FAMA-FRENCH THREE-FACTOR ASSET PRICING MODEL IN BORSA ISTANBUL: INCLUDING TWO ADDITIONAL FACTORS IN THE MODEL

Yıl 2025, Cilt: 23 Sayı: 1, 233 - 265

Muhammad Muddasir , Gülşah Kulalı

https://doi.org/10.11611/yead.1593464

Öz

This paper first examines the validity of the Fama-French three-factor asset pricing model (FF3F) in the Borsa Istanbul (BIST). Subsequently, the model's validity is demonstrated, and two additional factors—trading volume and exchange rate—are incorporated in conjunction with the conventional factors employed in the FF3F model: market risk, size, and value. This is achieved by utilizing daily data from 70 listed firms included in the highly representative BIST-100 index from January 2010 to December 2019. The regression estimations indicate that the FF3F model is a valid representation of the BIST, both before and after the inclusion of additional factors. We demonstrate that it effectively captures the risk-return dynamics for market portfolios in the BIST. Furthermore, we show that incorporating trading volume and exchange rate factors enhances the model’s accuracy.


JEL Codes: G10, G11, G12.

Anahtar Kelimeler

Fama-French Three-factor Asset Pricing Model, Emerging and Developing Markets, Trading Volume, Exchange Rate, Borsa İstanbul

BORSA ISTANBUL'DA FAMA-FRENCH ÜÇ FAKTÖRLÜ VARLIK FİYATLAMA MODELİ: MODELE İKİ EK FAKTÖRÜN DAHİL EDİLMESİ

Öz

Bu çalışmada öncelikle Fama-French üç faktörlü varlık fiyatlama modelinin (FF3F) Borsa İstanbul'daki (ISE) geçerliliği incelenmektedir. Daha sonra, modelin geçerliliği gösterildikten sonra, FF3F modelinde kullanılan geleneksel faktörlerle (piyasa riski, büyüklük ve değer) birlikte iki ek faktör (işlem hacmi ve döviz kuru) modele dahil edilmektedir. Çalışmada kullanılan veriler, Türk sermaye piyasasında temsil gücü yüksek BIST-100 endeksinde yer alan 70 adet firmaya ilişkin Ocak 2010-Aralık 2019 dönemi günlük verilerdir. Regresyon tahminlerinin bulgularına dayanılarak, ek faktörlerin eklenmesinden önce ve sonra FF3F modelinin Borsa İstanbul'da geçerli olduğu sonucuna varılmış ve FF3F modelinin Borsa İstanbul'daki piyasa portföyleri için risk-getiri dinamiklerini etkili bir şekilde yakaladığı gösterilmiştir. Ayrıca, işlem hacmi ve döviz kuru faktörlerinin dahil edilmesinin modelin doğruluğunu artırdığı bulunmuştur.

Anahtar Kelimeler

Fama-French Üç Faktörlü varlık Fiyatlama Modeli, Yükselen ve Gelişmekte olan Piyasalar, Borsa İstanbul, İşlem Hacmi, Döviz Kuru

Kaynakça

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