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Risk-Getiri İlişkisinin Analizi: Türkiye Örneği

Bu çalışmada Türk hisse senedi piyasaları için risk ile getiri arasındaki ilişki analiz edilmiştir. Bu amaçla öncelikle geleneksel yaklaşım çerçevesinde FIAPARCH-M, FIGARCH-M, HYGARCH, APARCH-M, GJR-GARCH ve GARCH-M modellerinden yararlanılmıştır. İlgili modeller hem tüm dönem için hem de volatilitedeki çoklu yapısal kırılmalar dikkate alınarak belirlenen yüksek ve düşük volatilite dönemleri için ayrı ayrı tahmin edilmiştir. Daha sonra alternatif bir yaklaşım olarak ilgili tüm modeller gerçekleşen piyasa risk priminin pozitif olduğu dönemler ile negatif olduğu dönemler dikkate alınarak tekrar tahmin edilmiştir. Ayrıca, bu alternatif modele dayalı olarak aşırı tepki hipotezinin Türk hisse senedi piyasaları için geçerli olup olmadığı da incelenmiştir. Geleneksel yaklaşıma dayalı bulgular teorik beklentilerin aksine Türk hisse senedi piyasasında risk ile getiri arasında negatif ve istatistiki olarak anlamlı olmayan bir ilişki olduğu sonucuna işaret etmektedir. Alternatif yaklaşıma dayalı bulgular ise risk ile getiri arasında teorik beklentilerle uyumlu bir ilişki olduğunu göstermektedir. Bulgular ayrıca aşırı tepki hipotezinin Türk hisse senedi piyasaları için geçerli olmadığı sonucuna işaret etmektedir. Bu bulgu da Türk hisse senedi piyasalarında uygulanabilecek yatırım stratejileri konusunda önemli bilgiler içermektedir.
Anahtar Kelimeler:

Hisse senedi piyasaları, Risk, Getiri, Aşırı tepki hipotezi

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Finans Ekonomi ve Sosyal Araştırmalar Dergisi-Cover
  • Yayın Aralığı: Yılda 4 Sayı
  • Başlangıç: 2016
  • Yayıncı: Ferudun KAYA
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