BIST Sektör Endekslerinin Zamanla Değişen Beta Katsayıları

Yıl 2022, Sayı: 96, 135 - 150, 24.10.2022

Erkan Ustaoğlu

https://doi.org/10.25095/mufad.1143257

Öz

Çalışmanın amacı BIST’te yer alan 21 adet sektör endeksinin zamanla değişen beta katsayılarının
hesaplanmasıdır. Analizler sonucunda 21 adet sektör endeksinin beta katsayılarının zamanla değişen bir yapıda
olduğu gözlenmiştir. Aynı zamanda zamanla değişen tüm sektör betalarının ortalamaya dönme eğilimde olduğu
belirlenmiştir. Çalışmada en oynak beta katsayı XFINK endeksine ait iken, en az oynak beta katsayısı XSPOR
endeksine ait olduğu tespit edilmiştir. Ayrıca çalışmada ortalama olarak en düşük beta katsayısı 0.490 ile
XSPOR endeksine ait iken en yüksek beta katsayısı ise 1.248 ile XBANK endeksine ait olduğu saptanmıştır.
Çalışmada, sektör endekslerinin betası zamanla benzer değişimlere sahip olduğu tespit edilmiştir.

Anahtar Kelimeler

Zamanla Değişen Beta, Beta Katsayısı, DCC-GARCH, Sistematik Risk, BIST.

Time-Varying Beta Coefficients of BIST Sector Indices

Öz

The aim of the study is to calculate the time-varying beta coefficients of 21 sector indices in BIST. As a result of the analysis, it has been determined that the beta coefficients of 21 sector indices have a structure that changes over time. At the same time, it has been found that all sector time-varying betas tend to mean reversion. In the study determined that the most volatile beta coefficient belongs to the XBANK index, while the least volatile beta coefficient belongs to the XILTM index. In addition, in the study determined that the lowest beta coefficient with 0.441 belonged to the XTCRT index, while the highest beta coefficient was found to belong to the XBANK index with 0.868. In the study, it has been determined that the beta of other sector indices has similar changes over time, except for the XELKT, XILTM, and XSPOR indices.

Anahtar Kelimeler

Time-Varying Beta, Beta Coefficient, DCC-GARCH, Systematic Risk, BIST

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