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Portföy Analizinde Beklenen Getiri Sorunu: Markov Getiriler ve Basit Getirilerin Karşılaştırılması

Yıl 2021, Cilt: 36 Sayı: 1, 81 - 95, 31.03.2021
https://doi.org/10.24988/ije.202136106

Öz

Ortalama varyans modeline göre optimal portföyler oluşturulurken yatırım araçlarının geçmiş değerlerinden yararlanarak hesaplanan birinci moment (getiri) ve ikinci moment (varyans) değerleri kullanılmaktadır. Amaç, belli bir getiri değerine bağlı olarak minimum riskli portföyler oluşturmak veya belli bir risk değerine bağlı olarak maksimum getiri elde etmektir. Fakat kullanılan risk ve beklenen getiri ölçütüne göre portföydeki hisse senetleri çeşitliliği ve hisse senedi ağırlıkları farklılık göstermektedir. Dolayısıyla doğru risk ve getiri ölçüsü kullanmak daha etkin portföyler oluşturmak için önemlidir. Bu çalışmada literatürde yaygın olarak kullanılan klasik getiri ölçüsü (geçmiş getirilerin beklenen değeri “Basit getiri”) ile Markov zincirleri modellerinden elde edilen getiriler karşılaştırılmış ve bu getirilerin portföy oluşturma üzerindeki etkileri incelenmiştir. Markov getirili modellerin basit getirili modellerden daha etkin portföyler oluşturduğu sonucuna ulaşılmıştır.

Kaynakça

  • Aksoy, A. G., ve Tanriöven, C. (2007). Sermaye Piyasası Yatırım Araçları Ve Analizi. Gazi Kitabevi.
  • Bailey, W., ve Chung, Y. P. (1995). Exchange Rate Fluctuations, Political Risk, and Stock Returns: Some Evidence From an Emerging Market. Journal of Financial and Quantitative Analysis, 30(4), 541-561.
  • Bali, T. G., Cakici, N., Yan, X., ve Zhang, Z. (2005). Does Idiosyncratic Risk Really Matter?. The Journal of Finance, 60(2), 905-929.
  • Barakat, M. R., Elgazzar, S. H., ve Hanafy, K. M. (2016). Impact of Macroeconomic Variables on Stock Markets: Evidence from Emerging Markets. International Journal of Economics and Finance, 8(1), 195-207.
  • Bae, K., Kang, H., ve Kang, J. (2020). Can Fat-Tail Create the Momentum and Reversal?. Applied Economics, 1-14.
  • Buser, S. A. (1977). Mean-Variance Portfolio Selection With Either a Singular or Nonsingular Variance-Covariance Matrix. Journal of Financial and Quantitative Analysis, 12(3), 347-361.
  • Cyert, R. M., ve Thompson, G. L. (1968). Selecting a Portfolio of Credit Risks by Markov Chains. the Journal of Business, 41(1), 39-46.
  • Demirtaş, Ö., ve Güngör, Z. (2004). Portföy Yönetimi ve Portföy Seçimine Yönelik Uygulama. Journal of Aeronautics and Space Technologies, 1(4), 103-109.
  • Dooley, M. P., ve Isard, P. (1980). Capital Controls, Political Risk, and Deviations from Interest-Rate Parity. Journal of Political Economy, 88(2), 370-384.
  • Doubleday, K. J., ve Esunge, J. N. (2011). Application of Markov Chains to Stock Trends. Journal of Mathematics and Statistics, 7(2), 103-106.
  • Eom, C., Kaızojı, T., ve Scalas, E. (2019). Fat Tails in Financial Return Distributions Revisited: Evidence from the Korean Stock Market. Physica A: Statistical Mechanics and Its Applications, 526, 121055.
  • Fabozzi, F. J., Kolm, P. N., Pachamanova, D. A., ve Focardi, S. M. (2007). Robust Portfolio Optimization and Management. John Wiley & Sons.
  • Fu, F. (2009). Idiosyncratic Risk and the Cross-Section of Expected Stock Returns. Journal of Financial Economics, 91(1), 24-37.
  • Glover, B., ve Levine, O. (2017). Idiosyncratic Risk and the Manager. Journal of Financial Economics, 126(2), 320-341.
  • Goyal, A., ve Santa‐Clara, P. (2003). Idiosyncratic Risk Matters!. The Journal of Finance, 58(3), 975-1007.
  • Gujarati, D. N., Porter, D. C., ve Gunasekar, S. (2012). Basic Econometrics. Tata Mcgraw-Hill Education.
  • Hamilton, J. D. (1994). Time Series Analysis (Vol. 2). Princeton: Princeton University Press.
  • Head, G. L. (1967). An Alternative to Defining Risk as Uncertainty. Journal of Risk and Insurance, 205-214.
  • Huang, W., Liu, Q., Rhee, S. G., ve Zhang, L. (2010). Return Reversals, Idiosyncratic Risk, and Expected Returns. The Review of Financial Studies, 23(1), 147-168.
  • Ibrahim, M. (1999). Macroeconomic Variables and Stock Prices In Malaysia: an Empirical Analysis. Asian Economic Journal, 13(2), 219-231.
  • Kadir, T. U. N. A., Mehmet, T. U. R. K., ve Alper, O. Z. U. N. (2014). Uluslararası Portföy Yönetiminde Rejim Geçişken Karar Destek Modelleri: Gelişmekte Olan Menkul Kıymet Piyasaları Üzerine Bir Uygulama. İşletme ve İktisat Çalışmaları Dergisi, 2(2), 27-43.
  • Klaassen, P., ve Van Eeghen, I. (2009). Economic Capital: How It Works, and What Every Manager Needs to Know. Elsevier.
  • Kwon, C. S., ve Shin, T. S. (1999). Cointegration and Causality Between Macroeconomic Variables and Stock Market Returns. Global Finance Journal, 10(1), 71-81.
  • Lintner, John. (1965). “The Valuation of Risk Assets and The Selection of Risky Investments in Stock Portfolios and Capital Budgets.” Review of Economics and Statistics. 47:1, Pp. 13–37.
  • Liu, S. Y. W. S., Wang, S. Y., ve Qiu, W. 2. (2003). Mean-Variance-Skewness Model for Portfolio Selection with Transaction Costs. International Journal of Systems Science, 34(4), 255-262.
  • Markowitz, H. M. (1978). Portfolio Selection. J. Finance,1952,7,77-91.
  • Mcqueen, G., ve Thorley, S. (1991). Are Stock Returns Predictable? A Test Using Markov Chains. The Journal of Finance, 46(1), 239-263.
  • Mehr-Un-Nisa, M. N., ve Nishat, M. (2011). The Determinants of Stock Prices In Pakistan. Asian Economic and Financial Review, 1(4), 276-291.
  • Mishkin, F. (2007). Money, Banking and Financial Markets. New Horizons, Paris, France.
  • Mwaurah, I., Muturi, W., Ve Waititu, A. (2017). The Influence of Financial Risk on Stock Returns. International Journal of Scientific and Research Publications, 7(5), 418-430.
  • Rjoub, H., Civcir, I., ve Resatoglu, N. G. (2017). Micro And Macroeconomic Determinants of Stock Prices: The Case of Turkish Banking Sector. Romanian Journal of Economic Forecasting, 20(1), 150-166.
  • Sharpe, W. F. (1963). A Simplified Model for Portfolio Analysis. Management Science, 9(2), 277-293.
  • Singh, D. (2010). Causal Relationship Between Macro-Economic Variables and Stock Market: A Case Study For India. Pakistan Journal of Social Sciences (Pjss), 30(2).
  • Offıcer, R. R. (1972). The Distribution of Stock Returns. Journal of the American Statistical Association, 67(340), 807-812.
  • Williams, R. T. (2011). An Introduction to Trading in the Financial Markets: Technology: Systems, Data, and Networks. Academic Press.

Expected Returns Issue in Portfolio Analysis: A Comparison of Markov Chains’ Returns and Simple Returns

Yıl 2021, Cilt: 36 Sayı: 1, 81 - 95, 31.03.2021
https://doi.org/10.24988/ije.202136106

Öz

In mean-variance model, the first moment (mean) and the second moment (variance) of variables are used in the phase of portfolio selection. The aim is to select portfolio that has minimum variance depending on given expected return or to select portfolio that has maximum return depending on given risk. But, according to measurement of expected returns and variance used in portfolio, the weights of stocks and the performance of portfolio would differ from one measurement to another. So, using the correct measurement of expected return and variance is crucial for construction of efficient portfolios. In this article, the expected returns obtained from Markov chain models are compared with expected returns obtained from historical data, and the effects of these returns are investigated on portfolio selection. As a result, portfolio with expected returns of Markov chain model construct more efficient portfolios.

Kaynakça

  • Aksoy, A. G., ve Tanriöven, C. (2007). Sermaye Piyasası Yatırım Araçları Ve Analizi. Gazi Kitabevi.
  • Bailey, W., ve Chung, Y. P. (1995). Exchange Rate Fluctuations, Political Risk, and Stock Returns: Some Evidence From an Emerging Market. Journal of Financial and Quantitative Analysis, 30(4), 541-561.
  • Bali, T. G., Cakici, N., Yan, X., ve Zhang, Z. (2005). Does Idiosyncratic Risk Really Matter?. The Journal of Finance, 60(2), 905-929.
  • Barakat, M. R., Elgazzar, S. H., ve Hanafy, K. M. (2016). Impact of Macroeconomic Variables on Stock Markets: Evidence from Emerging Markets. International Journal of Economics and Finance, 8(1), 195-207.
  • Bae, K., Kang, H., ve Kang, J. (2020). Can Fat-Tail Create the Momentum and Reversal?. Applied Economics, 1-14.
  • Buser, S. A. (1977). Mean-Variance Portfolio Selection With Either a Singular or Nonsingular Variance-Covariance Matrix. Journal of Financial and Quantitative Analysis, 12(3), 347-361.
  • Cyert, R. M., ve Thompson, G. L. (1968). Selecting a Portfolio of Credit Risks by Markov Chains. the Journal of Business, 41(1), 39-46.
  • Demirtaş, Ö., ve Güngör, Z. (2004). Portföy Yönetimi ve Portföy Seçimine Yönelik Uygulama. Journal of Aeronautics and Space Technologies, 1(4), 103-109.
  • Dooley, M. P., ve Isard, P. (1980). Capital Controls, Political Risk, and Deviations from Interest-Rate Parity. Journal of Political Economy, 88(2), 370-384.
  • Doubleday, K. J., ve Esunge, J. N. (2011). Application of Markov Chains to Stock Trends. Journal of Mathematics and Statistics, 7(2), 103-106.
  • Eom, C., Kaızojı, T., ve Scalas, E. (2019). Fat Tails in Financial Return Distributions Revisited: Evidence from the Korean Stock Market. Physica A: Statistical Mechanics and Its Applications, 526, 121055.
  • Fabozzi, F. J., Kolm, P. N., Pachamanova, D. A., ve Focardi, S. M. (2007). Robust Portfolio Optimization and Management. John Wiley & Sons.
  • Fu, F. (2009). Idiosyncratic Risk and the Cross-Section of Expected Stock Returns. Journal of Financial Economics, 91(1), 24-37.
  • Glover, B., ve Levine, O. (2017). Idiosyncratic Risk and the Manager. Journal of Financial Economics, 126(2), 320-341.
  • Goyal, A., ve Santa‐Clara, P. (2003). Idiosyncratic Risk Matters!. The Journal of Finance, 58(3), 975-1007.
  • Gujarati, D. N., Porter, D. C., ve Gunasekar, S. (2012). Basic Econometrics. Tata Mcgraw-Hill Education.
  • Hamilton, J. D. (1994). Time Series Analysis (Vol. 2). Princeton: Princeton University Press.
  • Head, G. L. (1967). An Alternative to Defining Risk as Uncertainty. Journal of Risk and Insurance, 205-214.
  • Huang, W., Liu, Q., Rhee, S. G., ve Zhang, L. (2010). Return Reversals, Idiosyncratic Risk, and Expected Returns. The Review of Financial Studies, 23(1), 147-168.
  • Ibrahim, M. (1999). Macroeconomic Variables and Stock Prices In Malaysia: an Empirical Analysis. Asian Economic Journal, 13(2), 219-231.
  • Kadir, T. U. N. A., Mehmet, T. U. R. K., ve Alper, O. Z. U. N. (2014). Uluslararası Portföy Yönetiminde Rejim Geçişken Karar Destek Modelleri: Gelişmekte Olan Menkul Kıymet Piyasaları Üzerine Bir Uygulama. İşletme ve İktisat Çalışmaları Dergisi, 2(2), 27-43.
  • Klaassen, P., ve Van Eeghen, I. (2009). Economic Capital: How It Works, and What Every Manager Needs to Know. Elsevier.
  • Kwon, C. S., ve Shin, T. S. (1999). Cointegration and Causality Between Macroeconomic Variables and Stock Market Returns. Global Finance Journal, 10(1), 71-81.
  • Lintner, John. (1965). “The Valuation of Risk Assets and The Selection of Risky Investments in Stock Portfolios and Capital Budgets.” Review of Economics and Statistics. 47:1, Pp. 13–37.
  • Liu, S. Y. W. S., Wang, S. Y., ve Qiu, W. 2. (2003). Mean-Variance-Skewness Model for Portfolio Selection with Transaction Costs. International Journal of Systems Science, 34(4), 255-262.
  • Markowitz, H. M. (1978). Portfolio Selection. J. Finance,1952,7,77-91.
  • Mcqueen, G., ve Thorley, S. (1991). Are Stock Returns Predictable? A Test Using Markov Chains. The Journal of Finance, 46(1), 239-263.
  • Mehr-Un-Nisa, M. N., ve Nishat, M. (2011). The Determinants of Stock Prices In Pakistan. Asian Economic and Financial Review, 1(4), 276-291.
  • Mishkin, F. (2007). Money, Banking and Financial Markets. New Horizons, Paris, France.
  • Mwaurah, I., Muturi, W., Ve Waititu, A. (2017). The Influence of Financial Risk on Stock Returns. International Journal of Scientific and Research Publications, 7(5), 418-430.
  • Rjoub, H., Civcir, I., ve Resatoglu, N. G. (2017). Micro And Macroeconomic Determinants of Stock Prices: The Case of Turkish Banking Sector. Romanian Journal of Economic Forecasting, 20(1), 150-166.
  • Sharpe, W. F. (1963). A Simplified Model for Portfolio Analysis. Management Science, 9(2), 277-293.
  • Singh, D. (2010). Causal Relationship Between Macro-Economic Variables and Stock Market: A Case Study For India. Pakistan Journal of Social Sciences (Pjss), 30(2).
  • Offıcer, R. R. (1972). The Distribution of Stock Returns. Journal of the American Statistical Association, 67(340), 807-812.
  • Williams, R. T. (2011). An Introduction to Trading in the Financial Markets: Technology: Systems, Data, and Networks. Academic Press.
Toplam 35 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Ekonomi, İşletme
Bölüm Makaleler
Yazarlar

Salih Çam 0000-0002-3521-5728

Yayımlanma Tarihi 31 Mart 2021
Gönderilme Tarihi 13 Mart 2020
Kabul Tarihi 29 Temmuz 2021
Yayımlandığı Sayı Yıl 2021 Cilt: 36 Sayı: 1

Kaynak Göster

APA Çam, S. (2021). Portföy Analizinde Beklenen Getiri Sorunu: Markov Getiriler ve Basit Getirilerin Karşılaştırılması. İzmir İktisat Dergisi, 36(1), 81-95. https://doi.org/10.24988/ije.202136106

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İZMİR İKTİSAT DERGİSİ 2022 yılı 37. cilt 1. sayı ile birlikte sadece elektronik olarak yayınlanmaya başlamıştır.