DEMATEL YÖNTEMİYLE FİNANSAL PİYASALARIN ANALİZİ

Abstract

Amaç Çalışmanın temel amacı finansal piyasaları oluşturan risk faktörleri (değişkenleri) arasındaki ilişkinin belirlenmesidir. Bunun için on altı risk faktörü tanımlanmıştır. Metodoloji - DEMATEL Yöntemi, faktörler arasındaki ilişkiyi derecelendirme yaparak iki faktör arasındaki doğrusal ilişkiyi kullanılır. Bu ilişki uzman görüşlerine bağlı olarak faktörler arasında doğrudan bir korelasyon matrisi oluşturularak kurulur. Son aşamada değişkenler arasındaki karşılıklı ilişkiyi doğrulayan bir grafiğin geliştirilmesini sağlar. Bulgular - Bu çalışmanın diğer çalışmalardan farkı başlangıç aşamasında bir uzman görüşünden yararlanmasıdır. Başka bir ifadeyle finansal piyasalardaki risk faktörleri arasında ilişkiyi piyasa uzmanı sezgisel olarak belirlemektedir. Finansal piyasaların analizi on altı risk değişkenine göre belirlenmiştir. Bu risk değişkenleri etkiyen grubu ve etkilenen grubu olmak üzere ikiye ayrılmıştır. Sonuç- Faiz oranı, internet haberleri, ekonomik büyüme, enflasyon etkileyen grubunda yer almaktadır. Piyasayı etkileyen en çok etkileyen risk değişkeni enflasyondur. Döviz Kuru, BIST100, DAX, S&P500, Altın, Petrol, Piyasa Değeri, İşsizlik, Borçlanma Oranı, İş riski, Politika Riski, Bitcoin etkilenen grubunda yer almaktadır. Bitcoin diğer etkileyen faktörlerden en çok etkilenen faktördür. Diğer yandan DEMATEL yönteminin uygulamasına ilişkin çalışmalar uzmanların sübjektif görüşlerine dayanmaktadır. Yöntem, sübjektif görüşlerin güvenilir olduğunu varsaymaktadır. Ancak bilimsel çalışmalarda varsayımların her zaman doğru olduğu söylenemez.

Keywords

• Çok kriterli karar verme yöntemleri
• DEMATEL
• finansal piyasalar
• sistematik risk
• sistematik olmayan risk

ANALYSIS OF FINANCIAL MARKETS WITH THE DEMATEL METHOD

Abstract

Purpose- The main purpose of this study is to determine the relationship between risk factors (variables) that make up the financial markets. Sixteen risk factors have been identified for this. Methodology- DEMATEL method was used. DEMATEL method is based on graph theory and matrix operations. It benefits from the knowledge and experience of experts and groups. It determines the reason to which the factors caused and the affected group. It visualizes the structure of complex causal relationships by identifying key factors that will solve the problem. The method uses the linear relationship between two factors by ranking the relationship between factors. This relationship is established by creating a direct correlation matrix between factors based on expert opinions. In the last stage, it provides the development of a graph that confirms the mutual relationship between variables. Findings- The difference of this study from other studies is that it benefits from an expert opinion at the beginning stage. In other words, the market expert determines the relationship between risk factors in financial markets intuitively. The analysis of financial markets is determined according to sixteen risk variables. These risk variables are divided into two as the affected group and the affected group. Conclusion- Interest rate, internet news, economic growth and inflation are in the group affects. Inflation is the most important risk variable affecting the market. Exchange Rate, BIST100, DAX, S & P500, Gold, Oil, Market Value, Unemployment, Borrowing Rate, Business Risk, Policy Risk, Bitcoin are in the affected group. Bitcoin is the most affected factor by other influencing factors. On the other hand, studies on the application of the DEMATEL method are based on subjective opinions of experts. The method assumes that subjective opinions are reliable. However, in scientific studies, it cannot be said that the assumptions are always correct.

Keywords

• Multi criteria decision making methods
• DEMATEL
• financial markets
• systematic risk
• nonsystematic risk

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