Year 2017, Volume 01 , Issue 2, Pages 66 - 71 2017-12-29

BIST 100 Index Estimation Using Bayesian Regression Modelling

Cihat Öztürk [1] , Deniz Efendioğlu [2] , Nurullah Güleç [3]


Identification of factors, determining the fluctuations of stock indices in the market, possesses great importance for the capital market actors. Not only specifying the factors and market but also explaining the relationship between them correctly, will reduce the amount of exposure financial risk and bring this topic into the limelight of market actors. The most important indicator of good progress in the economic cycle can be observed as the stock market index which is also used as macroeconomic indicators for developed economies. It is generally observed that all the stock prices rise or fall in the same period and this question gives us the impression that there are some factors that have an influence in this period. Having the properties of dynamic, complex and non-linear structure makes this analysis tough and solving the problem requires very complex and difficult processes. Due to high uncertainty and volatility, while estimating the stock price behaviour, stock investments carry more risk than any other investment. Moreover, BIST index possesses very high chaotic structure, it is not possible to conclude the long-term predictability. Our study will address the portion of the macro factors affecting the stock index. Interest rates, exchange rates, money supply, inflation, gold, oil prices are investigated among the macro factors. For the study data was obtained using CBT from the Electronic Data Dissemination System monthly frequencies. The factors influencing the stock index was determined by the method of regression relationship between them, but the Bayesian method is used with regression for the estimation.

BIST 100 Index, Bayesian Regression Method, Forecasting
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Primary Language en
Subjects Mathematics
Published Date December
Journal Section Articles
Authors

Author: Cihat Öztürk
Institution: ANKARA YILDIRIM BEYAZIT ÜNİVERSİTESİ
Country: Turkey


Author: Deniz Efendioğlu
Institution: ANKARA YILDIRIM BEYAZIT ÜNİVERSİTESİ
Country: Turkey


Author: Nurullah Güleç
Institution: ANKARA YILDIRIM BEYAZIT ÜNİVERSİTESİ
Country: Turkey


Dates

Publication Date : December 29, 2017

Bibtex @research article { forecasting341720, journal = {Turkish Journal of Forecasting}, issn = {}, eissn = {2618-6594}, address = {Giresun Üniversitesi Fen Edebiyat Fakültesi İstatistik Bölümü, Güre Yerleşkesi, 28100 Merkez, Giresun}, publisher = {Giresun University}, year = {2017}, volume = {01}, pages = {66 - 71}, doi = {}, title = {BIST 100 Index Estimation Using Bayesian Regression Modelling}, key = {cite}, author = {Öztürk, Cihat and Efendioğlu, Deniz and Güleç, Nurullah} }
APA Öztürk, C , Efendioğlu, D , Güleç, N . (2017). BIST 100 Index Estimation Using Bayesian Regression Modelling. Turkish Journal of Forecasting , 01 (2) , 66-71 . Retrieved from https://dergipark.org.tr/en/pub/forecasting/issue/33413/341720
MLA Öztürk, C , Efendioğlu, D , Güleç, N . "BIST 100 Index Estimation Using Bayesian Regression Modelling". Turkish Journal of Forecasting 01 (2017 ): 66-71 <https://dergipark.org.tr/en/pub/forecasting/issue/33413/341720>
Chicago Öztürk, C , Efendioğlu, D , Güleç, N . "BIST 100 Index Estimation Using Bayesian Regression Modelling". Turkish Journal of Forecasting 01 (2017 ): 66-71
RIS TY - JOUR T1 - BIST 100 Index Estimation Using Bayesian Regression Modelling AU - Cihat Öztürk , Deniz Efendioğlu , Nurullah Güleç Y1 - 2017 PY - 2017 N1 - DO - T2 - Turkish Journal of Forecasting JF - Journal JO - JOR SP - 66 EP - 71 VL - 01 IS - 2 SN - -2618-6594 M3 - UR - Y2 - 2017 ER -
EndNote %0 Turkish Journal of Forecasting BIST 100 Index Estimation Using Bayesian Regression Modelling %A Cihat Öztürk , Deniz Efendioğlu , Nurullah Güleç %T BIST 100 Index Estimation Using Bayesian Regression Modelling %D 2017 %J Turkish Journal of Forecasting %P -2618-6594 %V 01 %N 2 %R %U
ISNAD Öztürk, Cihat , Efendioğlu, Deniz , Güleç, Nurullah . "BIST 100 Index Estimation Using Bayesian Regression Modelling". Turkish Journal of Forecasting 01 / 2 (December 2017): 66-71 .
AMA Öztürk C , Efendioğlu D , Güleç N . BIST 100 Index Estimation Using Bayesian Regression Modelling. TJF. 2017; 01(2): 66-71.
Vancouver Öztürk C , Efendioğlu D , Güleç N . BIST 100 Index Estimation Using Bayesian Regression Modelling. Turkish Journal of Forecasting. 2017; 01(2): 71-66.