SIGNIFICANCE TEST OF BETA COEFFICIENT FOR BIST 30 (2016-2017 PERIOD)

Investment decisions are made on various stock markets all around the world based on beta coefficient for single stocks or portfolios. For some markets, this beta coefficient helps them make right estimations but for some, these estimations are completely wrong. This study aims to see if the investment decisions made in Borsa Istanbul stock market, especially in BIST30 (locomotive shares of Borsa Istanbul) based on beta coefficient or portfolio betas are competible with the significance test on every single stock. In order to make a more reliable conclusion on beta coefficient’s relationship with market return, calculations are made based on the daily incomes that has the lowest standart defect rates and then they are put to regression analysis. With this purpose, first every single stock in BIST30 and after, portfolios of 10s and 20s which are chosen randomly are evaluated to see the relationship between market income and beta coefficient for 2016-2017 period for 24 months. After analyzing every one of 30 stocks and seeing that only 4 stocks had meaningful beta coefficient, a ratio for 4/30 seemed low and decided not to be a significant decision making tool. After the results of regression analysis with single stock and portfolio betas, beta coefficient appeared as not a good decision making foundation for BIST-30. Possible reasons for this particular outcome is also researched in this paper at the conclusion part