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Markowitz (1952) çalışması iyi bir risk yönetiminde, finansal yatırım araçları arasındaki korelasyonların dikkate alınmasına işaret etmiş ve yatırımcıların seçimlerinde korelasyonların önemini vurgulamıştır. Zaman içinde ise bu olgu genel kabul görmüştür. Birçok araştırmacı ve yatırımcı için risk yönetimi korelasyonlar ile özdeşleşmiştir. Son yıllarda, finansal ürünler arasındaki çapraz korelasyonların saptanması için finansal ağlar önem kazanmıştır. Çalışmada, bu yöntemlerden Minimum Yayılan Ağaç (MST) dikkate alınarak, Borsa İstanbul’da işlem gören hisse senetleri arasındaki kısa dönem çapraz korelasyonların incelenmesi amaçlanmıştır. Bu amaçla, BIST100 endeksine dahil 94 hisse senedi dikkate alınmış ve Ocak 2018 ve Haziran 2018 dönemine ait günlük hisse senedi fiyat verisi kullanılmıştır. Bu ağaçtan yola çıkarak, hisse senetlerinin ağaç üzerinde konumlarının portföy performanslarına etkisi simülasyonlar yardımı ile araştırılmıştır. Çalışmanın bulgularına göre, büyük hisse senedi kümelerinin merkezi hisselerinin, THYAO, BIMAS, CEMAS, IEYHO, FLAP ve AYEN kodlu hisseler olduğu ve bu hisselerin kendi kümelerindeki diğer hisseler üzerinde güçlü etkiye sahip oldukları gözlemlenmiştir. Ayrıca portföylerin ağaç üzerindeki konumlarının performanslarında etkin olduğu gözlemlenerek aynı uç dallara ait bağlantısız kümelerden oluşturulan portföylerinde performanslarının diğer portföylere göre daha iyi olduğu sonucuna ulaşılmıştır.
Markowitz’s (1952) study in good risk management pointed to the consideration of the correlations between financial investment instruments and emphasized the importance of the correlations in investors’ choices. Over time, this fact has been generally accepted. For many researchers and investors, risk management has been identified with correlations. In recent years, financial networks have gained importance to identify cross-country correlations between financial products. In the study, taking into account the Minimum Distributed Tree (MST) of these methods, the aim of the study of the short-term cross-relations between the shares traded in the Stock Exchange in Istanbul. For this purpose, 94 shares included in the BIST100 index were taken into account and daily shares price data for January 2018 and June 2018 were used. Starting from this tree, the impact of the stocks’ positions on the tree on portfolio performance was studied with the help of simulations. According to the findings of the study, the central shares of large stock assets were THYAO, BIMAS, CEMAS, IEYHO, FLAP and AYEN coded shares and these shares had a strong impact on other shares in their own assets. The portfolios were also observed that their positions on the tree were effective in their performance, and the conclusion was that their portfolios created from unconnected sets of the same ends were better than other portfolios.
The pioneering work of Markowitz (1952) emphasized the importance of correlations between financial assets in risk management and investor preferences. Over time, this phenomenon was generally accepted. Today, for researchers and investors, risk management is associated with correlations. In recent years, in order to determine cross-correlations between financial products the importance of financial networks are increased. In this study, it is aimed to investigate the short term cross-correlations between the stocks traded on Borsa Istanbul, by using Minimum Spanning Tree (MST) methodology. For this purpose, 94 stocks of XU100 index are included into the analysis and daily stock price data from January 2018 to June 2018 period are used. Using the constructed tree, the effects of stocks’ positions on the portfolio performances are investigated with the help of simulation study. Findings show that the central stocks of the large stock clusters are coded with THYAO, BIMAS, CEMAS, IEYHO, FLAP and AYEN and these stocks have a strong effect on the other stocks in their clusters. In addition, it is concluded that stock positions are effective in portfolio performances and it is concluded that portfolio performances are better for the portfolios which contain the stocks of unconnected clusters in the same end branches.
Field : Sosyal, Beşeri ve İdari Bilimler
Journal Type : Uluslararası
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