Zıtlık yatırım stratejisinin davranışsal finans yaklaşımı ile değerlendirilmesi: Borsa İstanbul üzerine bir uygulama
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Date
2013-08-14
Authors
Aydoğan, Ebru
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Publisher
Uludağ Üniversitesi
Abstract
Finans literatüründe son 50 yıldır en çok araştırılan konulardan birisi, hisse senetlerinin getiri tahmin edilebilirliği üzerine geliştirilen stratejilerdir. 1950'lerden sonra literatürde hakim düşünce olarak kabul edilen geleneksel finans ve teorileri, uygulanan hiçbir stratejinin, piyasa üzerinde kazanç sağlamayacağını öne sürmüştür. Bu görüşünü ise, etkin piyasalar hipotezinin de temel dayanak noktaları olan, rasyonel yatırımcılar ve etkin işleyen piyasalar kavramlarına dayandırmıştır. Ancak 1970'lerden sonra geleneksel finans ve teorilerinin piyasalarda gerçekleşen bazı olayları açıklamakta yetersiz kaldığı birçok çalışma ile kanıtlanmıştır. Bunun sonucunda ise davranışsal finans denen yeni bir alan ortaya çıkmıştır. Psikoloji, sosyoloji ve finans gibi farklı bilim dallarının entegrasyonu konumunda olan davranışsal finans, psikolojik faktörlerinde etkisi ile yatırımcıların her zaman rasyonel hareket edemeyeceğini ve bunun sonucunda da piyasaların etkinliğinin azalacağını savunmaktadır. Davranışsal finans alanında yapılan çalışmalar, yatırımcıların rasyonel olmayan davranışları sonucunda piyasalarda bazı ortalamadan sapmaların -anomalilerin- ortaya çıktığını öne sürmektedir. Piyasalarda görülen anomalilerden en çok üzerinde durulan anomaliler ise aşırı reaksiyon ve düşük reaksiyon olmuştur. Yapılan çalışmalar, aşırı ve düşük reaksiyon sayesinde piyasa üzerinde kar elde edilebileceğini öne sürmektedir. Söz konusu karın elde edilmesi için ise, birbirine zıt olan iki strateji geliştirilmiştir. Düşük reaksiyonun avantajından faydalanarak momentum yatırım stratejisi, aşırı reaksiyonun avantajından faydalanarak ise zıtlık yatırım stratejisi geliştirilmiştir. Bu çalışmanın amacı, zıtlık yatırım stratejisinin, Borsa İstanbul'da 1-5 yıl arası farklı vadelerde karlı olup olmadığının incelenmesidir. Çalışmanın örneklemi, 1 Ocak 2000 ve 31 Aralık 2011 arası dönemde, Borsa İstanbul'da Ulusal Pazar'da kesintisiz olarak işlem gören hisse senetlerinden oluşmaktadır. Çalışma De Bondt ve Thaler'ın kazanan ve kaybeden portföy metodu kullanılarak yapılmıştır. Bu amaçla, 1,2,3,4, ve 5 yıllık portföy dönemlerinde kazanan ve kaybeden portföyler oluşturulmuştur. Daha sonra, izleyen 1,2,3,4 ve 5 yıllık test dönemindeki performansları incelenmiştir. Çalışmanın sonucunda zıtlık stratejisinin bütün vadelerde karlı olduğu ancak 2 yıllık vadede ki karlılık oranın en yüksek olduğu sonucuna ulaşılmıştır.
One of the most investigated topics in finance literature over the past 50 years is the strategies developed on predictability of stock returns. The traditional finance and its teories which were considered as dominated ideas in finance literature after the 1950s claimed that none of applied strategies can obtain gain over the market. It attributed this opinion to the notion of rational investment and efficient markets which are the basic mainstay of efficient market hypothesis. However, after 1970s, an extensive body of finance literature documents that the traditional finance and its theories are not enough to explain some events in financial markets. As a result of these studies a new field of finance called behavioral finance has emerged. Behavioral finance which is integration of several disciplines such as psychology, sociology and finance posit that investors in the financial markets do not always behave as rational and it gives rise to diminishing the efficiency of markets. Studies in the field of behavioral finance documents that some deviations from the mean -anomalies- emerge in financial markets due to the irrational behavior of investors. The most accentuated anomalies observed in financial markets are over reaction and under reaction. Recent reseraches related to these anomalies document that profit can be obtained over the market thanks to over reaction and under reaction. Obtaining the profit, two reverse strategies have been evolved. Momentum investment strategy has been developed by explotinig the advantages of under reaction. And contrarian investment strategy has been developed by explotinig the advantages of over reaction. The purpose of this study is to test whether the contrarian strategy is profitable in the different periods of between 1 to 5 years in Istanbul Stock Exchange. The study sample consists of the stocks which are traded consistently from the begining of January 2000 to the end of 31 December on the National Market of Istanbul Stock Exchange. Implementation has been done with the winner and loser portfolio method of De Bondt and Thaler. For that purpose, winner and loser portfolios have been created during the 1,2,3,4 and 5 year portfolio formation periods. Thereafter, the performance of winner and loser portfolios have been analyzed subsequent 1,2,3,4 and 5 year test periods. Following the implemantation, proofs supported the profitability of contrarian strategy in different periods on Istanbul Stock Exchange. However, according to the results, it seems the most profitable period is the 2 year test period.
One of the most investigated topics in finance literature over the past 50 years is the strategies developed on predictability of stock returns. The traditional finance and its teories which were considered as dominated ideas in finance literature after the 1950s claimed that none of applied strategies can obtain gain over the market. It attributed this opinion to the notion of rational investment and efficient markets which are the basic mainstay of efficient market hypothesis. However, after 1970s, an extensive body of finance literature documents that the traditional finance and its theories are not enough to explain some events in financial markets. As a result of these studies a new field of finance called behavioral finance has emerged. Behavioral finance which is integration of several disciplines such as psychology, sociology and finance posit that investors in the financial markets do not always behave as rational and it gives rise to diminishing the efficiency of markets. Studies in the field of behavioral finance documents that some deviations from the mean -anomalies- emerge in financial markets due to the irrational behavior of investors. The most accentuated anomalies observed in financial markets are over reaction and under reaction. Recent reseraches related to these anomalies document that profit can be obtained over the market thanks to over reaction and under reaction. Obtaining the profit, two reverse strategies have been evolved. Momentum investment strategy has been developed by explotinig the advantages of under reaction. And contrarian investment strategy has been developed by explotinig the advantages of over reaction. The purpose of this study is to test whether the contrarian strategy is profitable in the different periods of between 1 to 5 years in Istanbul Stock Exchange. The study sample consists of the stocks which are traded consistently from the begining of January 2000 to the end of 31 December on the National Market of Istanbul Stock Exchange. Implementation has been done with the winner and loser portfolio method of De Bondt and Thaler. For that purpose, winner and loser portfolios have been created during the 1,2,3,4 and 5 year portfolio formation periods. Thereafter, the performance of winner and loser portfolios have been analyzed subsequent 1,2,3,4 and 5 year test periods. Following the implemantation, proofs supported the profitability of contrarian strategy in different periods on Istanbul Stock Exchange. However, according to the results, it seems the most profitable period is the 2 year test period.
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Keywords
Zıtlık yatırım stratejisi, Davranışsal finans, Geleneksel finans, Aşırı reaksiyon, Contrarian investment strategy, Behavioral finance, Traditional finance, Over reaction
Citation
Aydoğan, E. (2013). Zıtlık yatırım stratejisinin davranışsal finans yaklaşımı ile değerlendirilmesi: Borsa İstanbul üzerine bir uygulama. Yayınlanmamış yüksek lisans tezi. Uludağ Üniversitesi Sosyal Bilimler Enstitüsü.