Hisse senedi getirilerinin tahmini: İMKB 100 üzerine bir uygulama

Yatırım kararı yatırımın beklenen getirisi ile riskinin karşılaştırılması ile verilir. Yatırımın gelecekteki getirisinin ve/veya riskinin tahmin edilebilmesi ise verilecek kararın etkinliğini arttıracaktır. Risk veya getirinin tahmin edilmesi sürecinde eko- nometrik tahmin metodolojilerinin kullanılması finans yazınında sık başvurulan bir yöntemdir. Bu çalışmanın amacı, hisse senedi getirilerinin tahmin edilebilir olup olmadığını ortaya koymaktır. Konu Ocak 2009 – Aralık 2012 dönemleri arası İMKB 100 endeksinde işlem gören hisse senetlerinin getirileri dikkate alına rak incelenmiştir. Bu bağlamda öncelikle İMKB 100’ü oluşturan hisse senetlerinin sistematik risklerinin tahmin edilebilir olduğu ve dolayısıyla getirilerinin de tah- min edilebilir olması gerektiği bir dizi matematiksel çıkarsama ile ispat edilmiştir. Konu ile ilgili oluşturulan matematiksel çıkarsamaların doğruluğu ise Levin, Lin ve Chu (LLC) (2002) ve Im Pesaran ve Shin (IPS) (2003) panel birim kök metodolojisi kullanılarak test edilmiştir. Çalışmadan elde edilen sonuçlar hisse senedi getirilerinin tahmin edilebilir olduğunu ve dolayısıyla ortalamaya dönme sürecinin varlığını ortaya koymaktadır.

Estimation of the stock returns: An emprical analysis in Istanbul stock exchange

Investment decision contains the comprehension of expected return and the risk of the stocks. If the return and/or risk is expectable, the efficiency of the investment decision will increase. In the process of expectation, the econometric theory is widely used in finance literature. The aim of this study is to reveal if the return of the stocks are expectable. In this respect the topic is researched for the time spanning from January 2009 – December 2012. It is being utilized in the monthly stock returns of Istanbul Stock Exchange 100 (ISE 100) companies. Nevertheless, firstly it is being mathematically determined that the systematic risks so the returns of ISE 100 companies are expectable. Within the relevant mathematical assumptions Levin, Lin, Chu (2002) and Im, Pesaran, Shin (2003) panel unit root is employed to test if the stock returns are expectable. The results of the study indicate that stock returns are expectable and mean reverting.

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