İstanbul Menkul Kıymetler Borsası bileşik sanayi, mali endekslerini etkileyen yatırım araçlarının analizi
Başlık çevirisi mevcut değil.
- Tez No: 46386
- Danışmanlar: PROF.DR. ETHEM TOLGA
- Tez Türü: Yüksek Lisans
- Konular: Endüstri ve Endüstri Mühendisliği, Industrial and Industrial Engineering
- Anahtar Kelimeler: Belirtilmemiş.
- Yıl: 1995
- Dil: Türkçe
- Üniversite: İstanbul Teknik Üniversitesi
- Enstitü: Fen Bilimleri Enstitüsü
- Ana Bilim Dalı: Belirtilmemiş.
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: 110
Özet
ÖZET Kalkınmış veya kalkınma sürecinde olan tüm ülkelerin temel sorunu kaynak yaratmak, mevcut kaynakları etkin kullanmak ve kalkınmayı yeterli düzeyde finanse edebilmektir. Kapitalist ülkeler belirlenen bu amaçlara ulaşabilmek için sermaye piyasasını oluşturmuşlardır. Günümüzde önemli bir yer teşkil eden İstanbul Menkul Kıymetler Borsası da sermaye piyasasının vazgeçilmez bir kurumu haline gelmiştir. İşte günlük hayatımızda önemli bir yer teşkil eden İstanbul Menkul Kıymetler Borsası Bileşik, Sanayi ve Mali Endeksleri yapılan çalışma esnasında incelenmiştir. Bu inceleme yapılırken de ; endeksleri etkileyen çeşitli değişkenler alınmış, Çoklu Regresyon Analizi yöntemi ile modeller kurulmuş ve kurulan modeller içerisinden de korelasyon katsayısı en yüksek olan modeldeki, değişkenler belirlenmiştir. Çalışma sırasında modellerimizde kullanmış olduğumuz veriler 3 Ocak -30 Haziran 1994 tarihleri arasındaki altı aylık bir dönemi içermektedir. Bu zaman aralığının alınmasındaki esas neden bu tarihlerde ülkemizde tam anlamıyla bir ekonomik krizin yaşanmış olmasıdır. Böyle kısa bir dönemin verileriyle yapılan çalışmanın sonuçlarının ne denli sağlıklı olabileceği de düşünülebilir. 1 Ocak - 30 Haziran arasında tam 129 günlük veri istatistik paket programına girilerek regresyon yapılmıştır. Bu veriler Bileşik, Endeks, Sanayi Endeksi, Mali Endeks ; Amerikan Doları ; Alman Markı, Cumhuriyet Altını, İnterbank faiz oranı ; haftalık Repo Faiz oranı ve Ziraat Bankası' nın 3 aylık mevduata uyguladığı faiz oranıdır. Birinci bölümde konuya giriş yapılmış, ikinci bölümde temel tanım ve kavramlara yer verilmiştir. Üçüncü bölümde çalışmada izlenilecek yol hakkında bilgi verilmiştir. Dördüncü bölümde çalışmada kullanılacak regresyon tipinin seçimi yapılmaktadır. Beşinci bölümde Bileşik Endeks için Korelasyon Katsayısı en yüksek olan modelin, altıncı bölümde Sanayi Endeksi için Korelasyon Katsayısı en yüksek olan modelin, yedinci bölümde ise Mali Endeks için Korelasyon Katsayısı en yüksek olan modelin tesbiti yapılmıştır. Kurmuş olduğumuz modellerdeki değişkenlerle ilgili verileri ise, Tektaş Menkul Değerler A.Ş., Ziraat Bankası Menkul Değerler Genel Müdürlüğü ve Dünya Gazetesi arşivinden yararlanılarak elde edilmiştir. ix
Özet (Çeviri)
SUMMARY ANALYSIS OF THE INVESTMENT INSTRUMENTS AFFECTING COMPOUND, INDUSTRIAL AND FINANCIAL INDEXES OF İSTANBUL STOCK EXCHANGE History has proven the view that there was a strict relationship betvveen economical growth and the development of financial institution in many countries. As long as the economy expands, the additional demand to the services responding to the growth of financial system will increase. From this point of view, the gap of financial institutions in a country means an absence of demand to the services that vvould be rendered by such institutions. Öne of the most important institutions which enables the financial markets to work is the exchanges, of course. A Stock Exchange is a legal entity where the real market prices of the financial assets are tried to be established, where sale and purchase transactions of shares, bonds, goverment bonds and other financial means that have been listed to the exchange are made with an authority to establish and announce the prices. The exchange have been and are indicators in ali countries of social and economical devalopment, even the social justice. The existence of a smooth operating in a country is a measure of industrialization through private enterprising at the first stage, then of incorporation and finally of public sale, that is spreading of the industrial property to the general public. On the other hand, stock exchange is an agent of the capital market, and its development depends on the development of capital market. in an exchange, market value of the shares is established every day by means of demand and supply. The prices inevitably fluctuates up and down betvveen the sellers and buyers. Long term investors trace the policy of buy and keep, while the speculators try to take benefit from the price fluctuations. The idea to take advantage from all-time moving prices draws many speculators to the exchange. Immediately buying the shares that are becoming excessively cheaper, speculators inhibit further decreasing of the prices. in the same way, they prevent further increase of the prices by selling the shares that gain price rapidly. This makes the speculators an inevitable balance element of the exchange. Buying and selling continuously, speculators enable the market to be liquid at ali times. XThere are several accepted analysis methods is the exchanges in order to earn money from the speculative movements in the exchange. in the fundamental analysis, ali economical movements of the country are examined, and projections are made for the future. in the financial analysis, the balance sheets of the corporations listed in the exchange are analyzed, and the balance prices are found. Random method assumes that the prices move randomly and admits that such random movements will continue in the future. in the technical analysis, the prices established in the exchange are taken into account. Graphics are drawn, and direction of the demand and supply is determined. To win in the exchange by evaluating the direction that demand and supply, vvhich are affected by hundreds of factors every day, will lead the prices requires much more information and experience. The factors affecting the prices are mostly psychological as well as economical, information, opinions, joys and fears about the companies, expectations from the future and similar factors create positive ör negative pressure on the demand and supply. The number of the shares and the cash money. in circulation are the most important ones of such factors. Increase in öne of them över the other may cause a change in the direction of the prices. Most of the economical reasons can be measured and their effects can be approximately calculated. it cannot be denied that the operations of the business concerns play a great role on the establishment of the prices. The shares of the successfully managed companies have almost always buyers in the exchange, while the shares of an unsuccessfully managed company do not create demand. it is not always possible to foresee when the psychological effects will come into existence and in what way they will affect the prices. Any news may cause negative thoughts in the mind of the society. Psychological factors may affect the exchange collectively at öne instance as well as affect only öne share ör sector at the other instance. The purpose of this thesis is to study the investment instruments affecting the indexes of istanbul Stock Exchange. The studied period is betvveen January 1st and Jun 30th, 1994. The main reason to select this period is to research how the balances among the investment instruments are affected by eachothers. Stock exchange indexes have been studied by using multiple regression analysis. xiAs it is known, the index in the stock market expresses the average price of öne stock. it helps us to understand how the stock market behaves. There are three kinds of index in istanbul Stock Exchange: 1.Compound index, 2.Industry index, 3.Financial index. in this study, every kind of index has been examined seperately and every index has been studied on how it is affected by the investment instruments. The main method used is multiple regression analyses. in the model, the dependent variable is compound index and the six independent variables which are examined whether they affect compound index are, 1.U.S. Dollar, 2.German Mark, 3.Gold ( Cumhuriyet), 4.Rate of interest of Interbank, 5.Rate of interest per week in the re-purchasing market, 6.Ouarterly compounded interest rate of Ziraat Bank. The data of 129 days betvveen January 1st and Jun 30th have been entered in to SPSS, a statistical software. The data are compound index, industry index, financial index; U.S. Dollar, D.M., gold, rate of interest of Interbank, rate of interest per week in the repo market, quarterly compounded interest rate of Ziraat Bank. it is impossible to know and corretly evaluate ali the factors which direct the prices. Backed by the goverments, the interest in the shares, vvhich is the most popüler investment means today, gradually increases. it has become an important anternative the other investment means. This orientation has not always based on a deliberate purpose, but on a non-verified information going from this ear to that ear. Even United States Dollar and German Mark may be used as a very short term investment means. Increasing of the number of foreing exchange means and facilitated to make investment. xiiGold is the very old and mostly used investment means used in our country. The fact that the rate of income earned from the gold speculation is higher than the rate of inflation, that the investment to the gold easy, that the investment to the gold doesn't require much information and that the sale and purchase of the gold easy keep the interest in the gold as an investment means alive. Interbank interest rate is the rate of interest applied by the banks to the funds exchanged between them. Shortage in Turkish Lira causes great changes to this interest rate. It may also affect very much the exchange indexes daily. Weekly Repurchase Agrement Interest Rate is one of the most popular investment means of today. Although its history goes back to the near past., it has been adopted easily by the public. The rate of interest offered by Ziraat Bank to the three-monts deposits is preferred by the risk-averse investors for the risk involved is zero. Furthermore, in a climate where the market conditions change very rapidly, a long term investment is not considered as a logical behavior. After the dependent and independent variables have been determined, the kind of the regression that will be used in the analysis will be determined. Those kinds of regressions have been tried. 1. Multiple Lineer regression analysis 2. Logarithmic regression 3. Power regression 4. Exponential regression where Y: The dependent variable (Index) X: The independent variable (U.S. Dollar, gold,....) From these kinds of regression, Multiple Lineer Regression analysis having the largest corrolation coefficient has been used. The models composing of the combinations of the independent variables, from one to six. The study that followed after this was to make the regression of models formed by one, two, three, four, five and six combinations of six independent variables. In this way, exactly 63 regression have been made for only Compound Index. Output of each model is shown in the attachments. Later on, the models having the highest correlation coefficient xiiiin each combination group have been gathered in a table. 189 regressions for three indexes have been made. Finally, variance analysis and the distribution of t have been applied to determine whether the models are meaningfull from the view of statistics or not. Consequently, the correlation coefficient is 0,588 for Compound Index, 0,553 for Industrial Index and 0,683 for Financial Index. As it is seen, the correlation coefficients have been low. It can be deduced from this fact that investment means and indexes moved randomly, instead of regularly during the examined period. The study covers such a short period of 6 months dominated by uncertainties. A study made on the basis of data obtained from such a short period can be viewed suspiciously. But it should be kept in mind that the models handled in the study are descriptive, rather than being ideal and aimed at application. If the study period is more extenvive, models having a better correlation coefficient can be found. My purpose with this study is to provide a source for further studies. XIV
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