Akademik Veri Yönetim Sistemi
Yönetim Bilimleri Dergisi, cilt.22, sa.52, ss.576-596, 2024 (Hakemli Dergi)
Global crises are periods when economic uncertainty is at its highest. High uncertainty during the crisis causes panic and fear in investors and leads to sudden fluctuations in the financial markets of all countries. For this reason, it is difficult and important for investors to predict the relationship between risk and return in portfolio investments in the global crisis environment. In this context, the aim of the study is to examine the risk profile of the stock portfolio created for a representative investor in the Covid-19 epidemic, which is accepted as a global crisis. In the study, the equity portfolio of the representative investor during the pandemic is created using the stocks in the XU30 index for the dates 11 March 2020- 9 April 2022. The risk profile of this portfolio is determined with the help of the Capital Asset Pricing Model. The model findings show that the representative investor is exposed to systematic risk in her investment in ENKAI, GUBRF and HEKTS equities in her portfolio during the pandemic process. However, the representative investor is exposed to unsystematic risk when investing in equities other than these stocks. In the related literature, the findings regarding the pre-crisis period show that the representative investor with a similar portfolio is faced with more systematic risk. From the model findings, it is seen that the representative investor is more exposed to unsystematic risk during the pandemic process. This shows that the risk profile of the XU30 portfolio has changed in the Covid-19 pandemic. In this context, it can be stated that the effect of firmspecific risks on the return is more important in the Turkish stock market during the pandemic process.
Keywords: Capital Asset Pricing Model, Risk Decomposition, Value at Risk.
JEL Codes: G11, G12.