TY - JOUR T1 - Borsalar Arası İlişkilerin Özdüzenleyici Haritalarla Kümelendirilmesi TT - Clustering Relationship of Between Stock Markets with Self Organization Map AU - Şenol, Zekai AU - Polatgil, Mesut PY - 2020 DA - March Y2 - 2020 JF - İşletme ve İktisat Çalışmaları Dergisi JO - IICD PB - İlhan ÖZTÜRK WT - DergiPark SN - 2147-804X SP - 1 EP - 13 VL - 8 IS - 1 LA - tr AB - Küreselleşme hareketine bağlı olarak borsalar arasıilişkiler artmıştır. Günümüzün yatırımcıları uluslararası piyasalardarisk-getiri tercihine bağlı olarak portföyler oluşturmaktadır. Uluslararasıportföylerin çeşitlendirilmesinde borsalar arası ilişkiler dikkatealınmaktadır. Borsalar arası ilişkilerin artması çeşitlendirme yoluyla riskazaltmayı önlemektedir. Bu çalışmanın amacı borsalar arası ilişkileriaraştırmaktadır. Çalışmada verilerineulaşılabilen dünyanın değişik yerlerinden, 19 ülke borsasının 3 Ocak 2000-29Aralık 2017 dönemine ait günlük kapanış endeksleri kullanılmıştır. Endekslergünlük getiri ve risk değerlerine dönüştürülerek kümeleme işlemi yapılmıştır.Çalışmada, kümeleme işlemini gerçekleştirmek üzere yapay sinir ağlarının özelbir çeşidi olan özdüzenleyici haritalar kullanılmıştır. Sonuçlar, gelişmiş vegelişmekte olan ülke borsalarının birbirinden ayrıldığını, gelişmiş ülkeborsaları arasındaki ilişkilerin daha yaygın olduğunu ortaya koymuştur. Ayrıca,küresel kriz döneminde borsalarda birlikte hareket etme niteliğinin azaldığı,küresel kriz sonrasında ise borsalar arası ilişkilerin arttığı anlaşılmıştır. KW - Özdüzenleyici Haritalar KW - Borsa Verilerinin Kümelendirilmesi KW - Portföy Yönetimi KW - Borsalar N2 - Due to the globalization movement, the inter-stockmarkets relations have increased. Today's investors are creating portfoliosdepending on risk-profit preference in international markets. Inter-stock marketsrelations are taken into account in international portfolio diversification.Increased inter-stock markets relations prevent diversification and riskreduction. The aim of this study is to investigate the relationships betweenstock exchanges. The daily closingindices of the 19 countries' stock exchange for the period 3 January 2000- 29December 2017 were used from different parts of the world where data can beaccessed in this study. Clustering is made by converting indices into dailyprofit and risk values. In the study, self-organization maps, a special type ofartificial neural networks, were used to perform the clustering process. Theresults show that developed and emerging market stock exchanges are seperateand relationships of developed country stock exchange are more common.Moreover, it was understood that the feature of moving together in the stockmarket during the global crisis diminished and that the relations between thestock exchanges increased after the global crisis. CR - Aggarwal, R., Lucey, B., & Muckley, C. (2010). Dynamics of Equity Market Integration in Europe: Impact of Political Economy Events. JCMS: Journal of Common Market Studies, 48(3), 641-660. CR - Al Nasser, O. M. & Hajilee, M. (2016). Integration of Emerging Stock markets with Global Stock Markets. Research in International Business and Finance. 36, 1-12. CR - Antoniou, A., Pescetto, G., & Violaris, A. (2003). Modelling International Price Relationships and Interdependencies Between The Stock Index and Stock Index Futures Markets of Three EU Countries: A Multivariate Analysis. Journal of Business Finance & Accounting, 30(5‐6), 645-667. CR - Armanious, A. N. (2007). Globalization Effect on Stock Exchange Integration. In Meeting of Young Researchers Around the Mediterranean, Tarragona, (ss. 3-4). CR - Badran, F., Yacoub, M. & Thiria, S. (2005). Self-Organizing Maps and Unsupervised Classification. In G. Dreyfus (Ed.). Neural Networks Methodology and Applications (pp. 379–442). Berlin/Heidelberg: Springer-Verlag. http://doi.org/10.1007/3-540-28847-3_7 CR - Bastos, J. A., & Caiado, J. (2009). Clustering Global Equity Markets with Variance Ratio Tests. CEMAPRE Working Paper 0904. CR - Bhalla, B., & Shetty, A. (2006, October). Interest Rate Linkages and Capital Market Integration: Evidence from the Americas. In CRIF Seminar Series (p. 6). CR - Büttner, D ve Hayo, B. (2011) Determinants of European Stock Market Integration. Economic Systems. 35, 574 - 585. CR - Cabanes, G., & Bennani, Y. (2010). Learning the Number of Clusters in Self Organizing Maps. Self Organizing Maps. Matsopoulos, G. (Ed.). InTech Open Access Publisher, India. CR - Calvi, R. (2010). Assessing Financial Integration: A Comparison Between Europe and East Asia (No. 423). Directorate General Economic and Financial Affairs (DG ECFIN), European Commission. CR - Dorodnykh, E. (2014). Determinants of Stock Exchange Integration: Evidence in Worldwide Perspective. Journal of Economic Studies, 41(2), 292-316. CR - Folguera, L., Zupan, J., Cicerone, D. & Magallanes, J. F. (2015). Self-Organizing Maps For Imputation of Missing Data in Incomplete Data Matrices. Chemometrics and Intelligent Laboratory Systems, 143, 146–151. http://doi.org/10.1016/j.chemolab.2015.03.002 CR - Hasan, I., Schmiedel, H. & Song, L. (2012). Growth Strategies and Value Creation: What Works Best for Stock Exchanges?. Financial Review, 47(3), 469-499. CR - Heaney, R., Hooper, V. & Jaugietis, M. (2002). Regional Integration of Stock Markets in Latin America. Journal of Economic Integration, 745-760. CR - Hooy, C.-W. & Goh, K.-L. (2007). The Determinants of Stock Market Integration: A Panel Data Investigation. https://www.researchgate.net/publication/228354382 Erişim: 21.07.2018 CR - Kohonen, T. (2001). Self-Organizing Maps. In Springer Series in Information Sciences (Vol. 30, p. 501). http://doi.org/10.1007/978-3-642-56927-2 CR - Kohonen, T. (1982). Self-Organized Formation of Topologically Correct Feature Maps. Biological Cybernetics, 43(1), 59– 69. http://doi.org/10.1007/BF00337288 CR - Lien, D., Lee, G., Yang, L. & Zhang, Y. (2018). Volatility Spillover Among The US and Asian Stock Markets: A Comparison between The Periods of Asian Currency Crissis and Subprime Credit Crisis. Norh American Journal of Economics and Finance. 46: 187-201. CR - Özdemir, Z. A. (2009). Linkages Between International Stock Markets: A Multivariate Long-Memory Approach. Physica A. 388(12), 2461-2468. CR - Schmukler, S. L. & Zoido-Lobaton, P. (2001). Financial Globalization: Opportunities and Challenges for Developing Countries. World Bank, Washington, DC. CR - Song, D. M., Tumminello, M., Zhou, W. X. & Mantegna, R. N. (2011). Evolution of Worldwide Stock Markets, Correlation Structure, and Correlation-Based Graphs. Physical Review E, 84(2), 026108. CR - World Federation of Exchanges (WFE) (2018). The World Federation of Exchanges Publishes 2017 Full Year Market Highlights. UR - https://dergipark.org.tr/en/pub/iicder/issue//648538 L1 - https://dergipark.org.tr/en/download/article-file/1028476 ER -