ZAMANLA DEĞİŞEN BETA: BORSA İSTANBUL BANKACILIK SEKTÖRÜ UYGULAMASI

Çalışmada Borsa İstanbul’da işlem gören bankaların betalarının zamanla değişiminin gözlenmesi ve değişimi açıklayan faktörlerin belirlenmesi amaçlanmıştır. Aralık 2001 ve Şubat 2017 arasında Borsa İstanbul 100 (BİST100) endeksinde işlem gören 12 adet bankanın zamanla değişen betaları, günlük veriler kullanılarak Çok Değişkenli Genelleştirilmiş Otoregresif Koşullu Değişen Varyans-BEKK (BEKKGARCH) analizi yardımıyla hesaplanmış ve betanın zamanla değişimi gözlenmiştir. Çalışmanın ikinci aşamasında betanın değişimini etkileyebilecek sistematik risk faktörlerin ve eğilimin belirlenmesi amacıyla çoklu regresyon analizi uygulanmıştır. Sonuçlara göre bankacılık sektöründe beta zamanla 1’e yaklaşmakta ve gösterge tahvil faiz oranı zamanla değişimi açıklayan faktör olarak ortaya çıkmaktadır.

TIME VARYING BETA: APPLICATION ON ISTANBUL STOCK EXCHANGE BANKING SECTOR

In this study we aimed to observe time varying aspects and factors may affect the time variation of banking firms which are traded on Borsa İstanbul. Multivariate Generalized Autoregressive Conditional Heteroscedasitcity Model (GARCH-BEKK) is employed to observe time varying betas of 12 banks traded on Borsa Istanbul for the period between December 2001 and February 2017 and results show that beta has time varying aspect. In the second step of the study, in order to detect the systematic risk factors that may effect the time varying beta and to present the trend, regression analysis is employed. According to the results, there is a relationship between benchmark treasury bond yields and beta is closing to 1 in time.

___

  • Abiyev, Vasif (2015). “Time-Varying Beta Risk and Its Modeling Techniques for Turkish Industry Portfolios”. Iktisat Isletme ve Finans, 30(352), 79-108.
  • Baba, Y., Robert F. Engle, D. F. Kraft, ve K. F. Kroner (1990). “Multivariate Simultaneous Generalized ARCH”. Department of Economics, University of California at San Diego, Working Paper.
  • Baesel, Jerome B (1974). “On the Assessment of Risk: Some Further Considerations”. The Journal of Finance, 29(5), 1491-1494.
  • Blume, Marshall E. (1971). “On the assessment of risk”. The Journal of Finance, 26(1) , 1-10.
  • Bodurtha, James N., ve Nelson C. Mark (1991). “Testing the CAPM with Time‐Varying Risks and Returns”. The Journal of Finance, 46(4), 1485-1505.
  • Bollerslev, Tim (1992). “ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence”. Journal of Econometrics, 52(1-2), 5-59.
  • Bollerslev, Tim (1986). “Generalized Autoregressive Conditional Heteroskedasticity”. Journal of Econometrics, 31(3), 307-327.
  • Bollerslev, Tim (1990). “Modelling the Coherence in Short-run Nominal Exchange Rates: a Multivariate Generalized ARCH Model”. The Review of Economics and Statistics, 72(3), 498-505.
  • Bollerslev, Tim, Robert F. Engle, ve Jeffrey M. Wooldridge (1988). “A Capital Asset Pricing Model with TimeVarying Covariances”. Journal of Political Economy, 96(1), 116-131.
  • Bos, Theodore, ve Paul Newbold (1984). “An Empirical İnvestigation of the Possibility of Stochastic Systematic Risk in the Market Model”. Journal of Business, 57(1), 35-41.
  • Bos, Theodore, ve Thomas A. Fetherston (1992). “Market Model Nonstationarity in the Korean Stock Market”. Pacific-Basin Capital Markets Research 3, 287-301.
  • Braun, Phillip A., Daniel B. Nelson, ve Alain M. Sunier (1995). “Good News, Bad News, Volatility, and Betas”. The Journal of Finance, 50(5), 1575-1603.
  • Brooks, Robert D., Robert W. Faff, ve Michael D. McKenzie (1998). “Time‐Varying Beta Risk of Australian İndustry Portfolios: A Comparison of Modelling Techniques”. Australian Journal of Management, 23(1), 1-22.
  • Büberkökü, Önder, ve Simge Tüzün Şahmaroğlu (2016). “Beta Katsayılarındaki Değişimin Açıklanmasında İşlem Hacminin Etkisinin İncelenmesi: Banka Hisselerine Dayalı Bir Analiz”. İşletme Bilimi Dergisi, 4(1), 1-28.
  • Chambers, Donald R., Mark J. P. Anson, Keith H. Black, ve Hossein Kazemi (2009). Alternative Investments. New Jersey: Wiley & Sons.
  • Chen, Son-Nan (1981). “Beta Nonstationarity, Portfolio Residual Risk and Diversification”. Journal of Financial and Quantitative Analysis, 16(1), 95-111.
  • Choudhry, Taufiq (2005a). “September 11 and Time-Varying Beta of United States Companies”. Applied Financial Economics, 15(17), 1227-1242.
  • Choudhry, Taufiq (2002). “The Stochastic Structure of the Time–Varying Beta: Evidence from UK Companies”. The Manchester School, 70(6), 768-791.
  • Choudhry, Taufiq (2005). “Time-Varying Beta and the Asian Financial Crisis: Evidence from Malaysian and Taiwanese Firms”. Pacific-Basin Finance Journal, 13(1), 93-118.
  • Dickey, David A. ve Wayne A. Fuller (1979). “Distribution of the Estimators for Autoregressive Time Series with a Unit Root”. Journal of the American Statistical Association, 74(366), 427-431.
  • Dickey, David A. ve Wayne A. Fuller (1981). “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”. Econometrica: Journal of the Econometric Society, 49(4), 1057-1072.
  • Ebner, Markus, ve Thorsten Neumann (2005). “Time-Varying Betas of German Stock Returns”. Financial Markets and Portfolio Management, 19(1), 29-46.
  • Ehrhardt, Michael C., ve Eugene F. Brigham (2011). Corporate Finance: A Focused Approach. South-Western.
  • Elton, Edwin, Martin Gruber, Stephen Brown , ve William Goetzmann (2014). Modern Portfolio Theory and Investment Analysis. John Wiley & Sons Inc.
  • Engle, Robert F. (1982). “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation”. Econometrica: Journal of the Econometric Society, 50(4) , 987-1007.
  • Engle, Robert F., ve Kenneth F. Kroner (1995). “Multivariate Simultaneous Generalized ARCH”. Econometric Theory, 11(1) , 122-150.
  • Engle, Robert F., Victor K. Ng, ve Michael Rothschild (1990). “Asset Pricing with a Factor-ARCH Covariance Structure: Empirical Estimates for Treasury Bills”. Journal of Econometrics, 45(1-2), 213-237.
  • Episcopos, Athanasios (1996). “Stock Return Volatility and Time-Varying Betas in the Toronto Stock Exchange”. Quarterly Journal of Business and Economics, 35(4), 28-38.
  • Fabozzi, Frank J., ve Jack Clark Francis (1978). “Beta as a Random Coefficient”. Journal of Financial and Quantitative Analysis, 13(1), 101-116.
  • Faff, Robert W., John HH Lee, ve Tim RL Fry (1992). “Time Stationarity of Systematic Risk: Some Australian Evidence”. Journal of Business Finance & Accounting, 19(2), 253-270.
  • Fama, Eugene F., ve Kenneth R. French (2004). “The Capital Asset Pricing Model: Theory and Evidence”. The Journal of Economic Perspectives, 18(3), 25-46.
  • Ferson, Wayne E (1989). “Changes in Expected Security Returns, Risk, and the Level of İnterest Rates”. The Journal of Finance, 44(5), 1191-1217.
  • Ferson, Wayne E., ve Campbell R. Harvey (1999). “Conditioning Variables and the Cross Section of Stock Returns”. The Journal of Finance, 54(4), 1325-1360.
  • Ferson, Wayne E., ve Campbell R. Harvey (1993). “The Risk and Predictability of International Equity Returns”. Review of financial Studies, 6(3), 527-566.
  • Ferson, Wayne E., ve Campbell R. Harvey (1991). “The Variation of Economic Risk Premiums”. Journal of Political Economy, 99(2), 385-415.
  • Ferson, Wayne E., ve Robert A. Korajczyk (1995). “Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?”. Journal of Business, 68(3), 309-349.
  • Francis, Jack Clark (1979). “Statistical Analysis of Risk Surrogates for NYSE Stocks”. Journal of Financial and Quantitative Analysis, 14(5), 981-997.
  • Galai, Dan, ve Ronald W. Masulis (1976). “The Option Pricing Model and the Risk Factor of Stock”. Journal of Financial Economics, 3(1-2), 53-81.
  • Groenewold, Nicolaas, ve Patricia Fraser (1999). “Time-Varying Estimates of CAPM Betas”. Mathematics and Computers in Simulation, 48(4), 531-539.
  • Hamada, Robert S (1972). “The Effect of the Firm’s Capital Structure on the Systematic Risk of Common Stocks”. The Journal of Finance, 27(2), 435-452.
  • Hansson, Bjorn, ve Peter Hördahl (1998). “Testing the conditional CAPM Using Multivariate GARCH-M”. Applied Financial Economics, 8(4), 377-388.
  • Harvey, Campbell R. (1989). “Time-Varying Conditional Covariances in Tests of Asset Pricing Models”. Journal of Financial Economics, 24(2), 289-317.
  • Jagannathan, Ravi, ve Zhenyu Wang (1996). “The Conditional CAPM and the Cross‐Section of Expected Returns”. The Journal of finance, 51(1), 3-53.
  • Köseoglu, Sinem Derindere, ve Rasim Ilker Gökbulut (2012). “Market Risk of Turkish Sectors between 2001 and 2011: A Bivariate GARCH Approach”. African Journal of Business Management, 6(23) , 6948-6957.
  • Kroner, Kenneth F., ve Victor K. Ng (1998). “Modeling Asymmetric Comovements of Asset Returns”. Review of Financial Studies, 11(4), 817-844.
  • Levy, Robert A. (1971). “On the Short-Term Stationarity of Beta Coefficients”. Financial Analysts Journal , 27(6), 55-62.
  • Lintner, John (1965). “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets”. The Review of Economics and Statistics, 47(1), 13-37.
  • Markowitz, Harry (1952). “Portfolio Selection: Efficient Diversification of Investments”. The Journal of Finance, 7(1), 77–91.
  • Mayo, Herbert B. (2014). Investments: An Introduction. Cengage Learning.
  • Mills, Terence C., ve Raphael N. Markellos (2008). The Econometric Modelling of Financial Time Series. New York: Cambridge University Press.
  • Mossin, Jan (1966). “Equilibrium in a Capital Asset Market”. Econometrica: Journal of the Econometric Society, 34(4), 768-783.
  • Neusser, Klaus (2016). Time Series Econometrics. Bern: Springer Texts in Business and Economics.
  • Ng, Lilian (1991). “Tests of the CAPM with Time‐Varying Covariances: A Multivariate GARCH Approach”. The Journal of Finance, 46(4), 1507-1521.
  • Odabasi, Attila (2000). “Evidence on the Stationarity of Beta Coefficients: The Case of Turkey”. Bogazici University, Bebek, Istanbul, Turkey. Draft, 1-17.
  • Odabaşı, Attila (2002). “An Investigation of Beta İnstability in the Istanbul Stock Exchange”. Istanbul Stock Exchange Review, 6(24), 15-32.
  • Odabaşı, Attila (2003). “Some Estimation Issues on Betas: A Preliminary Investigation on the Istanbul Stock Exchange”. Unpublished working paper, Faculty of Economics and Administrative Sciences, Boğaziçi University, Istanbul, Turkey.
  • Reyes, Mario G. (1999). “Size, Time-Varying Beta, and Conditional Heteroscedasticity in UK Stock Returns”. Review of Financial Economics, 8(1), 1-10.
  • Rosenberg, Barr, ve James Guy (1976). “Prediction of Beta from Investment Fundamentals: Part One, Prediction Criteria”. Financial Analysts Journal, 32(3), 60-72.
  • Schulmerich, Marcus , Yves-Michel Leporcher, ve Ching-Hwa Eu (2014). Applied Asset and Risk Management: A Guide to Modern Portfolio Management and Behavior-Driven Markets. Springer-Verlag Berlin Heidelberg.
  • Schwert, G. William, ve Paul J. Seguin (1990). “Heteroskedasticity in Stock Returns”. The Journal of Finance, 45(4), 1129-1155.
  • Sharpe, William F. (1964) “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk”. The Journal of Finance, 19(3), 425-442.
  • Sunder, Shyam (1980). “Stationarity of Market Risk: Random Coefficients Tests for Individual Stocks”. The Journal of Finance, 35(4), 883-896.
  • Wells, Curt (1994). “Variable Betas on the Stockholm Exchange 1971-1989”. Applied Financial Economics, 4(1), 75-92.
  • Yayvak, Berk, Levent Akdeniz, ve Aslihan Altay Salih (2015). “Do Time-Varying Betas Help in Asset Pricing? Evidence from Borsa Istanbul”. Emerging Markets Finance and Trade, 51(4), 747-756.
Ekonomik ve Sosyal Araştırmalar Dergisi-Cover
  • ISSN: 1306-2174
  • Yayın Aralığı: Yılda 2 Sayı
  • Başlangıç: 2005
  • Yayıncı: Abant İzzet Baysal Üniversitesi İktisadi ve İdari Bilimler Fakültesi
Sayıdaki Diğer Makaleler

Spor Turizmi Hizmet Kalitesi Ölçeği Geçerlik ve Güvenirlik Çalışması

Hasan OSMANOĞLU, Hanifi ÜZÜM, Ünal KARLI, Ali AYCAN

Zamanla Değişen Beta: Borsa İstanbul Bankacılık Sektörü Uygulaması

Ümit GÜMRAH, Serhat KONUK

DÖVİZ KURLARININ YURTİÇİ FİYATLARA GEÇİŞ ETKİSİ: TÜRKİYE EKONOMİSİ 2003-2017 DÖNEMİ UYGULAMASI

Murat ÖZÇELİK, Sevim AKDEMİR

ISO 27001 Standardı Kapsamında Kurumsal Bilgi Güvenliği ve İşletme Performansı Arasındaki İlişki: BIST 100 Endeksinde Yer Alan İşletmeler Üzerine Bir Uygulama

Şerife ÖNDER

Sağlık Okuryazarlığının Hasta Memnuniyeti Üzerine Etkisi

Kahraman ÇATI, Yalçın KARAGÖZ, Fuat YALMAN, Yusuf ÖCEL

ZAMANLA DEĞİŞEN BETA: BORSA İSTANBUL BANKACILIK SEKTÖRÜ UYGULAMASI

Ümit GÜMRAH, Serhat KONUK

İKTİSADİ VE MALİ OKURYAZARLIK ÜZERİNE BİR ARAŞTIRMA: ABANT İZZET BAYSAL ÜNİVERSİTESİ İKTİSADİ VE İDARİ BİLİMLER FAKÜLTESİ ÖRNEĞİ

Erdoğan TEYYARE, Buket AYYILDIZ, Hüseyin DİRİCAN, Bediha Sultan ZIVALI, Betül RENKLİ

Üniversite Öğrencilerinin Mesleki Kimlik Durumunun Değerlendirilmesi: Abant İzzet Baysal Üniversitesi Örneği

Elif KARABULUT TEMEL, Hülya ERKANLI, Yusuf Volkan TOPUZ

İktisadi ve Mali Okuryazarlık Üzerine Bir Araştırma: Abant İzzet Baysal Üniversitesi İktisadi ve İdari Bilimler Fakültesi Örneği

Erdoğan TEYYARE, Buket AYYILDIZ, Hüseyin DİRİCAN, Bediha Sultan ZIVALI, Betül RENKLİ

Gelişmekte Olan Ülkelerde Ülke Riski Göstergesi Olarak Kredi Temerrüt Swapları: Asimetrik Nedensellik Yöntemi

Esra AKSOYLU, Şakir GÖRMÜŞ