Cilt 6 Sayı 4 (2018): BUSINESS & MANAGEMENT STUDIES: AN INTERNATIONAL JOURNAL
Makaleler

BORSA İSTANBUL ALT SEKTÖR ENDEKSLERİ ARASINDAKİ OYNAKLIK YAYILIMLARININ ANALİZİ

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  • Melik KAMIŞLI,
  • Güven SEVİL
Melik KAMIŞLI
Bilecik Şeyh Edebali Üniversitesi, Uygulamalı Bilimler Yüksekokulu, Bankacılık ve Finans Bölümü
Biyografi
Güven SEVİL
Anadolu Üniversitesi, Açıköğretim Fakültesi, İktisadi ve İdari Programlar Bölümü
DOI: https://doi.org/10.15295/bmij.v6i4.381

Yayınlanmış 2019-01-03

Anahtar Kelimeler

  • Sabit Koşullu Korelasyon Testi,
  • Dinamik Koşullu Korelasyon Modeli,
  • Portföy Yönetimi

Nasıl Atıf Yapılır

KAMIŞLI, M., & SEVİL, G. (2019). BORSA İSTANBUL ALT SEKTÖR ENDEKSLERİ ARASINDAKİ OYNAKLIK YAYILIMLARININ ANALİZİ. Business & Management Studies: An International Journal, 6(4), 1015–1032. https://doi.org/10.15295/bmij.v6i4.381

Özet

Yatırımcılar portföy riskini azaltmak amacıyla sektörel çeşitlendirmeye gidebilmektedir. Bu durumda sağlıklı yatırım kararlarının verilebilmesi için sektörler arasında ilişkilerin doğru bir şekilde belirlenmesi gerekmektedir. Özellikle krizler sektörler arasındaki oynaklık yayılımları üzerinde doğrudan etkili olmaktadır. Bu bağlamda çalışmada krizlerin ve farklı tipteki şokların Borsa İstanbul (BİST) alt sektör endeksleri arasındaki oynaklık yayılımları üzerindeki etkilerinin belirlenmesi amaçlanmıştır. Bu amaca uygun olarak 2001 Finansal Krizi ve 2008 Küresel Krizi baz alınarak belirlenen dönemler için DCC-GARCH analizi uygulanmıştır. Sonuçlar Asya Krizi, Rusya krizi, 1999 Depremi, 2002 genel seçimi, 2003 Körfez Savaşı, Gezi Parkı olayları, 17-25 Aralık operasyonları, Merkez Bankası faiz politikaları ile sektörlere özgü olayların yayılımları etkilediğini ortaya koymuştur.

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