DYNAMIC NETWORK ANALYSIS OF THE TURKISH STOCK MARKET

Yıl 2023, Sayı: 66, 47 - 56, 31.12.2023

Hüseyin Özdemir

https://doi.org/10.18070/erciyesiibd.1310784

Öz

This article examines the dynamic network analysis of 48 firms traded on Borsa Istanbul with a market
value of over $1 billion before and during the COVID-19 pandemic. We use daily return data, and the
data spans from January 1, 2017 to May 31, 2022. The pairwise spillover effects, which are obtained by
the standard VAR model, are used to construct a directed network graph, including nodes and edges.
According to the modular clustering method, the optimal network number is three for the pre-covid
period. However, the number of optimal clusters increases to four after COVID-19 outbreaks. Although
the stocks fall into 22 different sectoral categories, the empirical evidence shows that they exhibit
discernible movements within 3 or 4 sub-groups, indicating stock behavior is driven primarily by
financial dynamics rather than sectoral influences. For instance, the firms operating in the automotive
industry fall into different cluster groups. Moreover, the empirical findings show that the relationship
of stocks is dynamic rather than static. Some important centrality measures also show that the banking
sector plays a central role in this network structure. Last but not least, the empirical findings suggest
that the correlation between stock returns rose after the COVID-19 outbreak.

Anahtar Kelimeler

Network analysis, graph theory, Turkish stock market, return spillover, COVID-19

TÜRK HİSSE SENEDİ PİYASASINA İLİŞKİN DİNAMİK AĞ ANALİZİ

Öz

Bu makale, COVID-19’un Borsa İstanbul’da işlem gören ve piyasa değeri 1 milyar doların üzerinde olan
48 firma arasındaki dinamik ağ yapısını incelemektedir. Getiri verileri günlük frekansta olup 1 Ocak 2017
tarihi ile 31 Mayıs 2022 arası dönemi arasında yer almaktadır. Standart VAR modelinden elde edilen
net ikili bağlantılılık endeksi sonuçları kullanılarak düğümler arasındaki yönlendirilmiş ağ yapısı ortaya
çıkarılmıştır. Modüler kümeleme yöntemi kullanılarak elde edilen ampirik bulgular COVID-19 salgını
öncesinde analize konu 48 firma hisse getirisinin üç alt grup altında toplandığını göstermektedir.
Pandeminin ortaya çıkmasından sonra söz konusu hisse senedi getirileri arasındaki küme sayısı dörde
çıkmaktadır. Faaliyet alanlarına göre 22 farklı sektörde bulunan söz konusu hisse senedi getirilerinin 3
ya da 4 alt grup ile hareket etmesi hisse senetlerinin sektörel etkilerden çok finansal etkiler ile hareket
ettiği gerçeğini doğrulamaktadır. Örneğin, otomotiv sektörüne ait şirketlerin her iki dönemde de
farklı gruplar altında yer aldığı görülmektedir. Salgın sonrasında birçok hisse senedinin ait olduğu
gruplar değişmiştir. Bu da hisse senetleri arasındaki ilişkilerin statik olmayıp dinamik ve değişken bir
yapıya sahip olduğunu göstermektedir. Ayrıca, bu ağ yapısı içinde, bankacılık sektörünün merkezi bir
rol oynadığına ilişkin önemli kanıtlar elde edilmiştir. Son olarak, COVID-19 salgını sonrasında hisse
senetleri arasındaki getiri korelasyonunun arttığı gözlemlenmiştir.

Anahtar Kelimeler

Ağ analizi, grafik teorisi, Türk borsası, getiri yayılması, COVID-19

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