Testing the interdependence of Borsa Istanbul sector indices

Yıl 2019, Sayı: 53, 246 - 260, 30.06.2019

Sinem Eyüboğlu , Kemal Eyüboğlu

https://doi.org/10.18070/erciyesiibd.345786

Cited By: 3

Öz

Portfolio diversification is often used by individual and institutional investors to achieve optimal results under various economic conditions. Portfolio diversification is frequently used by individual and institutional investors to achieve optimal results under various economic conditions. If assets in a portfolio have different responses to current market conditions, the investor may have an opportunity to minimize the risk. One way to minimize portfolio risk is to allocate investments to some non-interrelated sector indices based on a specific market condition on the local stock exchange. In this study, the relationship between financial, industrial, services and technology indices in Borsa Istanbul are examined by using the Johansen cointegration test considering the daily and weekly data for the period 02.01.2014-14.05.2017. As a result of the study, no cointegration relationship is found between indices. In addition, no causal relationship is found determined the indices as a result of Granger causality test. These results show that especially domestic investors can make sectorial diversification in the stock market.

Anahtar Kelimeler

Borsa Istanbul, Portfolio Diversification, ohansen Cointegration, Granger Causality Test

Borsa İstanbul sektör endekslerinin karşılıklı bağımlılıklarının test edilmesi

Öz

Portföy çeşitlendirmesi, bireysel ve kurumsal yatırımcılar tarafından, çeşitli ekonomik koşullar altında optimal sonuçlar elde etmek için sıklıkla kullanılır. Bir portföydeki varlıklar mevcut piyasa koşullarına göre farklı tepkilere sahipse, yatırımcının riski en aza indirgemek için bir fırsatı olabilir. Bu çalışmada 02.01.2014-14.05.2017 dönemi için günlük ve haftalık veriler dikkate alınarak Borsa İstanbul’da yer alan mali, sınai, hizmetler ve teknoloji endeksleri arasındaki ilişkiler Johansen eşbütünleşme testi ile araştırılmıştır. Çalışma sonucunda endeksler arasında herhangi bir eşbütünleşme ilişkisine rastlanılmamıştır. Ayrıca yapılan Granger nedensellik testi sonucunda endeksler arasında herhangi bir nedensellik ilişkisi de tespit edilememiştir. Elde edilen bu sonuçlar özellikle de yerli yatırımcıların borsa içerisinde sektörel açıdan çeşitlendirme yapabileceklerini ortaya koymaktadır.

Anahtar Kelimeler

Borsa İstanbul, Portföy Çeşitlendirmesi, Johansen Eşbütünleşme Testi, Granger Nedensellik Testi

Kaynakça

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