The Quarterly Review of Economics and Finance, 50 (4), 515-526.
  • Gilli, M. & Kellezi, E. (2006). An Application of Extreme Value Theory for Measuring Financial Risk. Computational Economics, 27, 207–228.
  • Giot, P. & Laurent, S. (2003). Value-at-Risk for Long and Short Positions. Journal of Applied Econometrics, 18, 641-664.
  • Goncu, A., Akgul, A.K., Imamoğlu, O., Tiryakioğlu, M. & Tiryakioğlu , M. (2012). An Analysis of the Extreme Returns Distribution: The Case of the Istanbul Stock Exchange. Applied Financial Economics, 22(9), 723-732.
  • Hendrics, D. (1996). Evaluation of Value-at-Risk Modelling Using Historical Data. Economic Policy Review, Federal Reserve Bank of New York.
  • Iglesias, E. M., Dolores, M. & Varela, L. (2012). Extreme Movements of the Main Stocks Traded in the Eurozone: An Analysis by Sectors in the 2000's Decade. Applied Financial Economics, 22 (24), 2085-2100.
  • Iglesias, E.M. (2012). An Analysis of Extreme Movements of Exchange Rates of the Main Currencies Traded in the Foreign Exchange Market. Applied Economics, 44, 4631-4637.
  • Iglesias, E.M. (2015). Value-at-Risk and Expected Shortfall of Firms in the Main European Union Stock Market Indexes: A Detailed Analysis by Economic Sectors and Geographical Situation. Economic Modelling, 50, 1-8.
  • Korkmaz, T., Aydın, N. & Sayılgan, G. (2013). Portföy Yönetimi. Eskişehir: T.C. Anadolu Üniversitesi Yayını, No: 2852.
  • Markowitz, H. (1952). Portfolio Selection. Journal of Finance, 7 (1), 77-91.
  • Mensi, W., Shahzad, S.J.H., Hammoudeh, S. , Zeitun, R. & Rehman, M.U. (2017). Diversification Potential of Asian Frontier, BRIC Emerging and Major Developed Stock Markets: A Wavelet-based Value-at-Risk Approach. Emerging Market Review, 32, 130-147.
  • Muela, S.B., Martin, C.L. & Sanz, R.A. (2017). An Application of Extreme Value Theory in Estimating Liquidity Risk. European Research on Management and Business Economics, 23 (3), 157-164.
  • Nelson, D.B. (1991), Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica 59 (2), 347-370.
  • Orlowski, L.T. (2012). Financial Crisis and Extreme Market Risks: Evidence from Europe. Review of Financial Economics, 21, 120-130.
  • Peterson, S.P. (2012). Investment Theory & Risk Management. Wiley Finance. John Wiley & Sons,Inc.,Hoboken, New Jersey.
  • Ren, F. & Giles, D. E. (2010). Extreme Value Analysis of Daily Canadian Crude Oil Prices. Applied Financial Economics. 20 (12), 941-954.
  • Rossignolo, A.F., Fethi, M.D. & Shaban, M. (2012). Value-at-Risk Models and Basel Capital Charges: Evidence from Emerging and Frontier Stock Markets. Journal of Financial Stability. 8(4), 303-319.
  • Sheu, H.J. & Cheng, C.L. (2012). Systematic Risk in Taiwan Stock Market. Journal of Business Economics and Management, 13(5), 895-914.
  • Soyalp, A.A., Nevruz, E. & Karabey, U. (2013). Gelişmekte Olan Bazı Piyasalarda Finansal Risklerin Uç Değer Kuramı ile Ölçülmesi. İstatistikçiler Dergisi: İstatistik & Aktüerya, 6, 86-95.
  • Topics in International Finance Chapter 17 International Diversification. http://wps.prenhall.com/wps/media/objects/13070/13384693/Chapter17.pdf.
  • Ural, M. (2009). Riske Maruz Değer Hesaplamasında Alternatif Yaklaşımlar. BDDK Bankacılık ve Finansal Piyasalar, 3(2), 63- 86.
  • Yamai, Y. & Yoshiba, T. (2005), Value-at-Risk versus Expected Shortfall: A Practical Perspective. Journal of Banking & Finance, 29, 997-1015.

Portföy Risk Analizleri: Uluslararası Hisse Senedi Piyasalarından Kanıtlar

Yıl 2019, Sayı: 112, 199 - 224, 29.10.2019
https://doi.org/10.33203/mfy.452336

Öz

Portföy teorisinde yatırımcıların genelinin
riskten  kaçınma  eğilimi gösterdikleri kabul edilir. Bu nedenle
doğru portföy kararlarının verilebilmesinde  
yatırım yapılacak piyasaların risk düzeyinin doğru bir şekilde  ölçülmesi  oldukça önemlidir. Bu çalışmada ABD
(S&P500), Fransa (CAC40), Almanya (DAX30), Japonya (NIKKEI225) ve
Kanada’dan (S&P TSX) oluşan  beş
gelişmiş ülke  gösterge hisse senedi  endeksi 
ile   Çin (SSE Composite),
Brezilya (IBOVESPA), Meksika (IPC) , Hindistan (S&P BSE Sensex),  Tayvan (TSEC Weighted),  Endonezya (Jakarta Composite), G. Kore (KOSPI
Composite) ve Türkiye’den (BIST100) oluşan 8 gelişen  ülke 
gösterge hisse senedi 
endekslerinin   finansal  risk düzeyleri Filtrelenmiş tarihi simülasyon
ve Monte  Carlo  simülasyon 
yöntemleri   ile ölçülmüştür.
Çalışmada hem aşağı hem de yukarı yönlü piyasa riski   üzerinde durulmuş  ve  hem
FHS hem de MC yöntemleri için beklenen kayıp 
tutarları (Expected shortfall, ES)  da  hesaplanmıştır. Çalışma  bulguları 
 sırasıyla BIST100, BOVESPA, SSE
Composite ve DAX30 endekslerinin  en
riskli;  S&P TSX, TSEC Weighted ve
Jakarta Composite  endekslerinin ise en
az riskli endeksler  olduğuna işaret
etmektedir. Bulgular ayrıca, portföy riskinin 
ölçümünde  hisse senedi
endekslerinin  karakteristik özelliklerini
 dikkate 
alan model yapılarının 
kullanılmasının daha doğru sonuçlara ulaşılabilmesi açısından önemli
olduğuna işaret etmektedir.

Kaynakça

  • Abad, P., Benito, S. & Lopez, C. (2014). A Comprehensive Review of Value-at-Risk Methodologies. The Spanish Review of Financial Economics, 12 (1), 15-32.
  • Akın, K.Y. & Akduğan, U. (2012). Finansal Piyasalarda Risklerin Belirlenmesinde Riske Maruz Değer Yöntemine İlişkin Bir Uygulama. Trakya Üniveristesi Sosyal Bilimler Dergisi, 14(1), 225-236.
  • Aloui, C. & Hamida, H.B. (2014). Modelling and Forecasting Value-at-Risk and Expected Shortfall for GCC Stock Markets: Do Long Memory, Structural Breaks, Asymmetry and Fat-Tails Matter?. North American Journal of Economics and Finance, 29, 349-380.
  • Altıntaş, K.M. (2007). Türk Özel Emeklilik Şirketlerinin Kısa Vadeli Yatırım Riskliliği: Riske Maruz Değer (VAR) Uygulaması. Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(2), 19- 37.
  • Altun, E. (2014). Uç Değerler Teorisi ve Riske Maruz Değer. Yüksek Lisans Tezi. http://www.openaccess.hacettepe.edu.tr:8080/xmlui/bitstream/handle/11655/2115.
  • Angelidis, T., Benos, A. & Degiannakis, S. (2004). The Use of GARCH Models in VaR Estimation. Statistical Methodology,1, 105-128..
  • Artzner, P., Delbaen, J., M. Eber & Heath, D . (1997). Thinking Coherently. Risk, 10 (11), 68–71.
  • Artzner, P., Delbaen, J., M. Eber & Heath, D. (1999). Coherent Measures of Risk. Mathematical Finance, 9 (3), 203–228.
  • Assaf, A. (2009). Extreme Observations and Risk Assessment in the Equity Markets of MENA Region: Tail Measures and value-at-risk. International Review of Financial Analysis, 18, 109-116.
  • Barone-Adesi, G., Giannopoulos, K. & Vosper, L. (1999). VaR without Correlations for Portfolios of Derivative Securities. The Journal of Futures Markets, 19 (5), 583-602.
  • Çelik, N. & Kaya, M.F. (2010), Uç değerler yöntemi ile Riske Maruz Değer’in Tahmini ve İstanbul Menkul Kıymetler Borsası Üzerine Bir Uygulama. Bankacılık ve Sigortacılık Araştırmaları Dergisi, 1(1), 19-32.
  • De Grauwe P. (2010) The Banking Crisis: Causes, Consequences and Remedies. In: Talani L.S. (eds) The Global Crash. Palgrave Macmillan, London.
  • Diamandis, P.F., Drakos, A.A., Kouretas, G.P. & Zarangas L. (2011). Value-at-Risk for Long and Short Trading Positions: Evidence from Developed and Emerging Equity Markets. Internatiaonal Review of Financial Analysis, 20,165-176.
  • Dimitrakopoulos, D.N., Kavussanos, M.G. & Spyrou, S.I. (2010). Value-at-Risk Models for Volatile Emerging Markets Equity Portfolios. The Quarterly Review of Economics and Finance, 50 (4), 515-526.
  • Gilli, M. & Kellezi, E. (2006). An Application of Extreme Value Theory for Measuring Financial Risk. Computational Economics, 27, 207–228.
  • Giot, P. & Laurent, S. (2003). Value-at-Risk for Long and Short Positions. Journal of Applied Econometrics, 18, 641-664.
  • Goncu, A., Akgul, A.K., Imamoğlu, O., Tiryakioğlu, M. & Tiryakioğlu , M. (2012). An Analysis of the Extreme Returns Distribution: The Case of the Istanbul Stock Exchange. Applied Financial Economics, 22(9), 723-732.
  • Hendrics, D. (1996). Evaluation of Value-at-Risk Modelling Using Historical Data. Economic Policy Review, Federal Reserve Bank of New York.
  • Iglesias, E. M., Dolores, M. & Varela, L. (2012). Extreme Movements of the Main Stocks Traded in the Eurozone: An Analysis by Sectors in the 2000's Decade. Applied Financial Economics, 22 (24), 2085-2100.
  • Iglesias, E.M. (2012). An Analysis of Extreme Movements of Exchange Rates of the Main Currencies Traded in the Foreign Exchange Market. Applied Economics, 44, 4631-4637.
  • Iglesias, E.M. (2015). Value-at-Risk and Expected Shortfall of Firms in the Main European Union Stock Market Indexes: A Detailed Analysis by Economic Sectors and Geographical Situation. Economic Modelling, 50, 1-8.
  • Korkmaz, T., Aydın, N. & Sayılgan, G. (2013). Portföy Yönetimi. Eskişehir: T.C. Anadolu Üniversitesi Yayını, No: 2852.
  • Markowitz, H. (1952). Portfolio Selection. Journal of Finance, 7 (1), 77-91.
  • Mensi, W., Shahzad, S.J.H., Hammoudeh, S. , Zeitun, R. & Rehman, M.U. (2017). Diversification Potential of Asian Frontier, BRIC Emerging and Major Developed Stock Markets: A Wavelet-based Value-at-Risk Approach. Emerging Market Review, 32, 130-147.
  • Muela, S.B., Martin, C.L. & Sanz, R.A. (2017). An Application of Extreme Value Theory in Estimating Liquidity Risk. European Research on Management and Business Economics, 23 (3), 157-164.
  • Nelson, D.B. (1991), Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica 59 (2), 347-370.
  • Orlowski, L.T. (2012). Financial Crisis and Extreme Market Risks: Evidence from Europe. Review of Financial Economics, 21, 120-130.
  • Peterson, S.P. (2012). Investment Theory & Risk Management. Wiley Finance. John Wiley & Sons,Inc.,Hoboken, New Jersey.
  • Ren, F. & Giles, D. E. (2010). Extreme Value Analysis of Daily Canadian Crude Oil Prices. Applied Financial Economics. 20 (12), 941-954.
  • Rossignolo, A.F., Fethi, M.D. & Shaban, M. (2012). Value-at-Risk Models and Basel Capital Charges: Evidence from Emerging and Frontier Stock Markets. Journal of Financial Stability. 8(4), 303-319.
  • Sheu, H.J. & Cheng, C.L. (2012). Systematic Risk in Taiwan Stock Market. Journal of Business Economics and Management, 13(5), 895-914.
  • Soyalp, A.A., Nevruz, E. & Karabey, U. (2013). Gelişmekte Olan Bazı Piyasalarda Finansal Risklerin Uç Değer Kuramı ile Ölçülmesi. İstatistikçiler Dergisi: İstatistik & Aktüerya, 6, 86-95.
  • Topics in International Finance Chapter 17 International Diversification. http://wps.prenhall.com/wps/media/objects/13070/13384693/Chapter17.pdf.
  • Ural, M. (2009). Riske Maruz Değer Hesaplamasında Alternatif Yaklaşımlar. BDDK Bankacılık ve Finansal Piyasalar, 3(2), 63- 86.
  • Yamai, Y. & Yoshiba, T. (2005), Value-at-Risk versus Expected Shortfall: A Practical Perspective. Journal of Banking & Finance, 29, 997-1015.
Toplam 35 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Finans
Bölüm Makaleler
Yazarlar

Önder Büberkökü

Simge Tüzün Şahmaroğlu 0000-0001-5100-6996

Akın Akar Bu kişi benim

Yayımlanma Tarihi 29 Ekim 2019
Gönderilme Tarihi 9 Ağustos 2018
Yayımlandığı Sayı Yıl 2019 Sayı: 112

Kaynak Göster

APA Büberkökü, Ö., Tüzün Şahmaroğlu, S., & Akar, A. (2019). Portföy Risk Analizleri: Uluslararası Hisse Senedi Piyasalarından Kanıtlar. Maliye Ve Finans Yazıları(112), 199-224. https://doi.org/10.33203/mfy.452336

Dergi özellikle maliye, finans ve bankacılık alanlarında faaliyet göstermektedir.