2008 Krizi Sektörlerin Sistematik Riskini Etkiledi mi? Türkiye Örneği

Abstract

This study examines the effects of the 2008 financial crisis on the betas of four sectors in Borsa Istanbul (BIST) separately as pre-crisis, crisis and post-crisis period. Systematic risks (betas) of these four sectors are calculated through CAPM model with the dummy variable, which includes crisis information exogenously. Afterwards, CAPM was estimated separately for three periods (pre-financial crisis, crisis period and post-crisis) and time varying betas were obtained. Thus, it was determined which sector stocks were perceived as more risky/reliable in crisis period by financial investors. Findings show that service sector stocks are perceived as more reliable and financial sector stocks are perceived riskier by financial investors in crisis period with a decrease in risk appetite.