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Düşük Fiyat Anomalisinin Hisse Senetlerinin Risk-Getiri Performanslarına Etkisi: Borsa İstanbul Örneği

Bu çalışmada, Borsa İstanbul’da düşük fiyat etkisinin varlığı araştırılmıştır. Borsa İstanbul’da işlem gören 283 hisse 01.01.2011-01.01.2018 döneminde ele alınmıştır. Çalışmada, risk koşullu oynaklık modellerinden, GARCH (1,1), EGARCH (1,1), gjr-GARCH (1,1), APARCH (1,1) kullanılarak ele alınmış ve hisse fiyatları ile riske göre ayarlanmış getiriler arası ilişkiler istatistiksel olarak test edilmiştir. Çalışmanın bulgularına göre, fiyatı [10,20) aralığında olan yüksek fiyatlı olarak sınıflandırılan hisselerin riske göre ayarlanmış getirilerinin düşük fiyatlı ve çok yüksek fiyatlı hisselere göre daha iyi performans sergiledikleri sonucuna varılmıştır. Fakat, Borsa İstanbul’da düşük fiyat etkisinin varlığı saptanamamıştır. Bu çalışma literature birkaç yönden katkıda bulunmaktadır. İlk olarak, yazarların bilgisi dahilinde, Borsa İstanbul üzerine yapılan çalışmalarda düşük fiyat etkisi, riske göre ayarlanmış getiriler üzerinden araştırılmamıştır. Bu bağlamda, çalışma literaturdeki bu açığı kapatmayı amaçlamaktadır. İkinci olarak, çalışmada düşük ve yüksek sayıda hisse içeren portföyler oldukça kapsamlı bir simülasyon çalışması ile karşılaştırılmıştır. Son olarak, düşük fiyat etkisinin daha iyi gözlemlenebilmesi için oynaklıklar koşullu oynaklık modelleri ile simülasyonlarda eşanlı şekilde modellenmiştir.

Anahtar Kelimeler:

Borsa İstanbul, Düşük Fiyat Etkisi, GARCH, EGARCH, APARCH, GJRGARCH

Impact of Low Price Effect on Risk-Return Performances of Stocks: Evidence from Istanbul Stock Exchange

In this study, the existence of low price effect in Istanbul Stock Exchange is investigated. We consider 283 stocks traded in Istanbul Stock Exchange for the period between January 01, 2011 and January 01, 2018. In this study, the associated risk is modeled by using conditional volatility models, namely GARCH (1,1), EGARCH (1,1), gjr-GARCH (1,1), APARCH (1,1) and the relations between stock prices and the risk adjusted returns are statistically tested. The findings show that the risk adjusted returns of high priced stocks, namely stocks whose price bands are [10, 20) are higher than that of both low priced and very high priced stocks. In other words, there exists an impact of price levels to the risk adjusted returns. However, the low price effect does not exist in Istanbul Stock Exchange in terms of risk adjusted returns. The study contributes the literature in several ways. First, to the best of authors’ knowledge the current literature on Istanbul Stock Exchange lacks empirical evidence for the low price effect in terms of risk adjusted returns. In this context, this study fills the gap in the literature. Second, in this study the portfolios with few and large number of stocks are compared with a comprehensive simulation study. Finally, conditional variance for each portfolio are modelled simultaneously in order to better capture the impact of low price effect.

Keywords:

Istanbul Stock Exchange, Low price effect, GARCH, EGARCH, GJR-GARCH, APARCH,

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