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İktisadi krizlerin ve takvimsel faktörlerin bireysel hisse senetlerinin getirisi ve volatilitesi üzerindeki etkileri

Listed author(s):
  • Cüneyt AKAR

    (Balıkesir Üniversitesi)

Registered author(s):

    Bu çalışmanın temel amacı takvimsel faktörlerin, iktisadi krizlerin ve bilgi akışının İstanbul Menkul Kıymetler Borsası IMKB100 içinde yer alan bireysel hisse senetlerinin günlük getirisi ve getiri volatilitesi üzerindeki etkilerini araştırmaktır. Çalışmada GARCH sınıfı modeller kullanılmıştır. Her bir hisse senedi için uygun model en genel EGARCH-M modelinden sıra ile EGARCH, GARCH-M, GARCH modeline doğru gidilerek seçilmiştir. Ortalama getiri ve getiri volatilitesi yanında krizler ve takvimsel faktörleri karşısında ortalama getiri ve getiri volatilitesi davranışının hisseden hisseye önemli farklılıklar gösterdiği gözlenmiştir. Keza bilgi akışının bireysel senetlerin volatilitesi üzerinde anlamlı bir etkiye sahip olduğu saptanmıştır. Gerek krizlerin ve gerekse takvimsel faktörlerin etkilerinin sektörlere göre de farklı belirlenmiştir.

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    Article provided by Bilgesel Yayincilik in its journal İktisat İşletme ve Finans.

    Volume (Year): 22 (2007)
    Issue (Month): 253 ()
    Pages: 115-132

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    Handle: RePEc:iif:iifjrn:v:22:y:2007:i:253:p:115-132
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