BİST30 Endeksinin Risk Profilinin Belirlenmesi: Covid-19 Pandemisi Örneği

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.