Istanbul Stock Exchange Market Research Articles

Development of a New Composite Index for Measuring the Sustainability Performance of Manufacturing Companies Operating in the BIST Sustainability Index

The number of studies on sustainability assessment tools and models has increased in the last two decades. Composite Indexes (CIs) have become popular as a useful tool for assessing business level sustainability to compare the companies operating in the same sector. Limited studies have covered all three dimensions (economic, environmental, and social) of the sustainability assessment in an integrated manner in Turkey. This paper aims to measure and evaluate the Corporate Sustainability (CS) performances of ten manufacturing companies operating in the Istanbul Stock Exchange Market. For this purpose, a new integrated sustainability composite index was developed by using previous composite indexes in the literature. The developed assessment model provides a practical tool for the organizations in the manufacturing sector in Turkey by measuring and evaluating their sustainability performances in a holistic way. By using the analytical hierarchy process (AHP), the levels of the sustainability performances of ten manufacturing organizations were assessed in a short time. The index allows managers to make comparisons among companies within the same sector. The results further indicated that the economic dimension score of the analyzed organizations had a weighty and salient effect on the total corporate sustainability performance score. This finding contributes to the literature that economic performance is predominantly effective in the sustainability performance of businesses.

The Covid-19’s Impact on Stock Prices among Different Sectors - An Event Study Based on the Istanbul Stock Exchange Market

The Covid-19 pandemic has deeply affected our health and social life as well as the financial markets. Although the global economic effects of the coronavirus are not yet clear, it is observed that there is a reaction in the financial markets to the developments related to the pandemic. Studies show that the pandemic has strong impact on stock markets and increases uncertainty. The purpose of this study is to examine whether the stock prices of companies traded on the Istanbul Stock Exchange Market between 02.14.2019 and 04.01.2020 are affected by the Covid-19 pandemic. In this context, the stock prices of the six major sectors traded and thought to be affected in Istanbul Stock Exchange Market during the period examined were analyzed using the "event study" method of the effects of Corona virus. In the analysis, the event window was taken as (- 15, + 15) trading days. The effects of the Corona virus in the relevant period were examined separately for each company in the selected sectors, and after calculating the abnormal returns, the effect on the average abnormal returns and cumulative abnormal returns were analyzed. According to the research results; when the general picture of selected sectors in Covid-19 is examined, statistically significant negative average cumulative abnormal returns are obtained. According to these results, Istanbul Stock Exchange has affected by Covid-19 pandemic during the period under examination.

Adaptive Market Hypothesis and Return Predictability: A Hidden Markov Model Application in Borsa Istanbul

The adaptive market hypothesis (AMH) has recently attracted significant interest in the financial literature. The AMH has started to be considered an alternative to the efficient market hypothesis. In this respect, this study, first of all, examines the AMH for the BIST100 index of Turkey’s Borsa Istanbul stock exchange market by testing the return predictability. The applications are performed via automatic portmanteau and the generalized spectral (GS) tests using daily closing price data between January 1988 and December 2017. Secondly, the results of these tests are utilized for a hidden Markov model (HMM) application to examine the periods that yield return predictability. According to the results, it is observed that there is strong evidence for the validity of AMH within the scope of Borsa Istanbul’s BIST100. Additionally, the results of the HMM application confirm the periodic predictability regarding the determinants of the index.

RELATIONSHIP BETWEEN INTELLECTUAL CAPITAL AND FINANCIAL PERFORMANCE: A RESEARCH ON BİST SMS INDUSTRY INDEX FIRMS

Bu çalışmanın amacı, BİST KOBİ SANAYİ endeksinde yer alan firmaların Entelektüel Sermayeleri ile Firma Performansları arasındaki ilişkiyi araştırmaktır. 20013-2015 yılları arasında BİST’e kayıtlı, KOBİ ölçeğindeki firmaların verileri kullanılmıştır. Bu çalışmada, Ante Pulic tarafından geliştirilen Entelektüel Katma Değer Katsayısı (VAIC) yöntemi kullanılmıştır. Firma piyasa değeri (MB), aktif devir hızı (ATO), aktif kârlılık (ROA) ve öz sermaye kârlılığı (ROE) performans ölçüsü olarak kullanılmıştır. Verimlilik ölçüsü aktif devir hızı (ATO), kârlılık ölçüleri için de aktif kârlılık (ROA) ve öz sermaye kârlılığı (ROE) kabul edilmiştir. Çoklu regresyon ve Korelasyon yöntemi kullanılarak analizler yapılmıştır. Bu çalışmada, VAIC ve bileşenlerinin KOBİ ölçeğindeki firmalarda kârlılık üzerinde önemli etkilerinin bulunduğu görülmüştür.

Fractional Interaction of Financial Agents in a Stock Market Network

Abstract In this study, we present a model which represents the interaction of financial companies in their network. Since the long time series have a global memory effect, we present our model in the terms of fractional integro-differential equations. This model characterize the behavior of the complex network where vertices are the financial companies operating in XU100 and edges are formed by distance based on Pearson correlation coefficient. This behavior can be seen as the financial interactions of the agents. Hence, we first cluster the complex network in the terms of high modularity of the edges. Then, we give a system of fractional integro-differential equation model with two parameters. First parameter defines the strength of the connection of agents to their cluster. Hence, to estimate this parameter we use vibrational potential of each agent in their cluster. The second parameter in our model defines how much agents in a cluster affect each other. Therefore, we use the disparity measure of PMFGs of each cluster to estimate second parameter. To solve model numerically we use an efficient algorithmic decomposition method and concluded that those solutions are consistent with real world data. The model and the solutions we present with fractional derivative show that the real data of Borsa Istanbul Stock Exchange Market always seek for an equilibrium state.

Macroeconomic Determinants of Stock Market Fluctuations: The Case of BIST-100

The purpose of this study is to analyze the impacts of some prominent macroeconomic factors on the Turkish Stock Market index, BIST-100 (Borsa Istanbul-100). For centuries, and mostly since the 20th century, stock markets are at the heart of economies. In our era, the largest economic crises arise from the stock market instabilities and thus, the stock markets are the focus of interest of the economy. Economists, investors, and policymakers try to predict the tendency of share prices, which substantially depend on foreign and domestic macroeconomic factors. Within this purpose, this study tries to investigate the impact of some selected macroeconomic factors on BIST-100 index over the 2003Q1–2017Q4 period. The findings obtained from the quarterly data via the ARDL Bounds Test suggest that economic growth, the relative value of the domestic currency, portfolio investments and foreign direct investments raise the stock market index while interest rate and crude oil prices negatively affect it. The results briefly reveal that the Istanbul Stock Exchange Market needs stronger domestic currency, higher international capital inflows, and lower energy and investment costs.

Intellectual Capital Efficiency: The Case of Football Clubs

The constant increase in the importance and popularity of sports has created an industry of a scale of billion dollars. Lately, sports clubs have extended their views by opening sports schools, facilities, stadiums, merchandise stores and even restaurants in addition to their core activities in the area. This expansion makes for the need of a professional management for sports clubs, as they can immediately be considered commercial whereas, the structure of the value added factors is rather different than that of traditional enterprises. Given that, the principal elements of the sports are the human power as executives, players, and technical committee and traditional accounting methods are very inefficient to evaluate these valuable factors. Accordingly, the intellectual capital is far more important than financial capital in the case of the sports industry. The Value Added Intellectual Coefficient (VAICTM) method that quantifies and monitors the value creation efficiency in the company by using accounting-based figures is recognized as a potent instrument to assess the intellectual capital efficiency. This work points to explore the intellectual capital performance calculated by the VAICTM method for the sports clubs along the Istanbul Stock Exchange Market in Turkey namely; Fenerbahce, Galatasaray, Besiktas, and Trabzonspor. Additionally, the impact of VAICTM on firms’ leverage ratio, size, market value, profitability, and efficiency is investigated. To determine the effect of independent variables for the explanation of each performance indicator, six different multiple regression models are generated for twelve different hypotheses. Accordingly, it is found that, there are statistically significant relations between the size of the enterprise, market value and ROA; efficiency, VAICTM, and firm leverage. Finally the ordering with respect to the intellectual capital efficiency of the sports clubs is gathered. By this study it is aimed to create a map that shows the effects of the sports clubs’ qualifications on the intellectual capital efficiency, on the purpose of generating suggestions that ensure development on the clubs’ performance.

The relationship between intellectual capital and banking performance in Turkey: evidence from panel data

The purpose of this study is to investigate empirically the relationship between investment in intellectual capital and the performance of Turkish banking sector both in short and long period from 1995 to 2006. The intellectual capital performance of quoted banks in Istanbul stock exchange market is measured using value added intellectual coefficient (VAICTM), and the effect of these intellectual capital components on banking performance are tested using panel data regression analysis. The results indicate that intellectual capital is enhancing banks profitability, market value and productivity especially in long period.

An Empirical Analysis of Impact of Central Bank Policy Interest Rate on the Decisions of Share Investors: Evidence from Turkey

The purpose of this study is to analyse the impact of policy interest rate decisions of the Central Bank on investment decisions of share investors who make investment within Istanbul Stock Exchange Market (ISE) in Turkey whether the ISE is an efficient market as of the monetary policy. These analyses were carried out by data composed of 88 observations covering 2002-2010 period. Two variables are used in the scope of the analysis. The first variable is the policy interest rate applied by the Central Bank. And the second variable is the ISE National 100 index. Two separate impulse-response analyses were applied within the scope of the analysis.According to findings of both of the analyses which are obtained as a result of the study, it is seen that investors to not react to interest shock in the short term.

Application of TOPSIS Technique for Financial Performance Evaluation of Technology Firms in Istanbul Stock Exchange Market

For nearly thirty years, technology has been the fastest-growing sector in Turkey where firms centering on software creations, information technology and electronic products prevail. In today's increasingly competitive environment, an accurate and appropriate evaluation of financial performance bears considerable significance for a firm that targets to successfully maintain her market position and protect their market shares against potential risks in the future. This paper aims to propose a multi- criteria decision-making model to measure and compare the financial performance of thirteen technology firms trading in Istanbul Stock Exchange. These firms are examined and assessed in terms of ten financial ratios which are combined to obtain a financial performance score by using Technique for Order Preference by Similarity to Ideal Solution Methods (TOPSIS). TOPSIS helps to rank these firms for three-year time period between 2009 and 2011. This study will find out whether the ranking results of TOPSIS and the ranking results of the firms’ market value in question overlap or not.

The Stock Market Response to Securitisation Announcements of Turkish Banks

This paper analyses the impact of securitisation announcements on the originator banks’ share prices. In order to verify any significant impact, an event study methodology applied to the securitisation transaction announcements for the banks listed in Istanbul Stock Exchange Market (ISEM) between 2003 and 2010.The primary finding is that the market reacts positively to securitisation announcements. Also, in order to demonstrate any effect of upcoming of Global Financial Crisis, a dual partition is constructed. In the first period between 2003 and 2005 the returns were positive; in the following period between 2006 and 2010 the abnormal returns were insignificantly negative. This result suggests that the returns from the securitisation announcements are time dependent.Additional analysis indicates that the impact of securitisation is positively associated with prior profitability of the originator bank and the relative amount of the securitised assets. There was also a negative relationship between the prior liquidity of the bank and the return: the lower the prior liquidity of the bank, the higher the returns. These results are inferred as market assesses the financial slack positively – conditional upon the profitability of the bank. If the proceeds of the securitisation transaction are likely to be reinvested in positive net present value projects, the market sees the wealth generation opportunity and discounts the transaction accordingly.

The Dynamical Relationship between Oil Price Shocks and Selected Macroeconomic Variables In Turkey

In many empirical studies, the dynamic relationship among energy sector variables (such as, oil, electricity, gasoline, coal, renewable energy, etc.) and economic variables (such as; financial markets, real economy and the overall economy) are studied. Oil price changes may affect the economic variables more of oil importer countries then oil exporter countries especially emerging markets. In addition to this, oil price changes and shocks may be an important device to explain stock market index return. In this paper, Istanbul stock exchange market index (ISE-100), interest rates, exchange rates and oil price are analyzed by using a vector autoregressive (VAR) approach for Turkey. The results suggest that there is a dynamic relationship among oil price shocks, Istanbul stock market index, exchange rate and interest rate.

The behaviour of the Istanbul Stock Exchange Market: An intraday volatility/return analysis approach

This study investigates intraday effects in the Istanbul Stock Exchange (ISE) during the latest period of financial turmoil which began in August 2007 and extended to February 2010. We tested for the possible existence of intraday anomalies using both return and volatility equations, empirically applying GARCH (p,q) models. The unique data set we utilized was compiled from 15-min intraday values of the ISE-100 Index which are formed by averaging historical ten-second tick data. This study contributes to the current literature in three distinct ways. Firstly, the basic characteristics of the unique data used in this research were investigated in detail. Secondly, four range-based volatility measures, namely Garman Klass (GK), Yang-Zhang (YZ), Rogers-Satchell (RS) and Parkinson (PK), were employed to take more precise measurements of volatility for intraday data analysis in order to identify the changes in general market sentiment using opening, closing, high and low prices. Thirdly, we estimated the relative efficiency of GK, YZ, RS and PK by applying GARCH (p,q) models. The results are quite promising, indicating that strong opening price jumps are present for daily and morning calculations. They illustrate that the YZ estimator has relatively more power in generating tolerable volatility patterns.

The Relation between Diversification Strategy and Organizational Performance: A Research on Companies Registered to the Istanbul Stock Exchange Market

The aim of this study is to examine the relationship between applications of diversification strategies and organizational performance realized during the recent economic crisis. Rumelt classifies diversification strategies into concentric diversification, core business-based diversification, related diversification and unrelated diversification. Diversification strategy and organizational performance relationship seems to differ across the developed and developing countries under stable conditions. Studies on this relationship in developed countries carried out by the year 2000 yielded the generally accepted conclusion that the relationship between diversification strategies and organizational performance is in the form of an inverted U curve. It is observed that the researches carried out after 2000 are focused on determinants of the relationship. The result in developed countries is that the relationship between diversification strategies and organizational performance increases up to the medium value then shows a decrease in performance. However, there exist studies with the conclusion that the indicators of the relationship between diversification strategies and organizational performance of developed countries differ from the indicators of developing countries due to the effects of government and business relations, market, production, labor factors, and political economic variables. The universe of the research is determined to be a total of 318 companies listed on the Istanbul Stock Exchange o whose shares got traded in 2007. The dependent variable of the research is organizational performance and the independent variable is the measure of diversification. Rumelt's classification is utilized as a measure of diversification. Financial values of ROA and ROS are used as a measure of organizational performance. With regard to the findings of the research carried out in Turkey, the relationship between diversification strategies and organizational performance varies dependent on the developed countries.

Chaotic processes of common stock index returns: An empirical examination on Istanbul Stock Exchange (ISE) market

The nonlinearity and accompanying concept, namely the chaos receive great attention from researchers. This study employs nonlinearity and chaos theories to examine the behavior of the Istanbul Stock Exchange (ISE) all share equity indices. The main purpose was to explore the existence or nonexistence of nonlinearity and chaotic behavior in the ISE market. Therefore, the efficient markets’ characteristics, which are the random behavior of asset prices and nonlinear chaotic dynamics, were contrasted and the probabilistic and deterministic behaviors of the asset prices were compared. Our results based on BDS, Hinich Bispectral, Lyapunov Exponent and NEGM tests reject the efficient market hypothesis that the index series examined in this study is not random, independent and identically distributed (i.i.d). Key words: Efficient market hypothesis, nonlinearity, chaotic dynamics.

Chaotic Processes of Common Stock Index Returns: An Empirical Examination on Istanbul Stock Exchange (ISE) Market

The nonlinearity and accompanying concept, namely the chaos receive great attention from researchers. This study employs nonlinearity and chaos theories to examine the behavior of the Istanbul Stock Exchange (ISE) all share equity indices. The main purpose was to explore the existence or nonexistence of nonlinearity and chaotic behavior in the ISE market. Therefore, the efficient markets’ characteristics, which are the random behavior of asset prices and nonlinear chaotic dynamics, were contrasted and the probabilistic and deterministic behaviors of the asset prices were compared. Our results based on BDS, Hinich Bispectral, Lyapunov Exponent and NEGM tests reject the efficient market hypothesis that the index series examined in this study is not random, independent and identically distributed (i.i.d).

Investor relations on the internet: dialogical communications capacities of the top 100 ISEM (IMKB Istanbul Stock Exchange Market) companies for investor relations in Turkey

Investor relations on the internet: dialogical communications capacities of the top 100 ISEM (IMKB Istanbul Stock Exchange Market) companies for investor relations in Turkey

Intellectual capital performance of quoted banks on the Istanbul stock exchange market

Purpose – The purpose of the paper is to obtain measure of the intellectual capital (IC) performance of quoted banks on the Istanbul Stock Exchange Market (ISE) in Turkey for the period 1995‐2004 and test the effect of the intellectual capital performance on profitability.

Cross correlations in an emerging market financial data

We report the results of a study of the spectral properties of the correlation matrix of price fluctuations in the stock prices in an emerging market (Istanbul Stock Exchange Market) by using random matrix theory. Although properties such as the distributions of correlation matrix elements, eigenvalue spacings and components of the eigenvectors show similar trends to those observed for the other markets, the eigenvalue distribution is found to be markedly different compared to similar studies.

On the long memory properties of emerging capital markets: evidence from Istanbul stock exchange

This paper analyses long memory properties of Istanbul Stock Exchange Market (ISE) National 100 daily dollar index returns, absolute and squared returns. Both parametric FIGARCH models and nonparametric methods are employed. Results indicate that, contrary to empirical evidence on some other emerging capital markets, daily returns do not possess long memory characteristics, however, similar to developed equity markets, evidence is provided of long memory dynamics in the conditional variance which can be modelled adequately by a FIGARCH model.