TEK ENDEKS MODELI VE MODELIN ISTANBUL MENKUL KIYMETLER BORSASINDA UYGULANMASI (Single Index Model and Application of the Model at Istanbul Stock Exchange)

Isletme Fakültesi Isletme Iktisadi Enstitüsü Yönetim Dergisi, Yil: 16, Sayi: 52, Ekim 2005, s 17-25

18 Pages Posted: 14 Feb 2013

See all articles by Murat Kiyilar

Murat Kiyilar

Istanbul University - Faculty of Business Management

Ergün Eroglu

Independent

Date Written: April 1, 2004

Abstract

Bu makalede, tek endeks modelinin tanitilmasi ve modelin Istanbul Menkul Kiymetler Borsasinda uygulanmasi amaçlanmaktadir. Çalismada 2 Ocak 2004 tarihinde IMKB Ulusal 30 Endeksi kapsaminda bulunan hisse senetlerinin Ocak 2003 - Aralik 2003 dönemindeki (bir yil) düzeltilmis getirileri kullanilarak tek endeks modeli ile bir portföye olusturulmus, portföyün getirisi ve riski hesaplanmistir. Daha sonra sübjektif kriterlerle optimum portföyde bulunan hisse senetlerinden 24 farkli portföy olusturulmus, olusturulan bu portföylerin riskleri ve getirileri hesaplanmis, risk-getiri diyagrami çizilmis ve tek endeks modeli kullanilarak elde edilmis olan optimum portföyle karsilastirilmistir. Sonuçlar, tek endeks modeli ile seçilen portföyün, sübjektif kriterlere göre olusturulan portföylere göre daha etkin oldugunu göstermistir.

In this paper, introducing single index model and making an experiment on Istanbul Stock Exchange are aimed. In the study, a portfolio was chosen by using the adjusted returns over the period of January 2003 and December 2003 (one year) of the companies at ISE 30 Index on January 2nd 2004, and the risk and the return of the portfolio were calculated. Then 24 different portfolios were formed by using subjective criteria, the risks and the returns of the portfolios were calculated, the risk-return diagram was drawn and compared with the portfolio determined by single index model. The results show that the portfolio obtained by single index model is more efficient than the other portfolios.

Keywords: Single Index Model, Portfolio Choice, Optimum Portfolio, Portfolio Performance Index

Suggested Citation

Kiyilar, Murat and Eroglu, Ergün, TEK ENDEKS MODELI VE MODELIN ISTANBUL MENKUL KIYMETLER BORSASINDA UYGULANMASI (Single Index Model and Application of the Model at Istanbul Stock Exchange) (April 1, 2004). Isletme Fakültesi Isletme Iktisadi Enstitüsü Yönetim Dergisi, Yil: 16, Sayi: 52, Ekim 2005, s 17-25, Available at SSRN: https://ssrn.com/abstract=1308515

Murat Kiyilar (Contact Author)

Istanbul University - Faculty of Business Management ( email )

Istanbul
Turkey
+902124737070 (Phone)

Ergün Eroglu

Independent ( email )

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