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Uluslararasý Portföy Yönetiminde Rejim Geçiþken Karar Destek Modelleri: Geliþmekte Olan Menkul Kýymet Piyasalarý Üzerine Bir Uygulama

Author

Listed:
  • Kadir Tuna

    (Ýstanbul Üniversitesi, Ýktisat Fakültesi, Ýstanbul)

  • Mehmet Tuna

    (Hazine Bölümü, Türkiye Ýþ Bankasý A.Þ., Ankara)

  • Alper Ozun

    (Bradford University, School of Management, Ýngiltere)

Abstract

Bu makale, portföy yatýrýmlarýnda bir karar destek sistemi olarak rejim geçiþken modellerin ne þekilde kullanýlabileceðini geliþmekte olan hisse senedi piyasalarýna ait zaman serilerini ve Gauss yazýlým programýný kullanarak incelemektedir. Yönetim biliþim sistemlerinde, model riskinin minimize edilmesi, karar destek siteminin uygulanacaðý problemin net olarak tanýmlanmasý ve bu problemin çözümünde kullanýlacak modelin doðru seçilmesi ile mümkündür. Ekonometrik testlerin sonuçlarý, Ukrayna hariç, geliþmekte olan ekonomilerde hisse senetleri piyasalarýnda 09/01/2004 - 13/09/2007 tarihleri arasýnda, ABD hisse senedi piyasalarý ile karþýlaþtýrýldýðýnda kalýcý bir volatilitenin gözlemlendiðini ortaya koymaktadýr. Bu kapsamda, Türkiye, Rusya, Ukrayna, Brezilya,Lübnan, ABD (Dow Jones Industrial Average) ve MSCI (Morgan Stanley Composite Index) hisse senedi piyasalarýnda rejim geçiþkenliði ekonometrik olarak karþýlaþtýrmalý incelenmiþtir.

Suggested Citation

  • Kadir Tuna & Mehmet Tuna & Alper Ozun, 2014. "Uluslararasý Portföy Yönetiminde Rejim Geçiþken Karar Destek Modelleri: Geliþmekte Olan Menkul Kýymet Piyasalarý Üzerine Bir Uygulama," Isletme ve Iktisat Calismalari Dergisi, Econjournals, vol. 2(2), pages 27-43.
    • Handle: RePEc:eco:journ4:2014-02-01
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    More about this item

    Keywords

    Rejim Geçiþken Karar Destek Sistemleri; Markov Zincirleri; Geliþmekte Olan Piyasalar;
    All these keywords.

    JEL classification:

    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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