Systematic and non-systematic risks and their components on sectoral basis: The analysis of Borsa İstanbul

Risk concept consists of the non-systematic risk, originating from sectoral situation and restrainable by portfolio diversification, and the systematic risk, originating from general structure of the market. Inflation risk, currency risk, interest rate risk and the political risk generate the sources of the systematic risk, besides that financial risk, operational risk, industrial risk and management risk generate the sources of the non-systematic risk. In this study; systematic and non-systematic risks of 16 sub-sectors, which are traded in BIST Industry, BIST Service, BIST Financial and BIST Technology indices, were decomposed by using CAPM model, also relations between their components were analyzed on sectoral basis. In the first part of this study, the goal and the importance of the study were designated; definitions about the study, fundamental concepts and mathematical methods related to risk measuring, risk calculation and risk decomposition were emphasized. In the second part, literature was presented; in the third part, data sets and sample of the study, the process of data collection and data compilation, and the analysis methods were explained. In the fourth part, the findings of time series analyses to determine the components of systematic and non-systematic risks were stated. In the last part, for all 16 sub-sectors, the components of systematic and non-systematic risks were explained; the results of the analyses were interpreted; and the suggestions for future studies were proposed. Keywords: Systematic Risk, Non-systematic Risk, CAPM, Risk Decomposition, Time Series Analysis