Fama French 5 Factor Model Versus Alternative Fama French 5 Factor Model: Evidence from Selected Islamic Countries
Yıl: 2021 Cilt: 0 Sayı: 45 Sayfa Aralığı: 427 - 461 Metin Dili: İngilizce DOI: 10.28949/bilimname.952079 İndeks Tarihi: 29-07-2022
Fama French 5 Factor Model Versus Alternative Fama French 5 Factor Model: Evidence from Selected Islamic Countries
Öz: In this study, the validity of the five-factor model in developing and underdeveloped countries was investigated in 2012-2020, as well as the validity of the model to be created by using the inflation rate instead of the risk-free interest rate, and the answers to the questions of its comparison with the original model. In seeking an answer to this question, Pakistan, Malaysia, Indonesia and Turkey were selected as the countries with interest-sensitive investors. In the study, the Kuala Lumpur Composite Index (KLCI) for Malaysia, the Jakarta Islamic Index (JKII) for Indonesia, the Karachi Meezan Index (KMI) for Pakistan and the Participation Index (KATLM) for Turkey were selected for the study and analysis was carried out on the top 30 companies in the index.In terms of the created portfolios, it is seen that different portfolios are effective in terms of the highest excess return in selected countries. In fact, it has been observed that the portfolio with the highest extreme return in a country has the lowest return in the other country. It can only be said that the excessive return of small firms is greater than that of large firms. Looking at the fluctuation of excess returns, it is seen that Pakistan and Indonesia markets are risky, while Malaysia is the least risky. As a result of the analysis, evidence has been obtained that the original model has little advantage over the inflation model and that they are very close to each other. It can be said that the FF5F model is also effective in developing and underdeveloped country markets, and interest-sensitive investors can model using the inflation rate.
Anahtar Kelime: Fama French 5 Faktör Modeline Karşı Alternatif Fama French 5 Faktör Modeli: Seçilmiş İslam Ülkeleri Uygulaması
Öz: Bu çalışmada, 2012-2020 yıllarında hem beş faktörlü modelin gelişmekte olan ve az gelişmiş ülkelerde geçerliğine cevap aranırken, bir yandan da risksiz faiz oranı yerine enflasyon oranı kullanılarak oluşturulacak modelin geçerliliği ve orijinal model ile karşılaştırılması sorularına cevap aranmıştır. Bu soruya cevap aranırken faiz hassasiyeti olan yatırımcıların olabileceği ülkeler olarak Pakistan, Malezya, Endonezya ve Türkiye seçilmiştir. Çalışmada Malezya için Kuala Lumpur Bileşik Endeksi (KLCI), Endenozya için Jakarta İslami Endeksi (JKII), Pakistan için Karachi Meezan Endeksi (KMI) ve Türkiye için ise Katılım Endeksi (KATLM) seçilmiş ve endeksteki en büyük 30 firma üzerinden analiz gerçekleştirilmiştir. Oluşturulan porföyler açısından, seçilen ülkelerde en yüksek aşırı getiri açısından farklı portföylerin etkin olduğu görülmektedir. Hatta bir ülkede en yüksek aşırı getiriye sahip olan portföyün, diğer ülkede en düşük getiriye sahip olduğu görülmüştür. Sadece küçük firmaların aşırı getirisinin, büyük firmalardan fazla olduğu söylenebilir. Aşırı getirilerin dalgalanmasına bakıldığında Pakistan ve Endonezya piyasalarının riskli olduğu, Malezya’nın ise en az riskli olduğu görülmektedir. Yapılan analizler sonucunda, orijinal modelin enflasyonlu modelden küçük üstünlüğünün bulunduğu ve birbirilerine çok yakın olduğuna dair kanıtlar elde edilmiştir. FF5F modelinin gelişmekte olan ve az gelişmiş ülke piyasalarında da etkin olduğu ve faiz hassasiyeti olan yatırımcıların enflasyon oranını kullanarak modelleme yapabileceği söylenebilir…
Anahtar Kelime: Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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| APA | Özer N, ÖNCÜ M, ÖZER A, ÇÖMLEKÇİ İ (2021). Fama French 5 Factor Model Versus Alternative Fama French 5 Factor Model: Evidence from Selected Islamic Countries. , 427 - 461. 10.28949/bilimname.952079 |
| Chicago | Özer Nevin,ÖNCÜ Mehmet Akif,ÖZER Ali,ÇÖMLEKÇİ İstemi Fama French 5 Factor Model Versus Alternative Fama French 5 Factor Model: Evidence from Selected Islamic Countries. (2021): 427 - 461. 10.28949/bilimname.952079 |
| MLA | Özer Nevin,ÖNCÜ Mehmet Akif,ÖZER Ali,ÇÖMLEKÇİ İstemi Fama French 5 Factor Model Versus Alternative Fama French 5 Factor Model: Evidence from Selected Islamic Countries. , 2021, ss.427 - 461. 10.28949/bilimname.952079 |
| AMA | Özer N,ÖNCÜ M,ÖZER A,ÇÖMLEKÇİ İ Fama French 5 Factor Model Versus Alternative Fama French 5 Factor Model: Evidence from Selected Islamic Countries. . 2021; 427 - 461. 10.28949/bilimname.952079 |
| Vancouver | Özer N,ÖNCÜ M,ÖZER A,ÇÖMLEKÇİ İ Fama French 5 Factor Model Versus Alternative Fama French 5 Factor Model: Evidence from Selected Islamic Countries. . 2021; 427 - 461. 10.28949/bilimname.952079 |
| IEEE | Özer N,ÖNCÜ M,ÖZER A,ÇÖMLEKÇİ İ "Fama French 5 Factor Model Versus Alternative Fama French 5 Factor Model: Evidence from Selected Islamic Countries." , ss.427 - 461, 2021. 10.28949/bilimname.952079 |
| ISNAD | Özer, Nevin vd. "Fama French 5 Factor Model Versus Alternative Fama French 5 Factor Model: Evidence from Selected Islamic Countries". (2021), 427-461. https://doi.org/10.28949/bilimname.952079 |
| APA | Özer N, ÖNCÜ M, ÖZER A, ÇÖMLEKÇİ İ (2021). Fama French 5 Factor Model Versus Alternative Fama French 5 Factor Model: Evidence from Selected Islamic Countries. Bilimname, 0(45), 427 - 461. 10.28949/bilimname.952079 |
| Chicago | Özer Nevin,ÖNCÜ Mehmet Akif,ÖZER Ali,ÇÖMLEKÇİ İstemi Fama French 5 Factor Model Versus Alternative Fama French 5 Factor Model: Evidence from Selected Islamic Countries. Bilimname 0, no.45 (2021): 427 - 461. 10.28949/bilimname.952079 |
| MLA | Özer Nevin,ÖNCÜ Mehmet Akif,ÖZER Ali,ÇÖMLEKÇİ İstemi Fama French 5 Factor Model Versus Alternative Fama French 5 Factor Model: Evidence from Selected Islamic Countries. Bilimname, vol.0, no.45, 2021, ss.427 - 461. 10.28949/bilimname.952079 |
| AMA | Özer N,ÖNCÜ M,ÖZER A,ÇÖMLEKÇİ İ Fama French 5 Factor Model Versus Alternative Fama French 5 Factor Model: Evidence from Selected Islamic Countries. Bilimname. 2021; 0(45): 427 - 461. 10.28949/bilimname.952079 |
| Vancouver | Özer N,ÖNCÜ M,ÖZER A,ÇÖMLEKÇİ İ Fama French 5 Factor Model Versus Alternative Fama French 5 Factor Model: Evidence from Selected Islamic Countries. Bilimname. 2021; 0(45): 427 - 461. 10.28949/bilimname.952079 |
| IEEE | Özer N,ÖNCÜ M,ÖZER A,ÇÖMLEKÇİ İ "Fama French 5 Factor Model Versus Alternative Fama French 5 Factor Model: Evidence from Selected Islamic Countries." Bilimname, 0, ss.427 - 461, 2021. 10.28949/bilimname.952079 |
| ISNAD | Özer, Nevin vd. "Fama French 5 Factor Model Versus Alternative Fama French 5 Factor Model: Evidence from Selected Islamic Countries". Bilimname 45 (2021), 427-461. https://doi.org/10.28949/bilimname.952079 |
