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Journals / Uluslararası Ekonomi Siyaset İnsan ve Toplum Bilimleri Dergisi / 2026 / Cilt: 3 Sayı: 1

THE INFLUENCE OF STOCK MARKET RETURNS ON THE RATIO OF EQUITY IN MUTUAL FUNDS PORTFOLIO: CAUSALITY ANALYSIS

BORSA ENDEKS GETİRİSİNİN YATIRIM FONLARI PORTFÖYÜNDEKİ PAY SENEDİ ORANINA ETKİSİ: NEDENSELLİK ANALİZİ

Onur Oğuz(BATMAN ÜNİVERSİTESİ)0000-0001-5492-0038
Pages
24–35
Publication Date
2020-01-15
DOI
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

The findings indicate that there is no causal relationship between the movements in the stock market index and the share ratio in the portfolio distribution.

📌 3 Key Takeaways

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Objective & Hypothesis:Mutual funds which enable savers to evaluate their savings in the capital markets in a more professional way, are established on the basis of fiduciary property and for the operation of portfolios consisting of the assets specified in the regulation.
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Key Findings & Data:But they have been subdivided under the name of Umbrella Fund with the new communiqué published in 2013.
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Conclusion & Impact:The findings indicate that there is no causal relationship between the movements in the stock market index and the share ratio in the portfolio distribution.
🔬Design:Araştırma Makalesi
📍Scope:2013 Verileri
⚙️Variables:Yatırım Fonu · Borsa İstanbul · Portföy Çeşitlendirmesi

Abstract

Mutual funds which enable savers to evaluate their savings in the capital markets in a more professional way, are established on the basis of fiduciary property and for the operation of portfolios consisting of the assets specified in the regulation. In Turkey, funds used to be classified as type A and B based on the stock weight in their portfolios. But they have been subdivided under the name of Umbrella Fund with the new communiqué published in 2013. This study analyzes the causality relationship between the stock weight in the total portfolios of funds and the stock market index returns. The main objective is to examine whether the movements in the index have an effect on the portfolio allocation of funds within the symmetric and asymmetric causalities. The study includes 174 monthly data for the period of January 2005 - June 2019. The data set consists of the stock ratio of mutual funds portfolios and the logharitm of monthly average value of BIST-100 index. Symmetric and asymmetric causality tests were used as the analysis method. The findings indicate that there is no causal relationship between the movements in the stock market index and the share ratio in the portfolio distribution.

Özet

Tasarruf sahiplerinin birikimlerini daha profesyonel şekilde sermaye piyasalarında değerlendirmelerini sağlayan yatırım fonları, inançlı mülkiyet esasına göre ve tüzüğünde belirtilen varlıklardan oluşan portföylerin işletilmesi için kurulan, tüzel kişiliği olmayan mal varlıklarıdır. Daha önceden portföylerindeki hisse senedi ağırlığına bağlı olarak A ve B tipi şeklinde sınıflandırılan fonlar, 2013 yılında yayımlanan yeni tebliğle birlikte Şemsiye Fon adı altında altsınıflara ayrılmıştır. Bu çalışmada, yatırım fonlarının türüne bakılmaksızın, toplam portföylerindeki hisse senedi ağırlığı ile borsa endeksi arasındaki nedensellik ilişkisi incelenmektedir. Burada temel amaç, borsa endeksindeki hareketlerin, yatırım fonlarının portföy dağılımında etkisinin olup olmadığını, aralarındaki simetrik ve asimetrik nedensellik ilişkisi çerçevesinde incelemektir. Çalışma, Ocak 2005 - Haziran 2019 dönemine ait 174 aylık veriyi kapsamaktadır. Veri setini yatırım fonlarının portföylerindeki hisse senedi oranı ile BİST-100 endeksi aylık ortalama değerinden oluşan zaman serileri oluşturmaktadır. Analiz yöntemi olarak simetrik ve asimetrik nedensellik testleri uygulanmıştır. Elde edilen bulgular portföy dağılımındaki pay senedi oranında borsa endeksindeki hareketlerle nedensellik ilişkisi olmadığını ortaya koymaktadır.

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Cite This Article

Oğuz, O. (2020). THE INFLUENCE OF STOCK MARKET RETURNS ON THE RATIO OF EQUITY IN MUTUAL FUNDS PORTFOLIO: CAUSALITY ANALYSIS. Uluslararası Ekonomi Siyaset İnsan ve Toplum Bilimleri Dergisi, Cilt: 3 Sayı: 1, 24–35. https://ajindex.com/articles/1567596

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