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Journals / Muhasebe ve Finansman Dergisi (. e-Muhasebe ve Finansman Dergisi) / 2006 / Sayı: 29

The Analysis of Linearity Between Risk and Return at the Istanbul Stock Exchange

Risk ile Getiri Arasındaki Doğrusallığın İMKB'de Analizi

Kürşat YALÇINER
Pages
182–189
DOI
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AI Summary & Key Takeaways

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

These results reveal that CAPM is not valid for the İstanbul Stock Exchange.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:In this study, the linearity of the relationship between the systematic risks of stocks and their returns has been investigated by using the weekly data of firms whose stocks are exchanged at the all Istanbul Stock Exchange between 2000-2004.
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Key Findings & Data:Pursuant to the results obtained, there is a positive relationship between the risks of stock and the rate of their returns.
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Conclusion & Impact:These results reveal that CAPM is not valid for the İstanbul Stock Exchange.
🔬Design:Research Article
📍Scope:2000-2004 Verileri
⚙️Variables:risk · risk

Abstract

In this study, the linearity of the relationship between the systematic risks of stocks and their returns has been investigated by using the weekly data of firms whose stocks are exchanged at the all Istanbul Stock Exchange between 2000-2004. Pursuant to the results obtained, there is a positive relationship between the risks of stock and the rate of their returns. There is no linear stock market line at the Istanbul Stock Exchange. Apart from systematic risk, the risk which is not systematic also has a significant explaining power on returns. These results reveal that CAPM is not valid for the İstanbul Stock Exchange.

Özet

Bu çalışmada 2000-2004 yılları arası İMKB Tüm Endeksinde işlem gören firmaların haftalık verileri kullanılarak hisse senetlerinin sistematik riskleri ile getirileri arasındaki ilişkinin doğrusallığı araştırılmıştır. Elde edilen sonuçlara göre, hisse senetlerinin riski ile getiri oranları arasında pozitif yönlü bir ilişki vardır. Fakat, menkul kıymet pazar doğrusu doğrusal değildir. Sistematik riskin yanı sıra sistematik olmayan riskte getiri üzerinde önemli bir açıklama gücüne sahiptir. Bu sonuçlar SVFM’nin İMKB’de geçerli olmadığını göstermektedir.

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Cite This Article

YALÇINER, K. (2006). The Analysis of Linearity Between Risk and Return at the Istanbul Stock Exchange. Muhasebe ve Finansman Dergisi (. e-Muhasebe ve Finansman Dergisi), Sayı: 29, 182–189. https://ajindex.com/articles/299789

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