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Journals / Yönetim Dergisi:İstanbul Üniversitesi İşletme Fakültesi İşletme İktisadı Enstitüsü / 2008 / Cilt: 19 - Sayı: 59

Hisse Senedi Getirileri ve Değişkenlik: İMKB Üzerine Bir Çalışma

Stock Returns and Volatility: Some Evidence from Istanbul Stock Exchange

Serra SARIOĞLU EREN
Pages
60–67
DOI
—
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AI Summary & Key Takeaways

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

The results of this study do not provide any support for a relationship between stock returns and volatility in ISE.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This paper investigates the firm-level and portfolio-level relationships between stock market returns and their forecast volatilities in Istanbul Stock Exchange (ISE).
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Key Findings & Data:Expected volatility is derived from symmetric and asymmetric conditional volatility models: ARCH(p), GARCH(1,1), EGARCH(1,1) and GJR-GARCH(1,1).
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Conclusion & Impact:The results of this study do not provide any support for a relationship between stock returns and volatility in ISE.
🔬Design:Modeling & Simulation
📍Scope:2006 Verileri
⚙️Variables:Domain Parameters

Abstract

This paper investigates the firm-level and portfolio-level relationships between stock market returns and their forecast volatilities in Istanbul Stock Exchange (ISE). Expected volatility is derived from symmetric and asymmetric conditional volatility models: ARCH(p), GARCH(1,1), EGARCH(1,1) and GJR-GARCH(1,1). The out-of-sample forecasts are used as a proxy for monthly expected volatilities over the period of January 1991 to December 2006. Expected and unexpected volatilities are found to have a positive or negative effect in a few cases with low R2 values. The results of this study do not provide any support for a relationship between stock returns and volatility in ISE.

Özet

Bu çalışmada, hisse senedi getirileriyle bu getirilerin tahminî değişkenlikleri arasmdaki ilişki, İMKB Hisse Senetleri Piyasası için firma ve portföy düzeyinde araştırılmıştır. Beklenen değişkenlik değerleri, simetrik ve asimetrik koşullu değişkenlik modelleri olan ARCH(p), GARCH(1,1), EGARCH(1,1) ve GJR-GARCH(U) ile hesaplanmıştır. Ocak 1991 - Aralık 2006 dönemi için yapılan çalışmada, aylık beklenen değişkenlik değerleri örneklem-dışı tahmin değerlerinin bir göstergesi olarak kullanılmıştır. Beklenen ve beklenmeyen değişkenlikler ile getiriler arasmda pozitif veya negatif ilişkinin olduğu durum sayısı oldukça azdır ve R2 değerleri düşük düzeylerdedir. Bu çalışmanın sonuçlarına göre, İMKB'de getiri ve risk arasında anlamlı düzeyde bir ilişki bulunmamaktadır.

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Cite This Article

EREN, S. S. (2008). Hisse Senedi Getirileri ve Değişkenlik: İMKB Üzerine Bir Çalışma. Yönetim Dergisi:İstanbul Üniversitesi İşletme Fakültesi İşletme İktisadı Enstitüsü, Cilt: 19 - Sayı: 59, 60–67. https://ajindex.com/articles/338012

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