Çoklu ölçekleme tekniği ile yatırım ufkuna göre sistematik risk davranışı: Dalgacık analizi

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(1)Uluslararası Katılımlı 21. FİNANS SEMPOZYUMU 18 - 21 EKİM 2017. BİLDİRİLER KİTABI. Editörler. Prof. Dr. Şakir SAKARYA Doç. Dr. Sinan AYTEKİN Öğr. Gör. Dr. Hasan Hüseyin YILDIRIM Arş. Gör. Melek AKSU Düzenleyen Balıkesir Üniversitesi İktisadi ve İdari Bilimler Fakültesi İşletme Bölümü. BALIKESİR.

(2) Bu b•ld•r• k•tabının her hakkı saklıdır. Bu yayının tümü veya h•çb•r bölümü önceden •z•n alınmaksızın çoğaltılamaz, basılıp yayınlanamaz, kaynak göster•lmeden alıntı yapılamaz. Bu yayında yer alan yazılarda öne sürülen görüşler yazarların k•ş•sel görüşler•d•r; yazılar •le •lg•l• her türlü sorumluluk yazarlara a•tt•r.. Graf•k & Tasarım Eylül D•zayn Altıeylül Mah. Murat Göçer Sk. Şahver Apt. No: 6/D http://www.eyluld•zayn.org/ Tel: +90 (266) 239 30 91 Balıkes•r. Baskı & C•lt Nobel Akadem•k Yayıncılık Eğ•t•m Danışmanlık T•c. Ltd. Şt•. Ras•mpaşa Mah. Rıhtım Cad. Neml•zade Sok. Güleryüz Apt. No:9 Da•re:3 https://www.nobelyay•n.com Kadıköy / İstanbul Tel: +90 (216) 418 20 10. ISBN 978-605-320-736-8. İsteme Adresi Balıkes•r Ün•vers•tes• İktisadi ve İdari Bilimler Fakültesi İşletme Bölümü Çağış Yerleşkesi (Bigadiç yolu üzeri 17. km) Balıkes•r-TÜRKİYE Tel: +90 (266) 249 65 35. İletişim Doç. Dr. S•nan AYTEKİN saytek•n@bal•kes•r.edu.tr. Ek•m, 2017.

(3) ULUSLARARASI KATILIMLI 21. FİNANS SEMPOZYUMU. SEMPOZYUM ONURSAL BAŞKANI Prof. Dr. Ker•m ÖZDEMİR (Balıkes•r Ün•vers•tes• Rektörü) SEMPOZYUM DÜZENLEME KURULU Prof. Dr. Şak•r SAKARYA (Düzenleme Kurulu Başkanı-İşletme Bölüm Başkanı) Doç. Dr. S•nan AYTEKİN (Sempozyum Sekreter•) Yrd. Doç. Dr. Suat KARA Öğr. Gör. Dr. Hasan Hüsey•n YILDIRIM Öğr. Gör. Dr. H•lm• Tunahan AKKUŞ Öğr. Gör. El•f ESENLİK Arş. Gör. Mustafa OĞUZ Arş. Gör. Melek AKSU. BİLİM KURULU* Prof. Dr. Ahmet AKSOY (Gaz• Ün•vers•tes•) Prof. Dr. Ramazan AKTAŞ (TOBB ETU Ün•vers•tes•) Prof. Dr. Güler ARAS (Yıldız Tekn•k Ün•vers•tes•) Assoc. Prof. Dr. Yur• BIONDI (The Nat•onal Center for Sc•ent•f•c Research, CNRS. France) Prof. Dr. Al• CEYLAN (İstanbul T•caret Ün•vers•tes•) Prof. Dr. N•hel CHABRAK(Un•ted Arab Em•rates Un•vers•ty, UAE) Prof. Dr. Adem ÇABUK (Uludağ Ün•vers•tes•) Prof. Dr. Mete DOĞANAY (Çankaya Ün•vers•tes•) Prof. Dr. Met•n Kam•l ERCAN (Gaz• Ün•vers•tes•) Prof. Dr. J•m HASLAM (Un•vers•ty of Sheﬀ•eld, UK) Prof. Dr. Turhan KORKMAZ (Mers•n Ün•vers•tes•) Prof. Dr. M. Başaran ÖZTÜRK (Ömer Hal•sdem•r Ün•vers•tes•) Assoc. Prof. Dr. Gunnar RIMEL (Un•vers•ty of Gotteburg, Swedan) Prof. Dr. Gültek•n RODOPLU (İstanbul Gel•ş•m Ün•vers•tes•) Prof. Dr. Şak•r SAKARYA (Balıkes•r Ün•vers•tes•) Prof. Dr. Hakan SARITAŞ (Pamukkale Ün•vers•tes•) Prof. Dr. Hülya TALU (İstanbul Gel•ş•m Ün•vers•tes•) Prof. Dr. Berna TANER (Dokuz Eylül Ün•vers•tes•) Prof. Dr. M. Şükrü TEKBAŞ (Türk-Alman Ün•vers•tes•) Prof. Dr. Paul WILLIAMS (North Carol•na State Un•vers•ty, USA) Prof. Dr. Cevat SARIKAMIŞ (Merhum Hocamızı Saygı ve Hürmetle Anıyoruz). *Soyadına göre alfabet•k sıralama yapılmıştır.. iii.

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(108) Uluslararası Katılımlı 21. FİNANS SEMPOZYUMU / 18 - 21 Ekim 2017 - Balıkesir. 7DEORgOoHNLoLQ\DSÕODQUHJUHV\RQDQDOL]LVRQXoODUÕ 'HYDPÕ

(109) ߚሺߣଶ ሻ. ‫ ן‬ሺߣଶ ሻ ଶ. ܴ . ߚሺߣଶ ሻ. ‫ ן‬ሺߣଶ ሻ ܴଶ . ߚሺߣଶ ሻ. ‫ ן‬ሺߣଶ ሻ ଶ. ܴ . ߚሺߣଶ ሻ. ‫ ן‬ሺߣଶ ሻ ܴଶ . ߚሺߣଶ ሻ. 244. ‫ ן‬ሺߣଶ ሻ ଶ. ܴ . ߚሺߣଶ ሻ. ‫ ן‬ሺߣଶ ሻ ܴଶ . (*6(5. %7&,0. $9*<2. +85*=. $/&$5. 7,5(. *86*5. $'1$&. 78.$6. . . . . . . . . . (. (. (. (. (. (. (. (. (. . . . . . . . . . 86$.. '*./%. *(176. 86$6. ,+(9$. 9$.)1. .8732. %)5(1. '<2%<. . . . . . . . . . (. (. (. (. (. (. (. (. (. . . . . . . . . . 3(*<2. ,+/*0. .(597. 81<(&. 35.$%. <816$. $'%*5. . . . . . . . . . (. (. (. (. (. (. (. (. (. . . . . . . . . . 6.7$6. ),1%1. ,=2&0. 056+/. 3,0$6. (',3. 0$$/7. 3,168. 0,3$=. . . . . . . . . . (. (. (. (. (. (. (. (. (. . . . . . . . . . %266$. 2/0,3. '85'2. *$5)$. ',7$6. %85&(. '*=7(. . . . . . . . . . (. (. (. (. (. (. (. (. (. . . . . . . . . . '(5,0. 0(5.2. ,17(0. . . . (. (. (. . . . &0(17 &20'2. '(1&0 0$.7.. 7DEORgOoHNLoLQ\DSÕODQUHJUHV\RQDQDOL]LVRQXoODUÕ . $.%1.. *$5$1. 78356. (5(*/. ,6&75. .&+2/. 7+<$2. $5&/.. 3(7.0. . . . . . . . . . ‫ ן‬ሺߣଷ ሻ. (. (. (. (. (. (. (. (. (. . . . . . . . . . 6,6(. $6(/6. )5272. 76.%. $<*$=. 75.&0. $.6$. 0*526. &,06$. ߚሺߣଷ ሻ. . . . . . . . . . (. (. (. (. (. (. (. (. (. . . . . . . . . . (&,/&. 27.$5. '2+2/. $16*5. 9(67/. .25'6. 6$5.<. $.&16. 17+2/. . . . . . . . . . (. (. (. (. (. (. (. (. (. . . . . . . . . . */<+2. 7$7*'. *2/76. *8%5). $'$1$. $/$5.. $1$&0. 1(7$6. %2<3. ߚሺߣଷ ሻ ଶ. ܴ . ‫ ן‬ሺߣଷ ሻ ܴଶ . ߚሺߣଷ ሻ. ‫ ן‬ሺߣଷ ሻ ଶ. ܴ . ߚሺߣଷ ሻ. ‫ ן‬ሺߣଷ ሻ ܴଶ . . . . . . . . . . (. (. (. (. (. (. (. (. (. . . . . . . . . .


(111) ߚሺߣଷ ሻ. ‫ ן‬ሺߣଷ ሻ ଶ. ܴ . ߚሺߣଷ ሻ. ‫ ן‬ሺߣଷ ሻ ܴଶ . ߚሺߣଷ ሻ. ‫ ן‬ሺߣଷ ሻ ଶ. ܴ . ߚሺߣଷ ሻ. ‫ ן‬ሺߣଷ ሻ ܴଶ . ߚሺߣଷ ሻ. ‫ ן‬ሺߣଷ ሻ ଶ. ܴ . ߚሺߣଷ ሻ. ‫ ן‬ሺߣଷ ሻ ܴଶ . ߚሺߣଷ ሻ. ‫ ן‬ሺߣଷ ሻ ଶ. ܴ . ߚሺߣଷ ሻ. ‫ ן‬ሺߣଷ ሻ ܴଶ . ߚሺߣଷ ሻ. ‫ ן‬ሺߣଷ ሻ ଶ. ܴ . . %$*)6. $.*57. *22'<. 31687. 17785. ,+/$6. %$197. 05',1. %2/8&. . . . . . . . . . (. (. (. (. (. (. (. (. (. . . . . . . . . . (&=<7. %5,6$. %56$1. .$571. .21<$. ,=0'&. (5%26. &(076. ,&%&7. . . . . . . . . . (. (. (. (. (. (. (. (. (. . . . . . . . . . 75&$6. %5<$7. &/(%,. +(.76. '(9$. %8&,0. 7%25*. $'(/. (**8%. . . . . . . . . . (. (. (. (. (. (. (. (. (. . . . . . . . . . (*6(5. %7&,0. $9*<2. +85*=. $/&$5. 7,5(. *86*5. $'1$&. 78.$6. . . . . . . . . . (. (. (. (. (. (. (. (. (. . . . . . . . . . 86$.. '*./%. *(176. 86$6. ,+(9$. 9$.)1. .8732. %)5(1. '<2%<. . . . . . . . . . (. (. (. (. (. (. (. (. (. . . . . . . . . . 3(*<2. ,+/*0. .(597. 81<(&. 35.$%. <816$. $'%*5. . . . . . . . . . (. (. (. (. (. (. (. (. (. . . . . . . . . . 6.7$6. ),1%1. ,=2&0. 056+/. 3,0$6. (',3. 0$$/7. 3,168. 0,3$=. . . . . . . . . . (. (. (. (. (. (. (. (. (. . . . . . . . . . %266$. 2/0,3. '85'2. *$5)$. ',7$6. %85&(. '*=7(. &0(17 &20'2. '(1&0 0$.7.. . . . . . . . . . (. (. (. (. (. (. (. (. (. . . . . . . . . . '(5,0. 0(5.2. ,17(0. . . . (. (. (. . . . . 245.

(112) Uluslararası Katılımlı 21. FİNANS SEMPOZYUMU / 18 - 21 Ekim 2017 - Balıkesir. 7DEORgOoHNLoLQ\DSÕODQUHJUHV\RQDQDOL]LVRQXoODUÕ $.%1.. *$5$1. 78356. (5(*/. ,6&75. .&+2/. 7+<$2. $5&/.. 3(7.0. . . . . . . . . . (. (. (. (. (. (. (. (. (. ܴଶ . . . . . . . . . . 6,6(. $6(/6. )5272. 76.%. $<*$=. 75.&0. $.6$. 0*526. &,06$. . . . . . . . . . ‫ ן‬ሺߣସ ሻ. (. (. (. (. (. (. (. (. (. . . . . . . . . . (&,/&. 27.$5. '2+2/. $16*5. 9(67/. .25'6. 6$5.<. $.&16. 17+2/. . . . . . . . . . (. (. (. (. (. (. (. (. (. . . . . . . . . . */<+2. 7$7*'. *2/76. *8%5). $'$1$. $/$5.. $1$&0. 1(7$6. %2<3. . . . . . . . . . (. (. (. (. (. (. (. (. (. . . . . . . . . . %$*)6. $.*57. *22'<. 31687. 17785. ,+/$6. %$197. 05',1. %2/8&. . . . . . . . . . (. (. (. (. (. (. (. (. (. . . . . . . . . . (&=<7. %5,6$. %56$1. .$571. .21<$. ,=0'&. (5%26. &(076. ,&%&7. . . . . . . . . . (. (. (. (. (. (. (. (. (. . . . . . . . . . 75&$6. %5<$7. &/(%,. +(.76. '(9$. %8&,0. 7%25*. $'(/. (**8%. . . . . . . . . . (. (. (. (. (. (. (. (. (. . . . . . . . . . (*6(5. %7&,0. $9*<2. +85*=. $/&$5. 7,5(. *86*5. $'1$&. 78.$6. . . . . . . . . . (. (. (. (. (. (. (. (. (. . . . . . . . . . 86$.. '*./%. *(176. 86$6. ,+(9$. 9$.)1. .8732. %)5(1. '<2%<. . . . . . . . . . (. (. (. (. (. (. (. (. (. . . . . . . . . . 3(*<2. ,+/*0. .(597. 81<(&. 35.$%. <816$. $'%*5. . . . . . . . . . (. (. (. (. (. (. (. (. (. . . . . . . . . . ߚሺߣସ ሻ. ‫ ן‬ሺߣସ ሻ ߚሺߣସ ሻ ଶ. ܴ . ߚሺߣସ ሻ. ‫ ן‬ሺߣସ ሻ ܴଶ . ߚሺߣସ ሻ. ‫ ן‬ሺߣସ ሻ ଶ. ܴ . ߚሺߣସ ሻ. 246. ‫ ן‬ሺߣସ ሻ ܴଶ . ߚሺߣସ ሻ. ‫ ן‬ሺߣସ ሻ ଶ. ܴ . ߚሺߣସ ሻ. ‫ ן‬ሺߣସ ሻ ܴଶ . ߚሺߣସ ሻ. ‫ ן‬ሺߣସ ሻ ଶ. ܴ . ߚሺߣସ ሻ. ‫ ן‬ሺߣସ ሻ ܴଶ . ߚሺߣସ ሻ. ‫ ן‬ሺߣସ ሻ ଶ. ܴ . . . '(1&0 0$.7..


(114) ߚሺߣସ ሻ. ‫ ן‬ሺߣସ ሻ ଶ. ܴ . ߚሺߣସ ሻ. ‫ ן‬ሺߣସ ሻ ܴଶ . ߚሺߣସ ሻ. ‫ ן‬ሺߣସ ሻ ଶ. ܴ . 6.7$6. ),1%1. ,=2&0. 056+/. 3,0$6. (',3. 0$$/7. 3,168. 0,3$=. . . . . . . . . . (. (. (. (. (. (. (. (. (. . . . . . . . . . %266$. 2/0,3. '85'2. *$5)$. ',7$6. %85&(. '*=7(. . . . . . . . . . (. (. (. (. (. (. (. (. (. . . . . . . . . . '(5,0. 0(5.2. ,17(0. . . . (. (. (. . . . &0(17 &20'2. 7DEORgOoHNLoLQ\DSÕODQUHJUHV\RQDQDOL]LVRQXoODUÕ $.%1.. *$5$1. 78356. (5(*/. ,6&75. .&+2/. 7+<$2. $5&/.. 3(7.0. . . . . . . . . . ‫ ן‬ሺߣହ ሻ. (. (. (. (. (. (. (. (. (. ܴ . . . . . . . . . . 6,6(. $6(/6. )5272. 76.%. $<*$=. 75.&0. $.6$. 0*526. &,06$. ߚሺߣହ ሻ. . . . . . . . . . ‫ ן‬ሺߣହ ሻ. (. (. (. (. (. (. (. (. (. . . . . . . . . . (&,/&. 27.$5. '2+2/. $16*5. 9(67/. .25'6. 6$5.<. $.&16. 17+2/. . . . . . . . . . (. (. (. (. (. (. (. (. (. . . . . . . . . . */<+2. 7$7*'. *2/76. *8%5). $'$1$. $/$5.. $1$&0. 1(7$6. %2<3. . . . . . . . . . (. (. (. (. (. (. (. (. (. . . . . . . . . . %$*)6. $.*57. *22'<. 31687. 17785. ,+/$6. %$197. 05',1. %2/8&. . . . . . . . . . (. (. (. (. (. (. (. (. (. . . . . . . . . . (&=<7. %5,6$. %56$1. .$571. .21<$. ,=0'&. (5%26. &(076. ,&%&7. . . . . . . . . . (. (. (. (. (. (. (. (. (. . . . . . . . . . 75&$6. %5<$7. &/(%,. +(.76. '(9$. %8&,0. 7%25*. $'(/. (**8%. . . . . . . . . . (. (. (. (. (. (. (. (. (. . . . . . . . . . ߚሺߣହ ሻ ଶ. ܴଶ . ߚሺߣହ ሻ. ‫ ן‬ሺߣହ ሻ ଶ. ܴ . ߚሺߣହ ሻ. ‫ ן‬ሺߣହ ሻ ଶ. ܴ . ߚሺߣହ ሻ. ‫ ן‬ሺߣହ ሻ ଶ. ܴ . ߚሺߣହ ሻ. ‫ ן‬ሺߣହ ሻ ଶ. ܴ . ߚሺߣହ ሻ. ‫ ן‬ሺߣହ ሻ ଶ. ܴ . 247.

(115) Uluslararası Katılımlı 21. FİNANS SEMPOZYUMU / 18 - 21 Ekim 2017 - Balıkesir. 7DEORgOoHNLoLQ\DSÕODQUHJUHV\RQDQDOL]LVRQXoODUÕ 'HYDPÕ