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Borsa Istanbul Hisse Senedi Getirilerinin ANFIS Aracýlýðýyla Tahmin Edilmesi

Author

Listed:
  • Salim Sercan SARI

    (Erzincan Binali Yýldýrým University)

  • Þule Yüksel YÝÐÝTER

    (Erzincan Binali Yýldýrým University)

Abstract

Bu çalýsmada, hisse senedi getirilerinin yatýrýmcý duyarlýlýgý aracýlýðý ile tahmin edilmesi ve yatýrýmcý duyarlýlýgýnýn yatýrýmcýlarýn davranýslarý üzerindeki etkisinin ortaya konmasý amaçlanmaktadýr. Tahmin için gelistirilen modellerde bagýmlý deðiþken olarak BIST 100 Getiri Endeksi, bagýmsýz degisken olarak ise yatýrýmcý duyarlýlýgýný temsil eden deðiskenler (islem hacmi, islem görme oraný vb.) kullanýlmýstýr. Veriler bulanýk mantýk (ANFIS) yöntemi ile analiz edilmistir. Yapýlan analizlerde, 2007- 2018 yýllarý arasýndaki aylýk veriler dikkate alýnmýstýr. Degiþkenlere ait toplanan 144 aylýk verinin %70’lik kýsmý egitim verisi olarak, %30’luk kýsmý ise matematiksel modellerin tahmin basarýsýný ölçmek için kullanýlmýstýr. Elde edilen sonuçlar, yatýrýmcý duyarlýlýgýnýn hisse senedi getirilerini tahmin etme konusunda basarýlý oldugu göstermektedir. Özellikle islem hacmi ve islem görme oraný degiþkenleri hisse senedi getirilerini önemli ölçüde tahmin edebilmistir. Yatýrýmcý duyarlýlýgýný ölçen degiskenler arasýnda tahmin gücü en düsük olan degiþken, ortalama fon akýsý degiskenidir. Sonuçlar genel olarak, BIST 100 Getiri Endeksinin yatýrýmcý duyarlýlýgý aracýlýgýyla tahmin edilebildigini ortaya koymaktadýr.

Suggested Citation

  • Salim Sercan SARI & Þule Yüksel YÝÐÝTER, 2020. "Borsa Istanbul Hisse Senedi Getirilerinin ANFIS Aracýlýðýyla Tahmin Edilmesi," Bingol University Journal of Economics and Administrative Sciences, Bingol University, Faculty of Economics and Administrative Sciences, vol. 4(1), pages 171-193, August.
    • Handle: RePEc:bgo:journl:v:4:y:2020:i:1:p:171-193repec/bgo/
    DOI: https://doi.org/10.33399/biibfad.748019
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    More about this item

    Keywords

    Davranýssal finans; yatýrýmcý duyarlýlýgý; tahmin; ANFIS.;
    All these keywords.

    JEL classification:

    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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