Çeşitli Endeks Fiyatlarının, Ayı ve Boğa Piyasası Dönemlerindeki Birlikte Hareketleri: Portföy Çeşitlendirmesi Önerileri
Öz
Portföy çeşitlendirmesi, dönemine göre düşüşte olan sermaye piyasası durumlarından kaçınmak ve yükselişte olan dönemlerdeki pozitif havadan daha fazla yararlanmak için, yatırımcıların çalışmalarnda önem arz eder. Eğer gerekli portföy çeşitlendirmesi, bir portföyde sağlanmazsa, özellikle endekse bağlı türev araçlar, ayı piyasalarında negatif getiriye sebep olabilirler. Bununla birlikte, eğer portföy yapısı yeteri kadar iyi oluşturulmamışsa, boğa piyasası dönemlerindeki fiyat yükselişi trendinden yeterince yararlanılamayabilir. Bu yüzden, bu çalışmada, uluslararası portföy çeşitlendirmesinin getirilerinden faydalanabilmek için, belirli hisse senedi piyasası endeksleri, temel bileşenler analizi kullanılarak, üç farklı dönemde incelenmiş ve bu ampirik çalışmanın ardından çeşitli portföy çeşitlendirmesi önerilerinde bulunulmuştur. Bu üç dönem sırasıyla, 2008 yılı mortgage krizini içeren ayı piyasası, kriz sonrası dönemdeki boğa piyasası ve büyük para arzı döneminin sonu kabul edilen göreceli boğa piyasasıdır
Anahtar Kelimeler
endeks birlikte hareketi portföy çeşitlendirmesi temel bileşenler analizi
Kaynakça
- ALAOUI Abdelkader, DEWANDARU Ginanjar, ROSLY Azhar, MASIH Mansur, (2014), “Linkages and co-movement between international stock market returns: Case of Dow Jones Islamic Dubai Financial Market index.” Journal of International Financial Markets, Institutions & Money 36, pp 53-70.
- BONFIGLIOI Allessandra, FAVERO Carlo, (2005), “Explaining co-movements between stock markets: The case of US and Germany.” Journal of International Money and Finance 24, pp 1299-1316.
- CHEN Mei-Ping, CHEN Wen-Yi, TSENG Tseng-Chan, (2017), “Co-movements of returns in the health care sectors from the US,UK, and Germany stock markets: Evidence from the continuous wavelet analyses.” International Review of Economics and Finance 49, pp 484-498.
- DALLAS Georgem, (2013), “Principal Component Analysis: Eigenvectors, Eigenvalues and Dimension Reduction”, https:// georgemdallas.wordpress.com/2013/10/30/principal-component-analysis-4-dummies-eigenvectors-eigenvalues-and-dimension-reduction/ Principal Component Analysis.
- DEWANDARU Ginanjar, RIZVI Aun, MASIH Rumi, MASIH M., ALHABSI Othman, (2014), “Stock market comovements: Islamic versus conventional equity indices with multi-timescales analysis.” Economic Systems 38, pp 553-571.
- MARDIA Kanti, KENT J.T., BIBBY J., (1979), Multivariate analysis, Academy Press, Newyork.
- MAZOUZ Khelifa, MOHAMED Abdulkadir, SAADOUNI Brahim (2016), “Stock return comovement around the Dow Jones Islamic Market World Index revisions.” Journal of Economic Behaviour & Organization 132, pp 50-62.
- MERIC Ilhan, RATNER Mitchell, MERIC Gulser, (2008) “Comovements of sector index returns in the world’s major stock markets in bull and bear markets: Portfolio diversification implications“ International Review of Financial Analysis 17, pp 156-177.
Co-Movements of Various Indices’ Prices in Bear and Bull Periods: Portfolio Diversification Implications
Öz
Portfolio diversification is investors’ crucial action to avoid negative market conditions or to gain more benefits from positive market conditions. Especially derivative instruments clung to various indices may cause negative returns during bear periods if required diversification is not provided on portfolio, and on the other hand, these instruments may cause to inadequately utilize from bull periods if the structure of a portfolio is not established well. Hence, in this study, to utilize the benefits from international portfolio diversification, certain international stock markets co-movements are investigated during three periods by using principal component analysis, and various portfolio diversification implications are generated after this empirical study. These periods are defined respectively a bear period which includes mortgage crises in 2008, a bull period as second period representing after the mortgage crises, a relatively bull period as third period representing the end of huge money supply to the market.
Anahtar Kelimeler
index co-movement portfolio diversification principal component analysis
Kaynakça
- ALAOUI Abdelkader, DEWANDARU Ginanjar, ROSLY Azhar, MASIH Mansur, (2014), “Linkages and co-movement between international stock market returns: Case of Dow Jones Islamic Dubai Financial Market index.” Journal of International Financial Markets, Institutions & Money 36, pp 53-70.
- BONFIGLIOI Allessandra, FAVERO Carlo, (2005), “Explaining co-movements between stock markets: The case of US and Germany.” Journal of International Money and Finance 24, pp 1299-1316.
- CHEN Mei-Ping, CHEN Wen-Yi, TSENG Tseng-Chan, (2017), “Co-movements of returns in the health care sectors from the US,UK, and Germany stock markets: Evidence from the continuous wavelet analyses.” International Review of Economics and Finance 49, pp 484-498.
- DALLAS Georgem, (2013), “Principal Component Analysis: Eigenvectors, Eigenvalues and Dimension Reduction”, https:// georgemdallas.wordpress.com/2013/10/30/principal-component-analysis-4-dummies-eigenvectors-eigenvalues-and-dimension-reduction/ Principal Component Analysis.
- DEWANDARU Ginanjar, RIZVI Aun, MASIH Rumi, MASIH M., ALHABSI Othman, (2014), “Stock market comovements: Islamic versus conventional equity indices with multi-timescales analysis.” Economic Systems 38, pp 553-571.
- MARDIA Kanti, KENT J.T., BIBBY J., (1979), Multivariate analysis, Academy Press, Newyork.
- MAZOUZ Khelifa, MOHAMED Abdulkadir, SAADOUNI Brahim (2016), “Stock return comovement around the Dow Jones Islamic Market World Index revisions.” Journal of Economic Behaviour & Organization 132, pp 50-62.
- MERIC Ilhan, RATNER Mitchell, MERIC Gulser, (2008) “Comovements of sector index returns in the world’s major stock markets in bull and bear markets: Portfolio diversification implications“ International Review of Financial Analysis 17, pp 156-177.
Ayrıntılar
| Birincil Dil | İngilizce |
|---|---|
| Bölüm | Research Article |
| Yazarlar | |
| Yayımlanma Tarihi | 1 Ekim 2017 |
| Yayımlandığı Sayı | Yıl 2017 Sayı: 632 |