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Sistematik risk, hisse senetlerinin getirisini olumsuz yönde etkileyebilmektedir. Sistematik riskin tamamen ortadan kaldırılması mümkün değildir. Yatırımcılar portföyü çeşitlendirerek sistematik olmayan riski azaltmakta ve portföyün toplam riskini düşürebilmektedir. Bu nedenlerden dolayı, sistematik risk yatırım kararlarında oldukça önemlidir. Bu amaçla çalışmada sistematik riskin hisse senedi getirisi üzerindeki etkisinin incelenmesi amaçlanmıştır. Önceki çalışmalarda mali tablo verileri ile beta katsayısının kullanıldığı görülmektedir. Önceki çalışmalardan farklı olarak modelde hisse senedinin fiyatı, faiz oranı enflasyon oranı, döviz kuru, politik risk endeksi, piyasa risk değişkeni olarak BIST 100 endeksi modelde yer almaktadır. Borsa İstanbul imalat sanayi sektöründe faaliyet gösteren 174 şirketin 2009-2017 dönemi verileri kullanılmıştır. Uygulama da panel veri yöntemi ile analiz yapılmıştır. Analiz sonucunda hisse senetlerinin getirisinin sistematik riskten etkilendiği tespit edilmiştir.
Systematic risk can negatively affect the return of the shares. The systemic risk cannot be completely eliminated. Investors can diversify their portfolio to reduce unsystemic risks and reduce the portfolio’s total risk. For this reason, systematic risk is very important in investment decisions. This study is aimed at examining the impact of systematic risk on the return of stock. In previous studies, it was shown that financial tables and beta ratio data were used. Unlike previous studies, the model includes the stock price, interest rate inflation rate, exchange rate, political risk index, market risk variable, BIST 100 index. The data for the period 2009-2017 of 174 companies operating in the manufacturing industry of Borsa Istanbul have been used. The application is also analyzed by panel data method. The analysis found that the return of the stock exchanges was affected by a systematic risk.
Systematic risk affects adversely the returns of stocks. It is not possible to eliminate all of systematic risk. Investors want to reduce the non-systemic risk by diversifying the portfolio, thus reducing the total portfolio risk. For this reason, systematic risk is very important in investment decisions. The aim of this study is to examine the effect of systematic risk on stock return. They are seen that the financial table data and beta coefficient of the companies are frequently used in the previous literature. Unlike previous studies, the model has got BIST 100 index variables as model price, interest rate inflation rate, exchange rate, political risk index, market risk variable. 2009-2017 period data of the 174 companies operating in the Borsa İstanbul manufacturing industry sector were used in analysis. In the implementation is used of the method of the panel data. As a result of the analysis, it was determined that the return of the stocks was affected by the systematic risk.
Field : Sosyal, Beşeri ve İdari Bilimler
Journal Type : Uluslararası
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