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İhmal Edilmiş, Normal ve Popüler Pay Senetlerinin Performanslarının Göreli Değerlendirilmesi: Borsa İstanbul’da Bir Uygulama

An Evaluation thePerformanceof Neglected, Normal and Popular Stocks: An Application in IstanbulStock Exchange

Journal Name:

  • Ordu Üniversitesi Sosyal Bilimler Araştırmaları Dergisi

Publication Year:

  • 2016

Key Words:

Keywords (Original Language):

Author NameUniversity of AuthorFaculty of Author
Abstract (2. Language): 
This study aims to determine whether or not the neglected firm effect, one of the market anomalies, exists in Istanbul Stock Exchange between the 2nd January 2012 and 26th December 2014. For this purpose, two different portfolios were formed by using stocks. Average contract numbers, continuously traded at specified date ranges. These portfolios were named popular and neglected. BISTTUM Index was used as the market return. Between 2012 and 2014, the abnormal return of popular portfolio was found approximately %1,4, the abnormal return of neglected portfolio was found %1,1 and the return of market was found %1,6. In the light of this conclusion, the unit risk of portfolios were also examined and the existing of neglected firm effect was not found out in Istanbul Stock Exchange for specified dates range.
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Abstract (Original Language): 
Çalışmanın amacı, Borsa İstanbul’da 2 Ocak 2012 ve 26 Aralık 2014 tarihleri arasında piyasa anomalilerinden “ihmal edilmiş firma etkisi”nin var olup olmadığının tespit edilmesidir. Bu amaçla belirtilen tarihler arasında BİST’te sürekli işlem gören pay senetlerinin ortalama sözleşme sayıları kullanılarak iki ayrı portföy oluşturulmuştur. Bunlar, popüler ve ihmal edilmiş portföy olarak adlandırılmıştır. Piyasa getirisi olarak da BİST TÜM endeksi kullanılmıştır. 2012 ve 2014 yılları arasında, popüler portföyün anormal getirisi yaklaşık olarak %1,4, ihmal edilmiş portföyün anormal getirisi %1,1, piyasa getirisi ise %1,6 olarak tespit edilmiştir. Bu sonuçlar ışığında portföylerin birim risklilik düzeyleri de incelenmiş, bahse konu dönem için Borsa İstanbul’da ihmal edilmiş firma etkisinin var olmadığı sonucuna ulaşılmıştır.
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793
802
  • Turkish

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