1997-2010 Dönemi Türk Bankacılık Sektörü Risk Analizi.

Yıl 2010, Cilt: 3 Sayı: 2, 119 - 134, 01.08.2010

Sinem Derindere Köseoğlu

Öz

The ultimate purpose of this study is to investigate the validity of the expectation that risk of indices, as a proxy of portfolio risk, lower than individual risks of bank stocks based on the Markowitz Portfolio Theory in Turkish Banking Sector for the period 1997:04 – 2010:04. According to this ultimate purpose, first it is determined total risk and its systematic and unsystematic risk components of Banking Sector in Turkey using standard methods and time series analysis. Second it is compared to risk of indices lower than individual risks of bank stocks. Risks have been calculated by ARMA and ARCH type models based on time series analysis as well as standard risk measuring methods and results of the study have showed that in general unsystematic risk of individual stocks higher than systematic risk of these. Moreover at the end of study, it has found that total risk of indices is lower then total risk of individual stocks and systematic risk of indices is higher than unsystematic risks of them.

Anahtar Kelimeler

Banking Sector, Systematic Risk, Unsystematic RiskJEL classification: G11, G21.

1997-2010 Dönemi Türk Bankacılık Sektörü Risk Analizi.

Öz

Bu çalışmanın temel amacı, Markowitz Portföy Teorisi’nin öngördüğü şekilde portföy riskinin, tek tek hisse senetlerinin risklerine göre daha az olması beklentisinin 1997:04 – 2010:04 dönemi Türk Bankacılık Sektörü için de geçerli olup olmadığını ortaya koymaktır. Bu temel amaç doğrultusunda ilk olarak Türk Bankacılık Sektörü’nün sahip olduğu toplam risklerin ve toplam riski oluşturan sistematik ve sistematik olmayan risk bileşenleri standart yöntemler ve zaman serisi modellerine dayanan yöntemlerle hesaplanmıştır. Daha sonra banka hisse senedi getirilerinin sahip olduğu risk ile bu hisse senetlerinden oluşan portföy niteliğindeki bankacılık sektörü endeks getirilerinin riski karşılaştırılmıştır. Klasik standart sapma ve varyans gibi ölçümler yanında, ARMA ve ARCH tipi modeller gibi zaman serisi analizlerine dayanan hesaplamalarla risk ölçümlerinin gerçekleştirildiği çalışmanın sonucunda tek hisse senetleri için, her iki yöntemle de hesaplanan sistematik olmayan risklerin genellikle sistematik risklerinden daha büyük olduğu bulunmuştur. Ayrıca, portföy niteliği taşıyan endeks getirilerinin toplam riskleri, tek tek hisse senetlerinin toplam risklerinden daha düşük olup, sistematik risklerinin, sistematik olmayan risklerinden daha yüksek olduğu tespit edilmiştir.

Anahtar Kelimeler

Bankacılık Sektörü, Sistematik Risk, Sistematik Olmayan RiskJEL sınıflaması: G11, G21.

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