Research Article
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Year 2023, Volume: 16 Issue: 1, 13 - 27, 30.06.2023
https://doi.org/10.37093/ijsi.1190098

Abstract

References

  • Akkaya, M. (2021). Döviz Piyasası Baskı Endeksi ve Kriz göstergelerinin Tahmini: Türkiye Uygulaması [Index of Curreny Market Turbulance and Estimation of Crisis Indicators: Turkey Case]. Ankara Hacı Bayram Veli Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 23(1), 67–92. https://dergipark.org.tr/tr/pub/ahbvuibfd/issue/61592/729391
  • Akkaya, M., & Kantar, L. (2018). Finansal Krizlerin Tahmininde Öncü Göstergelerin Logit-Probit Model ile Analizi: Türkiye Uygulaması. [An Analysis of Leading Indicators with Logit-Probit Model to Estimate Financial Crisis: The Case of Turkey]. Uluslararası Yönetim İktisat ve İşletme Dergisi, 14(3), 575–590.
  • Akkaya, M., & Kantar, L. (2019). Bankacılık Kırılganlık Endeksinin Logit-Probit Model ile Analizi: Türkiye Uygulaması. [ An Analysis of The Banking Fragility Index with Logit-Probit Model: The Case of Turkey]. Finans Politik & Ekonomik Yorumlar, Aralık(650), 2019.
  • Aksoy, B., & Boztosun, D. (2018). Diskriminant ve Lojistik Regresyon Yöntemleri Kullanılarak Finansal Başarısızlık Tahmini: BIST İmalat Sektörü Örneği [Financial Failure Prediction by Using Discriminant and Logistics Regression Methods: Evidence from BIST Manufacturing Sector]. Finans Politik & Ekonomik Yorumlar, Aralık(646), 9–32.
  • Aktaş, M., & Şen, B. (2013). 2008 Global Ekonomik Krizinin Öncü Göstergeleri ve Ülkeler Üzerinde Bir Uygulama. [Leading Indicators of The 2008 Global Economic Crisis and an Application on The Countries]. Niğde Üniversitesi İİBF Dergisi, 6(1), 137–147.
  • Caggiano, G., Calice, P., & Leonida, L. (2014). Early warning systems and systemic banking crises in low income countries: A multinomial logit approach. Journal of Banking and Finance, 47, 258–269. https://doi.org/10.1016/j.jbankfin.2014.07.002
  • Caggiano, G., Calice, P., Leonida, L., & Kapetanios, G. (2016). Comparing logit-based early warning systems: Does the duration of systemic banking crises matter? Journal of Empirical Finance, 37, 104–116. https://doi.org/10.1016/j.jempfin.2016.01.005
  • Ceci, D., & Silvestrini, A. (2022). Temi di discussione. In February (No. 1362; Vol. 35, Issue 442). http://onlinelibrary.wiley.com/doi/10.1111/j.1538-4616.2010.00331.x/full
  • Chen, T. H., Lee, C. C., & Shen, C. H. (2022). Liquidity indicators, early warning signals in banks, and financial crises. North American Journal of Economics and Finance, 62(October 2020), 101732. https://doi.org/10.1016/j.najef.2022.101732
  • Demirhan, E., Altay, B., & Inkaya, A. (2010). Türkiye’de Reel Döviz Kuru ile Makro Ekonomik Değişkenler Arasındaki İlişkinin Ekonometrik Analizi [Econometric Analysis of the Relationship between Real Exchange Rate and Maroeconomic Variables in Turkey]. Finans Politik & Ekonomik Yorumlar, 47(546).
  • Dibo, M., & Ulusoy, A. (2018). Türkiye’de 1990 Sonrası Finansal Krizlerin Dış Borçlarla İlişkisinin Analizi. [The Analysis of the Relationship Between External Debts and the Financial Crises in Turkey After 1990]. Karadeniz Teknik Üniversitesi Sosyal Bilimler Enstitüsü Sosyal Bilimler Dergisi, 8(15), 27–39.
  • Erdoğan, B. (2006). Gelişmekte Olan Ülkelerde Finansal Krizler ve Finansal Kriz Modelleri. [Financial Crisis in Developing Countries and Models of Financial Crisis]. Kahramanmaraş Sütçü İmam University.
  • Esquivel, G., & Larraín, F. (1998). Explaining Currency Crises. HIID Development Discussion Paper, 666.
  • Frankel, J. A., & Rose, A. K. (1996). Currency crashes in emerging markets: An empirical treatment. Journal of International Economics, 41(3–4), 351–366. https://doi.org/10.1016/S0022-1996(96)01441-9
  • Gerni, C., Emsen, S., & Değer, M. K. (2005). Erken Uyarı Sistemleri Yoluyla Türkiye’deki Ekonomik Krizlerin Analizi. [Early Warning Systems Analysis of the Economic Crises in Turkey]. İstanbul Üniversitesi İktisat Fakültesi Ekonometri ve İstatistik Dergisi, 2, 39–62.
  • Goldstein, M., & Turner, P. (1996). Banking crises in emerging economies: Origins and policy options. In Bank for International Settlements (Issue 46). https://doi.org/10.1142/9789814749589_0008
  • Gujarati, D. N. (2004). Basic Econometrics (Fourth). The McGraw−Hill Companies.
  • Gür, T. H., & Tosuner, A. (2002). Para ve Finansal Krizlerin Öncü Göstergeleri. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 20(1), 9–36. http://dergipark.gov.tr/huniibf/issue/7884/103594
  • Hosmer, D. W., & Lemeshow, S. (2000). Applied Logistic Regression (Second). Wiley.
  • Investing.com. (2023). https://www.investing.com
  • Işığıçok, E. (2003). Bebeklerin Doğum Ağırlıklarını ve Boylarını Etkileyen Faktörlerin Lojistik Regresyon ile Araştırılması. [Investigation of Factors Affecting Birth Weights and Heights of Babies by Logistic Regression]. IV. Ulusal Ekonometri ve İstatistik Sempozyumu.
  • Kaakeh, M., & Gökmenoğlu, K. K. (2022). Leading Indicators of Turkey’s Financial Crises. In N. Özataç, K. K. Gökmenoğlu, & B. Rustamov (Eds.), New Dynamics in Banking and Finance (pp. 15–44). https://doi.org/10.1007/978-3-030-93725-6_2
  • Kamin, S. B., Schindler, J. W., & Samuel, S. L. (2001). The Contribution of Domestic and External Factors to Emerging Market Devaluation Crises: An Early Warning Systems Approach. SSRN Electronic Journal, 711. https://doi.org/10.2139/ssrn.286279
  • Kindleberger, C. P., Aliber, R. Z., & Wiley, J. (2005). Manias, Panics, and Crashes A (Fifth). Wiley. https://delong.typepad.com/manias.pdf
  • Kıran, Ü. (2009). Gelişmekte Olan Ülkelerde Finansal Krizlerin Tahmini. [Forecasting Financial Crises in Emerging Market] [İstanbul Teknik Üniversitesi]. https://acikbilim.yok.gov.tr/bitstream/handle/20.500.12812/713450/yokAcikBilim_335669.pdf?sequence=-1&isAllowed=y
  • Mishkin, F. S. (1999). Lessons from the Asian Crisis. Journal of International Money and Finance, 18(4), 709–723. http://www.nber.org/papers/w7102.pdf
  • Özdamar, K. (1999). Paket Programlar ile İstatistiksel Veri Analizi-1. [Statistical Data Analysis with Package Programs-1]. Kaan Kitapevi.
  • Străchinaru, A.-I. (2022). Early Warning Systems for Banking Crisis and Sovereign Risk. Journal of Financial Studies and Research, 2022, 1–9. https://doi.org/10.5171/2022.441237
  • TCMB-CBRT. (2002). Yıllık Rapor-2001. [Annual Report-2001]. https://www.tcmb.gov.tr/wps/wcm/connect/bc0a0a4f-12cb-453e-9700-1aaccfae6a67/2001_Yillik_Rapor.pdf?MOD=AJPERES&CACHEID=ROOTWORKSPACE-bc0a0a4f-12cb-453e-9700-1aaccfae6a67-mh5zaN7
  • TCMB-CBRT. (2003). Yıllık Rapor-2002. [Annual Report-2002]. https://www.tcmb.gov.tr/wps/wcm/connect/6832b8f2-f5f1-45a3-b63c-097e9167f0d4/2002_Yillik_Rapor.pdf?MOD=AJPERES&CACHEID=ROOTWORKSPACE-6832b8f2-f5f1-45a3-b63c-097e9167f0d4-mh5zkN7
  • Telli, A. (2016). 1999, 2000, 2001 ve 2008 Kriz Dönemlerinde Türk Ticari Bankalarının Karlılıklarının Lojistik Regresyon Analizi ile İncelenmesi. [Examining The Profitability of Turkish Commercial Banks with The Logistic Regression Analysis in Crisis Years 1999, 2000, 2001. Marmara Üniversitesi Öneri Dergisi, 12(45), 61–92.
  • Tomczak, K. (2022). Transmission of the 2007–2008 financial crisis in advanced countries of the European Union. Bulletin of Economic Research, April 2021, 1–25. https://doi.org/10.1111/boer.12338
  • Uslu, H. (2019). Logit-Probit Modeli Yardımıyla Türkiye’de Cari Açık Kaynaklı Kriz Riskini Etkileyen Farktörlerin Belirlenmesi. [ Determination of The Factors Affecting the Risk of Current Deficit Induced Crisis in Turkey by Logit and Probit Model]. Uluslararası Ekonomi ve Yenilik Dergisi, 5(2), 153–178.
  • Wang, X., & Li, M. (2022). Determinants of Regional Economic Resilience to Economic Crisis: Evidence from Chinese Economies. Sustainability (Switzerland), 14(2). https://doi.org/10.3390/su14020809
  • Woo, W. T., Carleton, P. D., & Rosario, B. P. (2000). The Unorthodox Origins of the Asian Currency Crisis: Evidence from Logit Estimation. Asean Economic Bulletin, 17(2), 120–134. https://doi.org/10.1355/ae17-2b
  • Yavaş, H. (2007). 1980 Sonrasi Gelişmekte Olan Ülkelerde Yaşanan Finansal Krizler, Finansal Kriz Modelleri Ve Çözüm Önerileri. [The Financial Crises Occured in The Developing Countries After 1980, The Models of Financial Crises and Solution Suggestions]. Kadir Has University.
  • Yücel, F., & Kalyoncu, H. (2010). Finansal Krizlerin Öncü Göstergeleri ve Ülke Ekonomilerini Etkileme Kanalları: Türkiye Örneği. [Leading Indicators of Financial Crises and Affecting Channels of Countries Economies: The Case of Turkey]. Maliye Dergisi, 159, 53–69.
  • Yüksel, S. (2017). Determinants of the credit risk in developing countries after economic crisis: A case of Turkish banking sector. Contributions to Economics, 2018, 401–415. https://doi.org/10.1007/978-3-319-47021-4_28

Prediction of Economic Crisis Period with Logistic Regression Analysis Based on the Trading Volume of Companies in the Stock Exchange Istanbul

Year 2023, Volume: 16 Issue: 1, 13 - 27, 30.06.2023
https://doi.org/10.37093/ijsi.1190098

Abstract

The prediction of an economic crisis is the most critical area of study for all actors related to the economy. Crises, a sign of uncertainty, do not have a specific timeline, but they can be predicted by analyzing particular indications. Studies on predicting the crisis are commonly related to macroeconomic variables. This study addresses an alternative approach to predicting crisis periods, which involves analyzing changes in the trading volumes of companies listed on Borsa Istanbul (BIST) instead of relying solely on macroeconomic variables. The study aims to examine the transaction volume data from 169 firms that regularly traded in BIST between 2000 and 2018. The predictability of economic crises in Türkiye has been investigated by applying binary logistic regression analysis, a methodology commonly employed in the literature as a signal approach for detecting economic crises. Some statistically significant parameters were discovered positive, and some were found negative in estimated logistic regression models, and the companies to which the statistically insignificant parameters belonged were evaluated as companies that did not give a signal for the economic crisis model. The findings suggest that changes in the trading volume of many companies, not just a few ones, can be a valuable predictor of crises.

References

  • Akkaya, M. (2021). Döviz Piyasası Baskı Endeksi ve Kriz göstergelerinin Tahmini: Türkiye Uygulaması [Index of Curreny Market Turbulance and Estimation of Crisis Indicators: Turkey Case]. Ankara Hacı Bayram Veli Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 23(1), 67–92. https://dergipark.org.tr/tr/pub/ahbvuibfd/issue/61592/729391
  • Akkaya, M., & Kantar, L. (2018). Finansal Krizlerin Tahmininde Öncü Göstergelerin Logit-Probit Model ile Analizi: Türkiye Uygulaması. [An Analysis of Leading Indicators with Logit-Probit Model to Estimate Financial Crisis: The Case of Turkey]. Uluslararası Yönetim İktisat ve İşletme Dergisi, 14(3), 575–590.
  • Akkaya, M., & Kantar, L. (2019). Bankacılık Kırılganlık Endeksinin Logit-Probit Model ile Analizi: Türkiye Uygulaması. [ An Analysis of The Banking Fragility Index with Logit-Probit Model: The Case of Turkey]. Finans Politik & Ekonomik Yorumlar, Aralık(650), 2019.
  • Aksoy, B., & Boztosun, D. (2018). Diskriminant ve Lojistik Regresyon Yöntemleri Kullanılarak Finansal Başarısızlık Tahmini: BIST İmalat Sektörü Örneği [Financial Failure Prediction by Using Discriminant and Logistics Regression Methods: Evidence from BIST Manufacturing Sector]. Finans Politik & Ekonomik Yorumlar, Aralık(646), 9–32.
  • Aktaş, M., & Şen, B. (2013). 2008 Global Ekonomik Krizinin Öncü Göstergeleri ve Ülkeler Üzerinde Bir Uygulama. [Leading Indicators of The 2008 Global Economic Crisis and an Application on The Countries]. Niğde Üniversitesi İİBF Dergisi, 6(1), 137–147.
  • Caggiano, G., Calice, P., & Leonida, L. (2014). Early warning systems and systemic banking crises in low income countries: A multinomial logit approach. Journal of Banking and Finance, 47, 258–269. https://doi.org/10.1016/j.jbankfin.2014.07.002
  • Caggiano, G., Calice, P., Leonida, L., & Kapetanios, G. (2016). Comparing logit-based early warning systems: Does the duration of systemic banking crises matter? Journal of Empirical Finance, 37, 104–116. https://doi.org/10.1016/j.jempfin.2016.01.005
  • Ceci, D., & Silvestrini, A. (2022). Temi di discussione. In February (No. 1362; Vol. 35, Issue 442). http://onlinelibrary.wiley.com/doi/10.1111/j.1538-4616.2010.00331.x/full
  • Chen, T. H., Lee, C. C., & Shen, C. H. (2022). Liquidity indicators, early warning signals in banks, and financial crises. North American Journal of Economics and Finance, 62(October 2020), 101732. https://doi.org/10.1016/j.najef.2022.101732
  • Demirhan, E., Altay, B., & Inkaya, A. (2010). Türkiye’de Reel Döviz Kuru ile Makro Ekonomik Değişkenler Arasındaki İlişkinin Ekonometrik Analizi [Econometric Analysis of the Relationship between Real Exchange Rate and Maroeconomic Variables in Turkey]. Finans Politik & Ekonomik Yorumlar, 47(546).
  • Dibo, M., & Ulusoy, A. (2018). Türkiye’de 1990 Sonrası Finansal Krizlerin Dış Borçlarla İlişkisinin Analizi. [The Analysis of the Relationship Between External Debts and the Financial Crises in Turkey After 1990]. Karadeniz Teknik Üniversitesi Sosyal Bilimler Enstitüsü Sosyal Bilimler Dergisi, 8(15), 27–39.
  • Erdoğan, B. (2006). Gelişmekte Olan Ülkelerde Finansal Krizler ve Finansal Kriz Modelleri. [Financial Crisis in Developing Countries and Models of Financial Crisis]. Kahramanmaraş Sütçü İmam University.
  • Esquivel, G., & Larraín, F. (1998). Explaining Currency Crises. HIID Development Discussion Paper, 666.
  • Frankel, J. A., & Rose, A. K. (1996). Currency crashes in emerging markets: An empirical treatment. Journal of International Economics, 41(3–4), 351–366. https://doi.org/10.1016/S0022-1996(96)01441-9
  • Gerni, C., Emsen, S., & Değer, M. K. (2005). Erken Uyarı Sistemleri Yoluyla Türkiye’deki Ekonomik Krizlerin Analizi. [Early Warning Systems Analysis of the Economic Crises in Turkey]. İstanbul Üniversitesi İktisat Fakültesi Ekonometri ve İstatistik Dergisi, 2, 39–62.
  • Goldstein, M., & Turner, P. (1996). Banking crises in emerging economies: Origins and policy options. In Bank for International Settlements (Issue 46). https://doi.org/10.1142/9789814749589_0008
  • Gujarati, D. N. (2004). Basic Econometrics (Fourth). The McGraw−Hill Companies.
  • Gür, T. H., & Tosuner, A. (2002). Para ve Finansal Krizlerin Öncü Göstergeleri. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 20(1), 9–36. http://dergipark.gov.tr/huniibf/issue/7884/103594
  • Hosmer, D. W., & Lemeshow, S. (2000). Applied Logistic Regression (Second). Wiley.
  • Investing.com. (2023). https://www.investing.com
  • Işığıçok, E. (2003). Bebeklerin Doğum Ağırlıklarını ve Boylarını Etkileyen Faktörlerin Lojistik Regresyon ile Araştırılması. [Investigation of Factors Affecting Birth Weights and Heights of Babies by Logistic Regression]. IV. Ulusal Ekonometri ve İstatistik Sempozyumu.
  • Kaakeh, M., & Gökmenoğlu, K. K. (2022). Leading Indicators of Turkey’s Financial Crises. In N. Özataç, K. K. Gökmenoğlu, & B. Rustamov (Eds.), New Dynamics in Banking and Finance (pp. 15–44). https://doi.org/10.1007/978-3-030-93725-6_2
  • Kamin, S. B., Schindler, J. W., & Samuel, S. L. (2001). The Contribution of Domestic and External Factors to Emerging Market Devaluation Crises: An Early Warning Systems Approach. SSRN Electronic Journal, 711. https://doi.org/10.2139/ssrn.286279
  • Kindleberger, C. P., Aliber, R. Z., & Wiley, J. (2005). Manias, Panics, and Crashes A (Fifth). Wiley. https://delong.typepad.com/manias.pdf
  • Kıran, Ü. (2009). Gelişmekte Olan Ülkelerde Finansal Krizlerin Tahmini. [Forecasting Financial Crises in Emerging Market] [İstanbul Teknik Üniversitesi]. https://acikbilim.yok.gov.tr/bitstream/handle/20.500.12812/713450/yokAcikBilim_335669.pdf?sequence=-1&isAllowed=y
  • Mishkin, F. S. (1999). Lessons from the Asian Crisis. Journal of International Money and Finance, 18(4), 709–723. http://www.nber.org/papers/w7102.pdf
  • Özdamar, K. (1999). Paket Programlar ile İstatistiksel Veri Analizi-1. [Statistical Data Analysis with Package Programs-1]. Kaan Kitapevi.
  • Străchinaru, A.-I. (2022). Early Warning Systems for Banking Crisis and Sovereign Risk. Journal of Financial Studies and Research, 2022, 1–9. https://doi.org/10.5171/2022.441237
  • TCMB-CBRT. (2002). Yıllık Rapor-2001. [Annual Report-2001]. https://www.tcmb.gov.tr/wps/wcm/connect/bc0a0a4f-12cb-453e-9700-1aaccfae6a67/2001_Yillik_Rapor.pdf?MOD=AJPERES&CACHEID=ROOTWORKSPACE-bc0a0a4f-12cb-453e-9700-1aaccfae6a67-mh5zaN7
  • TCMB-CBRT. (2003). Yıllık Rapor-2002. [Annual Report-2002]. https://www.tcmb.gov.tr/wps/wcm/connect/6832b8f2-f5f1-45a3-b63c-097e9167f0d4/2002_Yillik_Rapor.pdf?MOD=AJPERES&CACHEID=ROOTWORKSPACE-6832b8f2-f5f1-45a3-b63c-097e9167f0d4-mh5zkN7
  • Telli, A. (2016). 1999, 2000, 2001 ve 2008 Kriz Dönemlerinde Türk Ticari Bankalarının Karlılıklarının Lojistik Regresyon Analizi ile İncelenmesi. [Examining The Profitability of Turkish Commercial Banks with The Logistic Regression Analysis in Crisis Years 1999, 2000, 2001. Marmara Üniversitesi Öneri Dergisi, 12(45), 61–92.
  • Tomczak, K. (2022). Transmission of the 2007–2008 financial crisis in advanced countries of the European Union. Bulletin of Economic Research, April 2021, 1–25. https://doi.org/10.1111/boer.12338
  • Uslu, H. (2019). Logit-Probit Modeli Yardımıyla Türkiye’de Cari Açık Kaynaklı Kriz Riskini Etkileyen Farktörlerin Belirlenmesi. [ Determination of The Factors Affecting the Risk of Current Deficit Induced Crisis in Turkey by Logit and Probit Model]. Uluslararası Ekonomi ve Yenilik Dergisi, 5(2), 153–178.
  • Wang, X., & Li, M. (2022). Determinants of Regional Economic Resilience to Economic Crisis: Evidence from Chinese Economies. Sustainability (Switzerland), 14(2). https://doi.org/10.3390/su14020809
  • Woo, W. T., Carleton, P. D., & Rosario, B. P. (2000). The Unorthodox Origins of the Asian Currency Crisis: Evidence from Logit Estimation. Asean Economic Bulletin, 17(2), 120–134. https://doi.org/10.1355/ae17-2b
  • Yavaş, H. (2007). 1980 Sonrasi Gelişmekte Olan Ülkelerde Yaşanan Finansal Krizler, Finansal Kriz Modelleri Ve Çözüm Önerileri. [The Financial Crises Occured in The Developing Countries After 1980, The Models of Financial Crises and Solution Suggestions]. Kadir Has University.
  • Yücel, F., & Kalyoncu, H. (2010). Finansal Krizlerin Öncü Göstergeleri ve Ülke Ekonomilerini Etkileme Kanalları: Türkiye Örneği. [Leading Indicators of Financial Crises and Affecting Channels of Countries Economies: The Case of Turkey]. Maliye Dergisi, 159, 53–69.
  • Yüksel, S. (2017). Determinants of the credit risk in developing countries after economic crisis: A case of Turkish banking sector. Contributions to Economics, 2018, 401–415. https://doi.org/10.1007/978-3-319-47021-4_28
There are 38 citations in total.

Details

Primary Language English
Subjects Econometric and Statistical Methods, Financial Economy, Financial Markets and Institutions
Journal Section Articles
Authors

Erkan Işığıçok 0000-0003-4037-0869

Savaş Tarkun 0000-0002-2684-184X

Publication Date June 30, 2023
Submission Date October 16, 2022
Published in Issue Year 2023 Volume: 16 Issue: 1

Cite

APA Işığıçok, E., & Tarkun, S. (2023). Prediction of Economic Crisis Period with Logistic Regression Analysis Based on the Trading Volume of Companies in the Stock Exchange Istanbul. International Journal of Social Inquiry, 16(1), 13-27. https://doi.org/10.37093/ijsi.1190098

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