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Bu çalışmada, Şubat 2010- Eylül 2017 dönemi için Borsa İstanbul (BIST) 30 endeksinde işlem gören payların aylık getirilerinin makroekonomik göstergelere karşı duyarlılığı Arbitraj Fiyatlama Modeli aracılığıyla incelenmiştir. Arbitraj Fiyatlama Modeli, bir finansal varlık yatırımı getirisinin birden çok faktöre dayandığını varsaymaktadır. Analiz dönemi itibarıyla BIST 30 endeksi dâhilinde devamlı olarak bulunan 28 şirketin pay getirileri ve 8 adet temel makroekonomik gösterge kullanılmıştır. Modelde kullanılan pay getirileri ve makroekonomik göstergeler için önce durağanlık testleri yapılmış ardından her bir pay getirisi için ayrı regresyon denklemleri Backward Elimination yöntemi kullanılarak tahminlenmiş, en iyi sonucu veren modeller belirlenmiştir. Sonuç olarak, Borsa İstanbul pay getirilerinin hem ulusal hem uluslararası ekonomik ve siyasi faktörlere bağlı olarak farklı derecelerde ve farklı yönlerde etkiye sahip olduğu anlaşılmıştır. Arbitraj Fiyatlama Modeli'nin, Borsa İstanbul’da pay getirilerini etkileyen makroekonomik göstergelerin belirlenmesi sürecinde kullanılabileceğini söylemek olanaklıdır. Yatırımcıların, başta enflasyon oranı ve bir dönem önceki getiriler olmak üzere makroekonomik faktörleri dikkate alarak yatırım kararlarını verebilecekleri söylenebilir.
In this study, the sensitivity of the monthly returns of the shares that have been continuously traded on the Borsa Istanbul (BIST) 30 index for the period of February 2010 - September 2017 to the macroeconomic indicators were analyzed by using the Arbitrage Pricing Model. The Arbitration Pricing Model assumes that the return on a financial asset investment is based on multiple factors. As a result of the analysis period, the share returns of the 28 companies included in the BIST 30 index and 8 basic macroeconomic indicators were used. After examining the stationarity tests, the regression equations for each share return were estimated by using the Backward Elimination method, and the best-performing models were determined. As a result, it is understood that Borsa Istanbul share returns have different effects in different degrees and in different directions depending on both national and international economic and political factors. The Arbitration Pricing Model can be used in the process of determining the macroeconomic indicators that affect the share returns in Borsa Istanbul. It can be said that investors can make investment decisions by taking into account the macroeconomic factors, especially the inflation rate and the previous returns.
In this study, the sensitivity of the monthly returns of the shares that have been continuously traded on the Borsa Istanbul (BIST) 30 index for the period of February 2010 - September 2017 to the macroeconomic indicators were analyzed by using the Arbitrage Pricing Model. The Arbitrage Pricing Model assumes that the return on a financial asset investment is based on multiple factors. As a result of the analysis period, the share returns of the 28 companies included in the BIST 30 index and 8 basic macroeconomic indicators were used. After examining the stationarity tests, the regression equations for each share return were estimated by using the Backward Elimination method, and the best-performing models were determined. As a result, it is understood that Borsa İstanbul share returns have different effects in different degrees and in different directions depending on both national and international economic and political factors. The Arbitrage Pricing Model can be used in the process of determining the macroeconomic indicators that affect the share returns in Borsa Istanbul. It can be said that investors can make investment decisions by taking into consideration the macroeconomic factors, especially the inflation rate and the previous returns.
Field : Sosyal, Beşeri ve İdari Bilimler
Journal Type : Uluslararası
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