BORSA İSTANBUL-100 ENDEKSİNİN YİYECEK-İÇECEK SEKTÖRÜ ENDEKSİ VE TEKNOLOJİ SEKTÖRÜ ENDEKSİ KARŞISINDAKİ VOLATİLİTESİ

Yıl 2014, Cilt: 9 Sayı: 2, 21 - 30, 01.03.2014

Mehmet Serhan Özkan

Öz

Bu çalışmada, borsadaki, seçilmiş günlük veriler kullanılarak ARCH-sınıfı modellerin tahminlemesi yapılmıştır. Borsa İstanbul-100 Endeksi kar rakamlarının Yiyecek-İçecek Sektörü Endeksi ve Teknoloji Sektörü Endeksi kar rakamları karşısındaki volatilitesi, 2003-2012 yılları arasındaki 2608 gözlem değeri için volatilite denkleminin tahmin edilmesi suretiyle analiz edilmiştir. Bağımsız değişken olarak Yiyecek-İçecek Sektörü ve Teknoloji Sektörü Endeksleri`nin kullanılmasının sebebi, yiyecek-içecek sektörünün, tüm dünya üzerinde, bazı yönlerden zorunlu mal olması özelliğinden ötürü ekonomideki dalgalanmalardan az etkilenmesi beklenen bir sektör olması; teknoloji sektörünün ise tüm dünyanın yanı sıra Türkiye`de de, küreselleşme ve akıllı cihazlardan ötürü günden güne gelişen bir sektör olmasıdır. Yapılan analizler sonucunda, hem Yiyecek-İçecek Sektörü Endeksi kar volatilitesinin, hem de Teknoloji Sektörü Endeksi kar volatilitesinin, Borsa İstanbul-100 Endeksi kar volatilitesi ile bir ilişkisi olduğu saptanmıştır.

Anahtar Kelimeler

Bist-100 Endeksi, Yiyecek-İçecek Sektörü Endeksi, Teknoloji Sektörü Endeksi, Volatilite, ARCH-Sınıfı Modeller,

VOLATILITY OF BORSA İSTANBUL-100 INDEX AROUND THE FOOD-BEVERAGE SECTOR INDEX AND THE TECHNOLOGY SECTOR INDEX

Öz

In this study, ARCH-class models are estimated by using chosen daily data on stock exchange market. Volatility of stock market returns of the Borsa İstanbul-100 (BIST-100) Index around The Food-Beverage Sector Index and The Technology Sector Index is analyzed by estimating the volatility equation between the years of 2003 and 2012 and for 2608 observations. The reason of using the Food-Beverage Sector and Technology Sector Indexes as independent variables is that the food and beverage sector all around the world is the one which is expected less affected by fluctuations in economy because of the characteristics of being obligatory good in some aspects and that technology sector has been developing day by day via globalization and smart devices besides all of the world in Turkey as well. As a result of the analyses made, it is ascertained that there is a relationship between the BIST-100 Index volatility and both The Food-Beverage Sector Index return volatility, and also The Technology Sector Index return volatility.

Anahtar Kelimeler

Bist-100 Index, The Food-Beverage Sector Index, The Technology Sector Index, Volatility, ARCH-Class Models,

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