Yıl 2018, Cilt 6, Sayı 1, Sayfalar 25 - 36 2018-03-25

Risk-Tabanlı VZA ve Stokastik Baskınlık Kriteri ile OECD Üyelerinin Hisse Senedi Endekslerinin Etkinliği
Risk-Based DEA Efficiency and SSD Efficiency of OECD Members Stock Indices

Neslihan Fidan Keçeci [1] , Yonca Erdem Demirtaş [2]

69 157

Bir hisse senedi endeksi finansal piyasalara ilişkin bazı tanımlayıcı bilgiler vermektedir. Bu çalışmada, biz OECD ülkelerinin hisse senetleri etkinliğiyle ilgilenmekteyiz. Etkinlik ölçüsü olarak Veri Zarflama Analizi (VZA) ve İkinci Dereceden Stokastik Baskınlık (İDSB) Kriterini kullanmaktayız. VZA benzer karar verme birimlerinin göreli etkinliğinin ölçümü için bir doğrusal programlama tekniğidir. Risk Tabanlı VZA’da geleneksel ve modern risk ölçüleri modelin girdileri olarak ve ortalama getiri ise çıktı olarak kullanılır. Finansal yatırım getirilerinin modern bir risk ölçüsü olarak Koşullu Riske Maruz Değeri (RMD) dikkate almaktadyız. Etkinlik için bir başka yaklaşım ise getiri dağılımının spesifik karakteristiklerindense dağılımın tamamını dikkate alan Stokastik Baskınlık kuralıdır. Bir optimizasyon modelinde Koşullu RMD kısıtları ile İDSB kısıtlarının ilişkili olduğunu gösteren pek çok çalışma bulunmaktadır. Bu bağlamda, biz Risk Tabanlı VZA ile İDSB kısıtlı optimizasyon problemlerinin çözümlerini uygulamalı olarak bu çalışmada karşılaştırmaktayız. Ayrıca endeks çiftlerinin İDSB etkinliklerini de test etmekteyiz. Sonuçlar bir endeksin diğer endekler arasında getiri-riskleri açısından nasıl bir perfomansa sahip olduğunu göstermesi açısından yatırım yöneticileri için değerlidir.
A stock market index gives some illustrative information regarding the financial market. In this study, we are interested in stock indices efficiency of OECD member countries. We use Data Envelopment Analysis (DEA) methodology and Second Order Stochastic Dominance (SSD) Criteria as an efficiency metrics. DEA is a linear programming based technique for measuring the relative efficiency of homogenous decision making units by their input-output rates. In the Risk-Based DEA, traditional and modern risk measures are used as inputs of the model and the mean return as an output. We consider Conditional Value at Risk (CVaR) as a modern risk measure of financial asset returns. Another approach for the efficiency is Stochastic Dominance (SD) rule that takes into account the entire distribution of return, rather than the return distribution characteristics. There are several papers show that SSD constraints related to the CVaR constraints in an optimization model. Therefore, we compare Risk-Based DEA results with optimization problem with SSD constraints in the empirical study. We also test SSD efficiency of stock index pairs. The results are valuable for the asset managers who need to evaluate the performance of a stock index among others.
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Birincil Dil en
Konular Sosyal ve Beşeri Bilimler
Dergi Bölümü Makaleler
Yazarlar

Orcid: 0000-0003-3007-9963
Yazar: Neslihan Fidan Keçeci
Ülke: Turkey


Orcid: 0000-0003-0110-2941
Yazar: Yonca Erdem Demirtaş
Ülke: Turkey


Bibtex @araştırma makalesi { alphanumeric345483, journal = {Alphanumeric Journal}, issn = {}, eissn = {2148-2225}, address = {Bahadır Fatih Yıldırım}, year = {2018}, volume = {6}, pages = {25 - 36}, doi = {10.17093/alphanumeric.345483}, title = {Risk-Based DEA Efficiency and SSD Efficiency of OECD Members Stock Indices}, key = {cite}, author = {Erdem Demirtaş, Yonca and Fidan Keçeci, Neslihan} }
APA Fidan Keçeci, N , Erdem Demirtaş, Y . (2018). Risk-Based DEA Efficiency and SSD Efficiency of OECD Members Stock Indices. Alphanumeric Journal, 6 (1), 25-36. DOI: 10.17093/alphanumeric.345483
MLA Fidan Keçeci, N , Erdem Demirtaş, Y . "Risk-Based DEA Efficiency and SSD Efficiency of OECD Members Stock Indices". Alphanumeric Journal 6 (2018): 25-36 <http://dergipark.gov.tr/alphanumeric/issue/33294/345483>
Chicago Fidan Keçeci, N , Erdem Demirtaş, Y . "Risk-Based DEA Efficiency and SSD Efficiency of OECD Members Stock Indices". Alphanumeric Journal 6 (2018): 25-36
RIS TY - JOUR T1 - Risk-Based DEA Efficiency and SSD Efficiency of OECD Members Stock Indices AU - Neslihan Fidan Keçeci , Yonca Erdem Demirtaş Y1 - 2018 PY - 2018 N1 - doi: 10.17093/alphanumeric.345483 DO - 10.17093/alphanumeric.345483 T2 - Alphanumeric Journal JF - Journal JO - JOR SP - 25 EP - 36 VL - 6 IS - 1 SN - -2148-2225 M3 - doi: 10.17093/alphanumeric.345483 UR - http://dx.doi.org/10.17093/alphanumeric.345483 Y2 - 2018 ER -
EndNote %0 Alphanumeric Journal Risk-Based DEA Efficiency and SSD Efficiency of OECD Members Stock Indices %A Neslihan Fidan Keçeci , Yonca Erdem Demirtaş %T Risk-Based DEA Efficiency and SSD Efficiency of OECD Members Stock Indices %D 2018 %J Alphanumeric Journal %P -2148-2225 %V 6 %N 1 %R doi: 10.17093/alphanumeric.345483 %U 10.17093/alphanumeric.345483
ISNAD Fidan Keçeci, Neslihan , Erdem Demirtaş, Yonca . "Risk-Tabanlı VZA ve Stokastik Baskınlık Kriteri ile OECD Üyelerinin Hisse Senedi Endekslerinin Etkinliği". Alphanumeric Journal 6 / 1 (Mart 2018): 25-36. http://dx.doi.org/10.17093/alphanumeric.345483