Determining the Risk Profile of the XU30 Index: Case of Covid-19 Pandemic

Sinem Atıcı Ustalar; Cevdet Yolcu; Selim Şanlısoy

Makale detayları

Determining the Risk Profile of the XU30 Index: Case of Covid-19 Pandemic

Yazarlar:

Sinem Atıcı Ustalar | Cevdet Yolcu | Selim Şanlısoy

Yayıncı:

Çanakkale Onsekiz Mart University

Ana Başlıklar:

Zaman Serileri Analizi | Finansal Ekonomi

Dergi:

Yönetim Bilimleri Dergisi Vol.22 Issue 52, pp.576-596

Belge Tipi:

Makale

Yayın Tarihi:

3/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001313525

pISSN:

1304-5318

Anahtar kelimeler:

Özet:

 Global crises are periods when economic uncertainty is at its highest. High uncertainty during the crisis causes panic and fear in investors and leads to sudden fluctuations in the financial markets of all countries. For this reason, it is difficult and important for investors to predict the relationship between risk and return in portfolio investments in the global crisis environment. In this context, the aim of the study is to examine the risk profile of the stock portfolio created for a representative investor in the Covid-19 epidemic, which is accepted as a global crisis. In the study, the equity portfolio of the representative investor during the pandemic is created using the stocks in the XU30 index for the dates 11 March 2020- 9 April 2022. The risk profile of this portfolio is determined with the help of the Capital Asset Pricing Model. The model findings show that the representative investor is exposed to systematic risk in her investment in ENKAI, GUBRF and HEKTS equities in her portfolio during the pandemic process. However, the representative investor is exposed to unsystematic risk when investing in equities other than these stocks. In the related literature, the findings regarding the pre-crisis period show that the representative investor with a similar portfolio is faced with more systematic risk. From the model findings, it is seen that the representative investor is more exposed to unsystematic risk during the pandemic process. This shows that the risk profile of the XU30 portfolio has changed in the Covid-19 pandemic. In this context, it can be stated that the effect of firm-specific risks on the return is more important in the Turkish stock market during the pandemic process.

 Global crises are periods when economic uncertainty is at its highest. High uncertainty during the crisis causes panic and fear in investors and leads to sudden fluctuations in the financial markets of all countries. For this reason, it is difficult and important for investors to predict the relationship between risk and return in portfolio investments in the global crisis environment. In this context, the aim of the study is to examine the risk profile of the stock portfolio created for a representative investor in the Covid-19 epidemic, which is accepted as a global crisis. In the study, the equity portfolio of the representative investor during the pandemic is created using the stocks in the XU30 index for the dates 11 March 2020- 9 April 2022. The risk profile of this portfolio is determined with the help of the Capital Asset Pricing Model. The model findings show that the representative investor is exposed to systematic risk in her investment in ENKAI, GUBRF and HEKTS equities in her portfolio during the pandemic process. However, the representative investor is exposed to unsystematic risk when investing in equities other than these stocks. In the related literature, the findings regarding the pre-crisis period show that the representative investor with a similar portfolio is faced with more systematic risk. From the model findings, it is seen that the representative investor is more exposed to unsystematic risk during the pandemic process. This shows that the risk profile of the XU30 portfolio has changed in the Covid-19 pandemic. In this context, it can be stated that the effect of firm-specific risks on the return is more important in the Turkish stock market during the pandemic process.

 Global crises are periods when economic uncertainty is at its highest. High uncertainty during the crisis causes panic and fear in investors and leads to sudden fluctuations in the financial markets of all countries. For this reason, it is difficult and important for investors to predict the relationship between risk and return in portfolio investments in the global crisis environment. In this context, the aim of the study is to examine the risk profile of the stock portfolio created for a representative investor in the Covid-19 epidemic, which is accepted as a global crisis. In the study, the equity portfolio of the representative investor during the pandemic is created using the stocks in the XU30 index for the dates 11 March 2020- 9 April 2022. The risk profile of this portfolio is determined with the help of the Capital Asset Pricing Model. The model findings show that the representative investor is exposed to systematic risk in her investment in ENKAI, GUBRF and HEKTS equities in her portfolio during the pandemic process. However, the representative investor is exposed to unsystematic risk when investing in equities other than these stocks. In the related literature, the findings regarding the pre-crisis period show that the representative investor with a similar portfolio is faced with more systematic risk. From the model findings, it is seen that the representative investor is more exposed to unsystematic risk during the pandemic process. This shows that the risk profile of the XU30 portfolio has changed in the Covid-19 pandemic. In this context, it can be stated that the effect of firm-specific risks on the return is more important in the Turkish stock market during the pandemic process.

 Küresel krizler ekonomik belirsizliğin en yüksek olduğu dönemlerdir. Kriz sürecinde belirsizliğin yüksek olması yatırımcılarda paniğe ve korkuya neden olmakta ve tüm ülkelerin finansal piyasalarında ani dalgalanmalara yol açmaktadır. Bu nedenle küresel kriz ortamında portföy yatırımlarında risk ve getiri arasındaki ilişkiyi tahmin etmek yatırımcılar açısından zor ve önemlidir. Bu bağlamda çalışmanın amacı, küresel kriz olarak kabul gören Covid-19 salgınında temsili bir yatırımcı için oluşturulan hisse senedi portföyünün risk profilini incelemektir. Çalışmada temsili yatırımcının pandemi dönemindeki hisse senedi portföyü 11 Mart 2020- 9 Nisan 2022 tarihleri arasında BİST30 endeksinde yer alan hisse senetleri kullanılarak oluşturulmuştur. Bu portföyün risk profili Sermaye Varlıkları Fiyatlandırma Modeli yardımıyla belirlenmiştir. Model bulguları, temsili yatırımcının pandemi sürecinde portföyündeki ENKAI, GUBRF ve HEKTS hisselerine yaptığı yatırımda sistematik riske maruz kaldığını göstermektedir. Ancak temsili yatırımcı bu hisse senetleri dışındaki hisse senetlerine yatırım yaparken sistematik olmayan riske maruz kalmaktadır. İlgili literatürde kriz öncesine ilişkin bulgular, benzer portföye sahip temsili yatırımcının daha çok sistematik riskle karşı karşıya olduğunu göstermektedir. Model bulgularından temsili yatırımcının pandemi sürecinde sistematik olmayan riske daha fazla maruz kaldığı görülmektedir. Bu durum BİST30 portföyünün risk profilinin Covid-19 salgınında değiştiğini göstermektedir. Bu bağlamda Türkiye borsasında pandemi sürecinde firmaya özgü risklerin getiri üzerindeki etkisinin daha önemli olduğu ifade edilebilir.

Makale detayları

Determining the Risk Profile of the XU30 Index: Case of Covid-19 Pandemic

Yazarlar:

Sinem Atıcı Ustalar | Cevdet Yolcu | Selim Şanlısoy

Yayıncı:

Çanakkale Onsekiz Mart University

Ana Başlıklar:

Zaman Serileri Analizi | Finansal Ekonomi

Dergi:

Yönetim Bilimleri Dergisi Vol.22 Issue 52, pp.576-596

Belge Tipi:

Makale

Yayın Tarihi:

3/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001313525

pISSN:

1304-5318

Capital Asset Pricing Model

Risk Decomposition

Value at RiskSermaye Varlıkları Fiyatlama Modeli

Risk Ayrıştırma

Riske Maruz Değer

Sayı

Makale detayları

Determining the Risk Profile of the XU30 Index: Case of Covid-19 Pandemic

Yazarlar: Sinem Atıcı Ustalar | Cevdet Yolcu | Selim Şanlısoy

Yayıncı: Çanakkale Onsekiz Mart University

Ana Başlıklar: Zaman Serileri Analizi | Finansal Ekonomi

Dergi: Yönetim Bilimleri Dergisi Vol.22 Issue 52, pp.576-596

Belge Tipi: Makale

Yayın Tarihi: 3/2024

Belge Dili: Türkçe

Document ID (Org No.): 2001313525

pISSN: 1304-5318

Capital Asset Pricing Model

Risk Decomposition

Value at RiskSermaye Varlıkları Fiyatlama Modeli

Risk Ayrıştırma

Riske Maruz Değer

Sayı

Yazarlar:

Sinem Atıcı Ustalar | Cevdet Yolcu | Selim Şanlısoy

Yayıncı:

Çanakkale Onsekiz Mart University

Ana Başlıklar:

Zaman Serileri Analizi | Finansal Ekonomi

Dergi:

Yönetim Bilimleri Dergisi Vol.22 Issue 52, pp.576-596

Belge Tipi:

Makale

Yayın Tarihi:

3/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001313525

pISSN:

1304-5318