Gözde ALTISOY, Işıl EROL, S. Kasırga YILDIRAK

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Time-varying beta risk of Turkish real estate investment trusts

Bu makalede, Türkiye'de halka arz edilen gayrimenkul şirketlerinin (GYO'ların) sistematik riskinin -beta katsayısının- zamanla nasıl değiştiği son yedi yıla ait günlük ve haftalık veriler kullanılarak ampirik olarak test edilmiştir. Çalışmanın örneklem periyodunda Türkiye reel GSYÎH'daki büyüme oranında önemli bir yapısal kırılma gözlenmiştir. Şubat 2001 fınansal krizininin uzun süren etkileri sonunda reel GSYÎH'daki büyüme 2002-2005 yılları arasında kademeli olarak artmış, Aralık 2005-Haziran 2009 arasında ise büyüme hızlı bir şekilde düşmüştür. Makalede, Diagonal BEKK M-GARCH modeli, Schwert-Seguin (1990) modeli ve rassal yürüyüş serilerine dayalı Kalman Filtresi modeli kullanılarak, gayrimenkul sektörü beta katsayısının zamanla nasıl bir değişim gösterdiği analiz edilmiştir. Çalışmanın sonuçlanna göre, Türk GYO sektörü beta katsayısı örneklem periyodu süresince azalmaktadır. Bu sonuç, diğer gelişmekte olan ülkelerin ve gelişmiş ülkelerin GYO sektörleri için elde edilen sonuçlarla benzerlik göstermektedir. Reel GSYÎH'daki yüksek büyüme hızı ve düşük büyüme hızı dönemlerinde, GYO beta katsayısının farklı bir davranış izleyip izlemediğini anlamak amacıyla iki farklı alt örneklem dönemi tanımlanmış ve her dönem için beta katsayıları tahmin edilmiştir. Dönemler arası beta katsayısında gözlemlenen değişimler reel GSYÎH'daki büyüme hızı değişimlerine parallel olarak incelenmiş ve yorumlanmıştır. Elde edilen analiz sonuçlanna göre, reel GSYÎH'daki büyüme hızının yüksek olduğu dönemlerde GYO sektörü getirileri hisse senedi piyasası getirilerini daha yakından takip etmektedir. Diğer bir deyişle, Türk GYO sektörü beta katsayısı son yedi yılın verileri gözönüne alındığında asimetrik bir davranış sergilememektedir.

Gayrimenkul yatırım ortakları'nın değişken beta katsayısı

This paper provides empirical evidence on the time varying behavior of beta for the publicly traded real estate companies (REITs) in Turkey using the last seven years of both weekly and daily data. In our sample period, Turkey’s GDP growth rate has experienced a trend break. After the long lasting financial crisis of 2001, real GDP growth rate has increased gradually from 2002 to 2005, but it has subsequently decreased sharply until June 2009. We use the Diagonal BEKK covariance specification of the M-GARCH model (Engle and Kroner, 1995), the Schwert and Seguin (1990) model and the Kalman Filter algorithm with random walk parameterization in an attempt to evaluate time-varying behavior of REIT industry beta. We find that similar to the other emerging and developed REIT markets Turkish REITs have a declining beta over the sample period. In order to investigate if REIT betas exhibit a diverse behavior under high and low economic growth periods, we determine two sub-periods and examine the change in average beta values in line with the GDP growth rate. Our empirical results suggest that REIT returns more closely track stock market in high-growth economic states. Hence, this article provides no evidence on the asymmetric time-varying behavior of REIT betas.
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ODTÜ Gelişme Dergisi-Cover
  • ISSN: 1010-9935
  • Yayın Aralığı: Yılda 3 Sayı
  • Başlangıç: 2018
  • Yayıncı: ODTÜ İİBF
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Time-varying beta risk of Turkish real estate investment trusts

Gözde ALTISOY, Işıl EROL, S. Kasırga YILDIRAK