Risk profile analysis in BIST energy sector

This study was carried out with the aim of determining the systematic and non-systematic risks within the total risks of the stocks belonging to 7 companies operating in the energy sector, which were continuously included in BIST100 in the period of 4 March 2019- 6 March 2020, through the "Pricing Model of Capital Assets". It is also aimed to measure the VaR of 7 stocks by considering the portfolio effect and without considering the portfolio effect. In the study, firstly, daily returns were calculated through the closing values of 7 stocks and UTUM and descriptive statistics were calculated. Afterwards, the VaR of the 722060 TL hypothetical portfolio was calculated. After calculating the beta coefficients, the total risks and their values exposed to total risk are separated as systematic risk and non-systematic risk. In the next step, the contributions of the assets in the portfolio to the total VaR were examined with the IVaR method and the 10-day VaR was calculated. The beta coefficients were examined, and it was found that 2 of the 7 shares had beta coefficients less than 1, thus promising lower returns than the market had, whereas they were less affected by market fluctuations. In the study, the share of systematic and non-systematic risks within the total risk was examined, and it was estimated that the changes in the return on the risk-free interest rate would be reflected on the shares by using the CAPM regression equations.