Menkul kıymetler sistemi

Sürek, Özlem Özerdim
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Fen Bilimleri Enstitüsü
Bu tez, genel olarak, Sermaye piyasalarının hızla geliştiği günümüzde, Sermaye piyasalarının konusunu teşkil eden men kul kıymetlerin karakteristiklerinin incelenmesini ve bunların analizini içermektedir. Birinci bölüm, sermaye piyasaları konusuna giriş niteliğindedir ikinci bölümde, konuyla ilgili temel kavramlardan söz edilmekte ve genel ekonomi çerçevesi içinde piyasaların işleyişi özetlenmektedir. Üçüncü bölümde, Türkiye'de sermaye piyasasının oluşumu, gelişmesi ve bugün ulaştığı konum incelenmektedir. Dördüncü bölümde, sermaye piyasasının araçları olan menkul kıymetlerin çeşitleri üzerinde durulmaktadır. Beşinci bölümde, risksiz menkul kıymetlerin değerlendirme yöntemleri incelenmektedir. Altıncı bölümde ise, riskli menkul kıymetlerin (hisse senetlerinin) farklı değerlendirme yöntemleri analiz edilmektedir. Yedinci bölümde, klasik anlamda portföy teorisinden bahsedilmekte ve yatırımcının karar verme prosesi incelenmektedir. Sekizinci bölümde ise, klasik anlamdaki portföy teorisini basitleştiren, son yıllarda geliştirilmiş olan, modern portföy yönetimi üzerinde durulmakta ve bu modern portföy teorisinin önemli bir sonucu olan Tek-îndeks Modelinin karakteristiklerini ve bu modelin işleyişini içermektedir. Yine bu bölümde tek-indeks modeliyle ne şekilde bir optimum portföy oluşturulduğu bir örnek yardımıyla anlatılmaya çalışılmaktadır. Dokuzuncu bölüm tek-indeks modelinin işleyişini içeren- bir uygulama niteliğindedir. Uygulama sırasında, her bir menkul kıymet için lotus programı vasıtasıyla, regresyon analizi yapılmış, tek-indeks modelinin karakteristikleri olan beta ve al fa katsayıları ve hata varyansları bulunmuştur. Bunu izleyen aşamada kritik değerler elde edilerek optimum portföy oluşturulmuştur. Elde edilen sonuçlar, bir sonraki dönemler için incelendiğinde, optimuma yaklaşıldığı görülmektedir.
Securities are key participants of the capital markets. In a country, capital markets make the function of the market economy more effective. Thanks to capital markets, household consumption has a tendency to decrease, whereas saving has a tendency to increase. Consequently, the economy will have an accumulation of capital, and the accumulations will provide a growth" in the economy. This study will describe all the securities, that are issued and traded in the capital market and will include the analysis of these securities. The capital market may be defined as the network of borrowers and lenders for medium term and long term funds. Medium term is understood to be usually between one and five years, though one to three years is defined as short term in some countries and the medium term may be understood to extend to ten years in other countries. Long term is any period that is longer than the medium term and may extend to periods of 15 years, 40 years or, in some cases have no finite term. A wide variety of borrowers and lenders make up the capital markets. Each has a different set of preferences as regards interest rates, maturity, liquidity and risk, so a diversity of financial instruments exist in order to satisfy the requirements of both borrowers and lenders. Broadly defined the types of instruments within the capital market are debt securities (i.e. bonds, notes, etc.) equities, commodities (including gold as a special case) and other markets (e.g. futures markets). Debt securuties debentures, or bonds are loan issues. They may have a specified maturity or may be redeemed on series of dates; some have no fixed redemption dates and some may be redeemed by prearranged sinking fund or by lottery. Most have fixed rates of interest, though some may have variable or floating interest rates, which have become a feature of some types of markets due to volatile interest levels experienced by many countries in recent years. In general terms, a bond which is used most commonly in - ix - capital markets, is a negotiable debt instrument issued by a borrower for a fixed period of time, paying interest known as a coupon which is fixed at a issue date and is paid regularly to the holder of the bond until it is redeemed at maturity, when the principal amount is repaid. Governments, semi-goverments, instrumentalities, corporations, banks etc. may issue bonds; and investors, pension funds, insurance companies, banks, governments, semi-goverment, corporations, traders, etc. may buy bonds. A cash flow of a bond is equal to regularly fixed coupon payments plus principal repayment. Bonds vary in timing, amount, certainty of these cash flows. The bonds* differences can be seen in their comparison with using concept of annual return, in their coupon yields, yield to maturity. Detailed explanations about these concepts are given in Chapter 5. Moreover, there is a concept of a bond; Duration. Duration is the sum of the time-weighted contributions of individual period cash flows to bond value. It is a fundamental measure of bond volatility. Increasing maturity of a bond increases duration; increasing number of cash flows per year, reduces duration; increasing yield to maturity reduces duration. In other words, the longer the duration, the more responsive a bond is to a change in yields. Equity share issues are a common way by which companies (which are, in general, net debtors) raise funds. The use of the equity market, in preference to debt issues or direct borrowing from banks and financial institutions, depends largely on the nature of a country's particular financial infrastructure. In the UK for example, corporations tend mainly to tap the equities market for additional funds, while in France, only large corporations regularly make issues in the equity market, since most French companies prefer to borrow from banks or financial institutions or to make debt issues in the bond market. In Turkey, in recent years, high interest rates force companies to issue equity shares. Equities or ordinary shares are issued by limited liability companies as risk capital. As with fixed interest securities they have a nominal value and this can be very different from the market value or price of the share. The actual nominal value of a share may reflect the original amount of money raised by issuing shares (since no share may be issued at a price below its nominal value). One of the features distinguishing ordinary shares from other types of security is the holders' right to vote. Preference shareholders usually only have the right to vote in special circumstances, for example when the preference divident has not been paid. However, participating preference shares are - x - a type of share with a fixed interest dividend plus some right to a share in the profits may well have voting rights. Fixed interest securities, whether company -or goverment issued have a specified maturity or spread of redemption dates. Ordinary share capital, however, like most preference share capital, is usually irredeemable. Ordinary shares thus have an indefinite life, unless the company is wound up, voluntarily or involuntarily, or there is some scheme to reduce the share capital, or the company is taken over. So, except when the company is forced into liquidation, the voting shareholders have a say in whether their shares should be repaid or acquired. The attraction of ordinary shares is their limited liability and possible unlimited returns. An investor with fully paid ordinary shares can never lose more than 100% of his investment, but his return on the shares can be far greater than this. Fixed interest securities have specified income, in the form of the periodic coupon and the repayment on maturity. Although the holding period rate of return can vary according to changes in price of the fixed interest security, the returns on fixed interest securities will on average be less volatile than those on ordinary shares, where both the income and the future share price are uncertain. There are some measures for ordinary shares; expected holding period return, price-earnings ratio, dividend payout ratio, divident cover. Detailed explanations on divident measures are given in Chapter 6. Objectives of equity analysis can be indicated in below: - to find the "Correct" way to value equities - to find a rule which selects stocks which will show above - average performance - to find the "intrinsic" value f a stock. That is, the value the security ought to have and will have when other investors have the same insight and knowledge as the analyst. Other markets also exist in some countries other than bond and equity markets. Gold may be traded as a commodity or may be linked to financial securities. Other commodities are traded in specific forward or futures markets in certain countries. An investor in a capital market, is faced with a choice from among an enormous number of assets. When one considers, the number of possible assets and the various possible - xi - proportions in which each can be held, the decision process seems overwhelming. For determining security, that is a candidate for inclusion in an investor's portfolio, it is necessary to estimate the expected return on each security. Meanwhile, it is necessary to estimate the variance of each security plus the correlation between each possible pair of securities for the stocks under consideration. The need for estimates of correlation coefficients differs both in magnitude and substance from the two previous requirements. The principal job of the security analyst traditionally has been to estimate the future performance of stocks that he follows. At a minimum this means producing estimates of expected returns on each stock he follows. With the increased attention that "risk" has received in recent years, more and more analysts are providing estimates of risk as well as return. The analyst who estimates the expected return of a stock should also be in a position to estimate the uncertainty of that return. Correlations are an entirely different matter. Portfolio analysis calls for estimates of the pairwise correlation between all stocks that are candidates for inclusion in a portfolio. The problem is made more complex by the number of estimates required. Most financial institutions follow between 150 and 250 stocks. To employ portfolio analysis, the institution needs estimates of between 150 and 250 expected returns and 150 and 250 variances. The institution that follows between 150 and 250 stocks needs between 11,175 and 31,125 correlation coefficients. The sheer number of inputs is staggering. It seems unlikely that analysts will be able to directly estimate correlation structures. Their ability to do so is severily limited by the nature of feasible organizational structures and the huge number of correlation coefficients that must be estimated. Recognition of this has motivated the search for the development of models to describe and predict the correlation structure between securities. The most widely used model developed for forecasting correlation assumes that the co-movement between stocks is due to a single common influence or index. This model is appropriately called the single-index model. Casual observation of stock prices reveals that when the market goes up, most stocks tend to increase in price, and when - xn - the market goes down, most stocks tend to decrease in price. This suggests that one reason securty returns might be correlated is because of a common response to market changes, and a useful measure of this correlation might be obtained by relating the return on a stock to the return on a stock market index. For using the single index model, components listed below are sufficient : - expected return on each security that is independent of the market ' s performance - measurement of sensitivity of each security's return is to the return on the market - unique risk of each security. - expected return and variance of the market index. If N is the number of securities that may enter an investor's portfolio, the number of these estimates are 3N+2. Thus, the most important advantage of the single index model appears. Detailed informations on the single-index model, are given in Chapter 8. Chapter 9 includes an application of the single-index model. In this application, the regression analys have been used by means of the LOTUS program. Alpha, Beta and unique risk (error variance) of each security have been found. The cut-of rate have been calculated and then the optimum portfolio have been obtained. When you examine the results of the solution, you'll see that the optimum result is approached. The last chapter is the resultant chapter of the whole study.
Tez (Yüksek Lisans) -- İstanbul Teknik Üniversitesi, Fen Bilimleri Enstitüsü, 1991
Anahtar kelimeler
Hisse senetleri, Menkul kıymetler, Portföy yönetimi, Sermaye piyasası, Türkiye, Stocks, Securities, Portfolio management, Capital market, Turkey