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Finansal bağlantılılık kapsamında tesis edilecek görece proaktif risk yönetim sistemlerinin kurulmasında, kullanılması uygun olabilecek faktörlerin tespit edilmesinin amaçlandığı çalışmada 2011:01 – 2018:12 dönemi için TCMB EVDS’den seçilen ayılık verilerle Borsa İstanbul mali sektör endeksi ve Borsa İstanbul ulusal endeksi getirilerinin çoklu doğrusal regresyon modeliyle açıklanabilirliği araştırılmıştır. Borsa İstanbul ulusal endeksi için kurulan modelin istatistiki olarak anlamlı olmadığı, Borsa İstanbul mali sektör endeksi için kurulan modelin ise istatistiki olarak anlamlı olmasına rağmen modelin açıklama gücünün düşük olduğu ve M2 haricinde diğer tüm değişkenlerin istatistiki olarak anlamsız görüldüğü tespit edilmiştir. Değişen varyans probleminin bulunma ihtimaline yönelik bulguların tespit edilmesiyle risk gözetim mekanizması tesis edilmeye çalışırken uygun olabilecek faktörlerin belirlenmesi için farklı modellerle çalışmanın daha uygun olacağı sonucuna ulaşılmıştır.
In the study, which aims to determine the factors that may be suitable for the establishment of relatively proactive risk management systems within the scope of financial connectivity, the explanoratory power of the Borsa Istanbul financial sector index returns and the Borsa Istanbul national index returns was investigated. Multiple linear regression models were established from the selected CBRT EDDS monthly data for the period 2011: 01 - 2018: 12 . It was found that the model established for the Stock Exchange Istanbul national index was not statistically significant, although the model established for the Stock Exchange Istanbul financial sector index was statistically significant, the explanatory power of the model was low and all other variables except M2 were considered statistically insignificant. It was concluded that it would be more appropriate to work with different models in order to determine the factors that may be appropriate when trying to establish a risk surveillance mechanism by identifying the findings regarding the possibility of changing variance problem.
In the study, which aims to determine the factors that may be suitable for the establishment of relatively proactive risk management systems within the scope of financial connectivity, the explanoratory power of the Borsa Istanbul financial sector index returns and the Borsa Istanbul national index returns was investigated. Multiple linear regression models were established from the selected CBRT EDDS monthly data for the period 2011: 01 - 2018: 12 . It was found that the model established for Borsa Istanbul national index was not statistically significant, although the model established for Borsa Istanbul financial sector index was statistically significant, the explanatory power of the model was low and all other variables except M2 were considered statistically insignificant. It was concluded that it would be more appropriate to work with different models in order to determine the factors that may be appropriate when trying to establish a risk surveillance mechanism by identifying the findings regarding the possibility of changing variance problem.
Field : Eğitim Bilimleri; Filoloji; Güzel Sanatlar; Hukuk; İlahiyat; Sosyal, Beşeri ve İdari Bilimler; Spor Bilimleri
Journal Type : Uluslararası
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