Metin TETİK, E. Tuğba CİĞEROĞLU, Eser YEŞİLDAĞ

2008 Krizi Sektörlerin Sistematik Riskini Etkiledi mi? Türkiye Örneği

Bu çalışma, 2008 finansal krizinin Borsa İstanbul (BIST)’da bulunan dört sektörün betaları üzerindeki etkilerini kriz öncesi, kriz ve kriz sonrası dönem olarak ayrı ayrı incelemektedir. Kriz bilgisini modele dışsal olarak dahil eden Kukla değişkenli CAPM aracılığı ile bu dört sektörün sistematik riskleri (betaları) hesaplanmıştır. Daha sonra CAPM, üç ayrı dönem (Finansal kriz öncesi, kriz dönemi ve kriz sonrası) için ayrı ayrı tahmin edilerek değişen betalar elde edilmiştir. Böylece, kriz dönemlerinde finansal yatırımcıların hangi sektör hisse senetlerinin daha riskli/güvenilir olarak algıladıkları tespit edilmiştir. Bulgular, risk iştahında bir azalış olduğu kriz dönemlerinde, hizmet sektörü hisse senetlerinin finansal yatırımcılar tarafından daha güvenilir, mali sektör hisse senetlerinin ise daha riskli olarak algılandığını göstermektedir.

Anahtar Kelimeler:

Yatırımcı Davranışı, Kukla Değişkenli CAPM, Finansal Kriz

Did 2008 Crisis Affect Systematic Risks of the Sectors? The Case of Turkey

This study examines the effects of the 2008 financial crisis on the betas of four sectors in Borsa Istanbul (BIST) separately as pre-crisis, crisis and post-crisis period. Systematic risks (betas) of these four sectors are calculated through CAPM model with the dummy variable, which includes crisis information exogenously. Afterwards, CAPM was estimated separately for three periods (pre-financial crisis, crisis period and post-crisis) and time varying betas were obtained. Thus, it was determined which sector stocks were perceived as more risky/reliable in crisis period by financial investors. Findings show that service sector stocks are perceived as more reliable and financial sector stocks are perceived riskier by financial investors in crisis period with a decrease in risk appetite.

Keywords:

Investor Behaviour, Financial Crisis, CAPM with Dummy Variable,

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