Uluslararası Portföy Yönetiminde Rejim Geçişken Karar Destek Modelleri: Gelişmekte Olan Menkul Kıymet Piyasaları Üzerine Bir Uygulama
2014
Bu makale, portfoy yatirimlarinda bir karar destek sistemi olarak rejim gecisken modellerin ne sekilde kullanilabilecegini gelismekte olan hisse senedi piyasalarina ait zaman serilerini ve Gauss yazilim programini kullanarak incelemektedir. Yonetim bilisim sistemlerinde, model riskinin minimize edilmesi, karar destek siteminin uygulanacagi problemin net olarak tanimlanmasi ve bu problemin cozumunde kullanilacak modelin dogru secilmesi ile mumkundur. Ekonometrik testlerin sonuclari, Ukrayna haric, gelismekte olan ekonomilerde hisse senetleri piyasalarinda 09/01/2004-13/09/2007 tarihleri arasinda, ABD hisse senedi piyasalari ile karsilastirildiginda kalici bir volatilitenin gozlemlendigini ortaya koymaktadir. Bu kapsamda, Turkiye, Rusya, Ukrayna, Brezilya, Lubnan, ABD (Dow Jones Industrial Average) ve MSCI (Morgan Stanley Composite Index) hisse senedi piyasalarinda rejim geciskenligi ekonometrik olarak karsilastirmali incelenmistir. Anahtar Kelimler: Rejim Gecisken Karar Destek Sistemleri; Markov Zincirleri; Gelismekte Olan Piyasalar JEL Kodu: C87; D81; G15; G17 ----------------------------------------------------------------------------------------------------------------- Regime Switching Business Decision Making Models in International Portfolio Management: An Application on Emerging Equity Markets ABSTRACT: This article focuses on the use of regime switching models as business decision support systems for portfolio investment in emerging stock markets employing Gauss software package. In order to minimize the modelling risk associated with management information systems, the problem upon which the mentioned decision support system is implemented should be clearly defined and the relevant model should be correctly chosen. Using Gauss software program, applied econometric tests results show that, excluding Ukraine, emerging economies equity markets accommodate persistently higher volatility when compared to US equity markets between 09/01/2004 and 13/09/2007. In this scope, stock market regime shifts analysed econometrically comparative in Turkey, Russia, Ukraine, Brazil, Lebanon, U.S.A. (Dow Jones Industrial Average) and MSCI (Morgan Stanley Composite Index). Keywords: Regime Switching Decision Making Models; Markov Chains; Emerging Markets JEL Code: C87; D81; G15; G17
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