Abstract
Markowitz stated that as much as their numbers, the direction and strength of the relationship between the securities included in the portfolio are also important in reducing the risk. In a diversification made by considering a negative correlation among assets, the risk of the portfolio may be less than the risk of the securities constituting the portfolio. In fact, the elimination of risk can be theoretically possible. In this study, the possibility to reduction of risk in a diversification made in the basic modern portfolio theory has been tested by using monthly closing data for 2013 of the sector indices and stocks in the Istanbul Stock Exchange (BIST). In addition, it was aimed to determine the need for further investment in which two indices in the sector indices of BIST. In this context, it was examined whether investing in stocks located in different sectors by taking into account the negative correlation have had an impact on investment profitability or not. Furthermore, coefficient of variation and Sharpe ratio was used to be able to compare the performance of the established portfolio. Although the performance of the Portfolio4, Portfolio8 and Portfolio12 which are determined as the optimal portfolios have been found negative according to Sharpe ratio; Portföy12 that is diversified both sectors together have had the highest performance. According to the coefficient of variation, whilst Portfolio 4 (Variation rate: 3,806494) that is generated with investment trusts index stocks had offered the highest performance, the performance of portfolio 12 was located in the second row with the coefficient of variation rate of 4.398203. Portfolio 8 that is generated with the food index stocks has been the worst-performing portfolio according to both the coefficient of variation and Sharpe ratio. As a result, it has been shown that portfolio risk can be reduced to a reasonable level by diversifying the stocks in the portfolio with stocks that have negative correlation relationship.
Abstract
Bu çalışmada, hisse senetleri arasındaki negatif korelasyon ilişkisini dikkate alarak yapılan çeşitlendirme ile sistematik olmayan riskin azaltılabilirliği test edilmiştir. Ayrıca Borsa İstanbul’da (BİST) yer alan sektör endekslerinden hangi iki endekse yatırım yapılması gerektiğinin belirlenmesi adına da önemlidir. Çalışma, Borsa İstanbul’da yer alan sektör endekslerinin ve hisse senetlerinin 2013 yılı aylık kapanış verileri kullanılarak analizi gerçekleştirilmiştir. Çalışmanın uygulama kısmı, iki aşamadan oluşmuştur. İlk aşamada Borsa İstanbul’da yer alan sektör endeksleri arasındaki korelasyon ilişkileri incelenmiş, ikinci aşamada ise farklı sektörlerde yer alan hisse senetlerine negatif korelasyon ilişkisini dikkate alarak yatırım yapmanın yatırım karlılığına etkisi olup olmadığı incelenmiştir. Oluşturulan portföylerin performanslarını karşılaştırabilmek için değişim katsayısı ve Sharpe Oranı kullanılmıştır. Çalışma sonucunda, portföyünde yer alan hisse senetlerini negatif korelasyon ilişkisi bulunan hisse senetleri ile çeşitlendirilerek portföy riskinin makul seviyelerde düşürebildiği görülmüştür.
Details
| Primary Language | Turkish |
|---|---|
| Journal Section | Research Articles |
| Authors | |
| Publication Date | January 11, 2016 |
| Submission Date | August 10, 2015 |
| Published in Issue | Year 2015 Volume: 1 Issue: 13 |
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.