Yıl 2019, Cilt 8 , Sayı 2, Sayfalar 143 - 152 2019-06-01

Düşük Fiyat Anomalisinin Hisse Senetlerinin Risk-Getiri Performanslarına Etkisi: Borsa İstanbul Örneği
Impact of Low Price Effect on Risk-Return Performances of Stocks: Evidence from Istanbul Stock Exchange

Ayşegül İŞCANOĞLU ÇEKİÇ [1] , Demet SEZER [2]


Bu çalışmada, Borsa İstanbul’da düşük fiyat etkisinin varlığı araştırılmıştır. Borsa İstanbul’da işlem gören 283 hisse 01.01.2011-01.01.2018 döneminde ele alınmıştır. Çalışmada, risk koşullu oynaklık modellerinden, GARCH (1,1), EGARCH (1,1), gjr-GARCH (1,1), APARCH (1,1) kullanılarak ele alınmış ve hisse fiyatları ile riske göre ayarlanmış getiriler arası ilişkiler istatistiksel olarak test edilmiştir.  Çalışmanın bulgularına göre, fiyatı [10,20) aralığında olan yüksek fiyatlı olarak sınıflandırılan hisselerin riske göre ayarlanmış getirilerinin düşük fiyatlı ve çok yüksek fiyatlı hisselere göre daha iyi performans sergiledikleri sonucuna varılmıştır. Fakat, Borsa İstanbul’da düşük fiyat etkisinin varlığı saptanamamıştır. Bu çalışma literature birkaç yönden katkıda bulunmaktadır. İlk olarak, yazarların bilgisi dahilinde, Borsa İstanbul üzerine yapılan çalışmalarda düşük fiyat etkisi, riske göre ayarlanmış getiriler üzerinden araştırılmamıştır. Bu bağlamda, çalışma literaturdeki bu açığı kapatmayı amaçlamaktadır. İkinci olarak, çalışmada düşük ve yüksek sayıda hisse içeren portföyler oldukça kapsamlı bir simülasyon çalışması ile karşılaştırılmıştır. Son olarak, düşük fiyat etkisinin daha iyi gözlemlenebilmesi için oynaklıklar koşullu oynaklık modelleri ile simülasyonlarda eşanlı şekilde modellenmiştir. 

In this study, the existence of low price effect in Istanbul Stock Exchange is investigated. We consider 283 stocks traded in Istanbul Stock Exchange for the period between January 01, 2011 and January 01, 2018. In this study, the associated risk is modeled by using conditional volatility models, namely GARCH (1,1), EGARCH (1,1), gjr-GARCH (1,1), APARCH (1,1) and the relations between stock prices and the risk adjusted returns are statistically tested. The findings show that the risk adjusted returns of high priced stocks, namely stocks whose price bands are [10, 20) are higher than that of both low priced and very high priced stocks. In other words, there exists an impact of price levels to the risk adjusted returns. However, the low price effect does not exist in Istanbul Stock Exchange in terms of risk adjusted returns. The study contributes the literature in several ways. First, to the best of authors’ knowledge the current literature on Istanbul Stock Exchange lacks empirical evidence for the low price effect in terms of risk adjusted returns. In this context, this study fills the gap in the literature. Second, in this study the portfolios with few and large number of stocks are compared with a comprehensive simulation study. Finally, conditional variance for each portfolio are modelled simultaneously in order to better capture the impact of low price effect. 

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Birincil Dil en
Konular Sosyal
Bölüm Makaleler
Yazarlar

Orcid: 0000-0003-0692-7870
Yazar: Ayşegül İŞCANOĞLU ÇEKİÇ
Kurum: TRAKYA UNIVERSITY
Ülke: Turkey


Yazar: Demet SEZER (Sorumlu Yazar)
Kurum: SELCUK UNIVERSITY
Ülke: Turkey


Tarihler

Başvuru Tarihi : 29 Mayıs 2019
Kabul Tarihi : 11 Haziran 2019
Yayımlanma Tarihi : 1 Haziran 2019

Bibtex @araştırma makalesi { ssrj571347, journal = {Sosyal Bilimler Araştırma Dergisi}, issn = {}, eissn = {2147-5237}, address = {Denta Florya ADSM Limited Company/Florya Street, No: 41, Şenlikköy-Bakırköy/İstanbul}, publisher = {Denta Florya ADSM Limited Company}, year = {2019}, volume = {8}, pages = {143 - 152}, doi = {}, title = {Impact of Low Price Effect on Risk-Return Performances of Stocks: Evidence from Istanbul Stock Exchange}, key = {cite}, author = {İŞCANOĞLU ÇEKİÇ, Ayşegül and SEZER, Demet} }
APA İŞCANOĞLU ÇEKİÇ, A , SEZER, D . (2019). Impact of Low Price Effect on Risk-Return Performances of Stocks: Evidence from Istanbul Stock Exchange. Sosyal Bilimler Araştırma Dergisi , 8 (2) , 143-152 . Retrieved from https://dergipark.org.tr/tr/pub/ssrj/issue/45017/571347
MLA İŞCANOĞLU ÇEKİÇ, A , SEZER, D . "Impact of Low Price Effect on Risk-Return Performances of Stocks: Evidence from Istanbul Stock Exchange". Sosyal Bilimler Araştırma Dergisi 8 (2019 ): 143-152 <https://dergipark.org.tr/tr/pub/ssrj/issue/45017/571347>
Chicago İŞCANOĞLU ÇEKİÇ, A , SEZER, D . "Impact of Low Price Effect on Risk-Return Performances of Stocks: Evidence from Istanbul Stock Exchange". Sosyal Bilimler Araştırma Dergisi 8 (2019 ): 143-152
RIS TY - JOUR T1 - Impact of Low Price Effect on Risk-Return Performances of Stocks: Evidence from Istanbul Stock Exchange AU - Ayşegül İŞCANOĞLU ÇEKİÇ , Demet SEZER Y1 - 2019 PY - 2019 N1 - DO - T2 - Sosyal Bilimler Araştırma Dergisi JF - Journal JO - JOR SP - 143 EP - 152 VL - 8 IS - 2 SN - -2147-5237 M3 - UR - Y2 - 2019 ER -
EndNote %0 Sosyal Bilimler Araştırma Dergisi Impact of Low Price Effect on Risk-Return Performances of Stocks: Evidence from Istanbul Stock Exchange %A Ayşegül İŞCANOĞLU ÇEKİÇ , Demet SEZER %T Impact of Low Price Effect on Risk-Return Performances of Stocks: Evidence from Istanbul Stock Exchange %D 2019 %J Sosyal Bilimler Araştırma Dergisi %P -2147-5237 %V 8 %N 2 %R %U
ISNAD İŞCANOĞLU ÇEKİÇ, Ayşegül , SEZER, Demet . "Impact of Low Price Effect on Risk-Return Performances of Stocks: Evidence from Istanbul Stock Exchange". Sosyal Bilimler Araştırma Dergisi 8 / 2 (Haziran 2019): 143-152 .
AMA İŞCANOĞLU ÇEKİÇ A , SEZER D . Impact of Low Price Effect on Risk-Return Performances of Stocks: Evidence from Istanbul Stock Exchange. ssrj. 2019; 8(2): 143-152.
Vancouver İŞCANOĞLU ÇEKİÇ A , SEZER D . Impact of Low Price Effect on Risk-Return Performances of Stocks: Evidence from Istanbul Stock Exchange. Sosyal Bilimler Araştırma Dergisi. 2019; 8(2): 152-143.