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

Bu makalede, tek endeks modelinin tanitilmasi ve modelin Istanbul Menkul Kiymetler Borsasinda uygulanmasi amaccedil;lanmaktadir. Ccedil;alismada 2 Ocak 2004 tarihinde IMKB Ulusal 30 Endeksi kapsaminda bulunan hisse senetlerinin Ocak 2003 - Aralik 2003 douml;nemindeki (bir yil) duuml;zeltilmis getirileri kullanilarak tek endeks modeli ile bir portfouml;ye olusturulmus, portfouml;yuuml;n getirisi ve riski hesaplanmistir. Daha sonra suuml;bjektif kriterlerle optimum portfouml;yde bulunan hisse senetlerinden 24 farkli portfouml;y olusturulmus, olusturulan bu portfouml;ylerin riskleri ve getirileri hesaplanmis, risk-getiri diyagrami ccedil;izilmis ve tek endeks modeli kullanilarak elde edilmis olan optimum portfouml;yle karsilastirilmistir. Sonuccedil;lar, tek endeks modeli ile seccedil;ilen portfouml;yuuml;n, suuml;bjektif kriterlere gouml;re olusturulan portfouml;ylere gouml;re daha etkin oldugunu gouml;stermistir.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