IS CAPITAL ASSETS PRICING MODEL ADEQUATE FOR THE MODELING AND FORECAST OF THE FIRMS DATA IN THE TRANSPORTATION SECTOR IN BIST?

Year 2020, Volume: 18 Issue: 4, 54 - 72, 31.12.2020

Serdar Neslihanoğlu , Taner Aksoy

https://doi.org/10.11611/yead.730480

Cited By: 1

Abstract

As a result of globalization and digitalization, the interaction between the global financial markets increases rapidly. Accordingly, the importance of conducting the market risks modeling and forecast for the researchers and investors also increases. For this purpose, comparison of the performances of the Linear Market Model (LMM) that enables the market risk parameter being stationary beta and that is consistent with the Capital Assets Pricing Model (CAPM) and the Time-varying LMM (Tv-LMM) that enables time-varying betas in market data modeling and 1 year forecast is focused on. In the research, the daily and weekly data of 5 transportation firm in Borsa İstanbul A.Ş. (BIST) for the last 5 years are used. The time-varying beta forecasts in Tv-LMM are separately modeled with GARCH, EGARCH, and GJRGARCH. As the result, it is clearly seen that Tv-LMM, compared to LMM, is superior in the stage of modeling of daily and weekly data and especially in prediction. 

Keywords

Beta Riski, GARCH-tipi Modeller, Sermaye Varlıkları Fiyatlandırma Modeli, Ulaştırma Sektörü, Zamana Bağlı Değişen Doğrusal Piyasa Modeli.

BİST’TEKİ ULAŞTIRMA SEKTÖRÜ FİRMALARININ VERİLERİNİN MODELLENMESİ VE GELECEK TAHMİNİ İÇİN DOĞRUSAL PİYASA MODELİ YETERLİ Mİ?

Abstract

Globalleşme ve dijitalleşmenin bir sonucu olarak küresel finansal piyasalar arasındaki etkileşim hızla artmaktadır. Bu durumda, araştırmacı ve yatırımcılar için piyasa risklerinin modellenmesi ve gelecek tahmininin en az hata ile yapılmasının önemi de artmaktadır. Bu amaç doğrultusunda, piyasa risk parametresi durağan beta’ya olanak sağlayan ve Sermaye Varlıkları Fiyatlandırma Modeli (SVFM) ile tutarlı Doğrusal Piyasa Modeli (DPM) ile zamana bağlı değişen betalara olanak sağlayan Zamana bağlı değişen DPM (Z-DPM)’nin piyasa verilerini modelleme ve gelecek 1 yıllık tahmini performanslarının karşılaştırılmasına odaklanılmıştır. Borsa İstanbul A.Ş. (BİST)’deki 5 ulaştırma firmasının son 5 yıllık günlük ve haftalık verileri araştırmada kullanılmıştır. Z-DPM’deki zamana bağlı değişen beta tahminleri GARCH, EGARCH ve GJRGARCH ile ayrı ayrı modellenmiştir. Sonuçta, Z-DPM’nin DPM’ye göre günlük ve haftalık verilerinin modellenmesi ve özellikle gelecek tahmini aşamasında üstün olduğu ve beta riskinin durağan olmadığı görülmüştür.

Keywords

Beta Riski, GARCH-tipi Modeller, Sermaye Varlıkları Fiyatlandırma Modeli, Ulaştırma Sektörü, Zamana Bağlı Değişen Doğrusal Piyasa Modeli

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