DEMATEL YÖNTEMİYLE FİNANSAL PİYASALARIN ANALİZİ

Year 2021, Volume: 8 Issue: 1, 53 - 66, 30.03.2021

Hakan Altın

https://doi.org/10.17261/Pressacademia.2021.1378

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

References

• Abdel-Basset, M., Manogaran, G., Gamal, A., & Smarandache, F. (2018). A hybrid approach of neutrosophic sets and DEMATEL method for developing supplier selection criteria. Design Automation for Embedded Systems, 22(3), 257-278. doi.org/10.1007/s10617-018-9203-6
• Abdullah, L., Zulkifli, N., Liao, H., Herrera-Viedma, E., & Al-Barakati, A. (2019). An interval-valued intuitionistic fuzzy DEMATEL method combined with Choquet integral for sustainable solid waste management. Engineering Applications of Artificial Intelligence, 82, 207-215. doi.org/10.1016/j.engappai.2019.04.005
• Akyuz, E., & Celik, E. (2015). A fuzzy DEMATEL method to evaluate critical operational hazards during gas freeing process in crude oil tankers. Journal of Loss Prevention in the Process Industries, 38, 243-253. doi.org/10.1016/j.jlp.2015.10.006
• Altuntas, F., & Gok, M. S. (2021). The effect of COVID-19 pandemic on domestic tourism: A DEMATEL method analysis on quarantine decisions. International Journal of Hospitality Management, 92, 102719. doi.org/10.1016/j.ijhm.2020.102719
• Altuntas, S., & Dereli, T. (2015). A novel approach based on DEMATEL method and patent citation analysis for prioritizing a portfolio of investment projects. Expert systems with Applications, 42(3), 1003-1012. doi.org/10.1016/j.eswa.2014.09.018
• Amiri, M., Sadaghiyani, J., Payani, N., & Shafieezadeh, M. (2011). Developing a DEMATEL method to prioritize distribution centers in supply chain. Management Science Letters, 1(3), 279-288. doi: 10.5267/j.msl.2011.04.001
• Ayçin, E. (2020). Bölüm 6. DEMATEL. Çok Kriterli Karar Verme Bilgisayar Uygulamalı Çözümler,2. Basım. Nobel Akademik Yayıncılık. Ankara
• Bakir, S., Khan, S., Ahsan, K., & Rahman, S. (2018). Exploring the critical determinants of environmentally oriented public procurement using the DEMATEL method. Journal of environmental management, 225, 325-335. doi.org/10.1016/j.jenvman.2018.07.081
• Chang, B., Chang, C. W., & Wu, C. H. (2011). Fuzzy DEMATEL method for developing supplier selection criteria. Expert systems with Applications, 38(3), 1850-1858. doi:10.1016/j.eswa.2010.07.114
• Chang, K. H., & Cheng, C. H. (2011). Evaluating the risk of failure using the fuzzy OWA and DEMATEL method. Journal of Intelligent Manufacturing, 22(2), 113-129. doi 10.1007/s10845-009-0266-x
• Chen, C. A. (2012). Using DEMATEL method for medical tourism development in Taiwan. American Journal of Tourism Research, 1(1), 26-32.
• Chen, Z., Lu, M., Ming, X., Zhang, X., & Zhou, T. (2020). Explore and evaluate innovative value propositions for smart product service system: A novel graphics-based rough-fuzzy DEMATEL method. Journal of Cleaner Production, 243, 118672. doi.org/10.1016/j.jclepro.2019.118672
• Du, Y. W., & Li, X. X. (2020). Hierarchical DEMATEL method for complex systems. Expert Systems with Applications, 113871. doi.org/10.1016/j.eswa.2020.113871
• Fan, W., & Xiao, F. (2019). A new conflict management in evidence theory based on DEMATEL method. Journal of Sensors, 2019. doi.org/10.1155/2019/7145373
• Fan, Z. P., Suo, W. L., & Feng, B. (2012). Identifying risk factors of IT outsourcing using interdependent information: An extended DEMATEL method. Expert systems with Applications, 39(3), 3832-3840. doi:10.1016/j.eswa.2011.09.092
• Feng, C., & Ma, R. (2020). Identification of the factors that influence service innovation in manufacturing enterprises by using the fuzzy DEMATEL method. Journal of Cleaner Production, 253, 120002. doi.org/10.1016/j.jclepro.2020.120002
• Fontela, E., & Gabus, A. (1976). The DEMATEL observer, DEMATEL 1976 Report. Switzerland Geneva: Battelle Geneva Research Center.
• Gabus, A., & Fontela, E. (1972). World problems, an invitation to further thought within the framework of DEMATEL. Switzerland, Geneva: Battelle Geneva Research Centre.
• Gabus, A., & Fontela, E. (1973). Perceptions of the world problematique: Communication procedure, communicating with those bearing collective responsibility (DEMATEL report no. 1). Switzerland Geneva: Battelle Geneva Research Centre.
• Gharakhani, D. (2012). The evaluation of supplier selection criteria by fuzzy DEMATEL method. Journal of Basic and Applied Scientific Research, 2(4), 3215-3224.
• Govindan, K., Khodaverdi, R., & Vafadarnikjoo, A. (2015). Intuitionistic fuzzy based DEMATEL method for developing green practices and performances in a green supply chain. Expert Systems with Applications, 42(20), 7207-7220. doi.org/10.1016/j.eswa.2015.04.030
• Han, Y., & Deng, Y. (2018). An enhanced fuzzy evidential DEMATEL method with its application to identify critical success factors. Soft computing, 22(15), 5073-5090. doi.org/10.1007/s00500-018-3311-x
• Khan, S., Haleem, A., & Khan, M. I. (2020). Enablers to implement circular initiatives in the supply chain: A grey DEMATEL method. Global Business Review, 0972150920929484. doi. 10.1177/0972150920929484
• Li, C. W., & Tzeng, G. H. (2009). Identification of a threshold value for the DEMATEL method using the maximum mean de-entropy algorithm to find critical services provided by a semiconductor intellectual property mall. Expert Systems with Applications, 36(6), 9891-9898. doi:10.1016/j.eswa.2009.01.073
• Li, Y., Hu, Y., Zhang, X., Deng, Y., & Mahadevan, S. (2014). An evidential DEMATEL method to identify critical success factors in emergency management. Applied Soft Computing, 22, 504-510. doi.org/10.1016/j.asoc.2014.03.042
• Lin, C. W., Chen, S. H., & Tzeng, G. H. (2009). Constructing a cognition map of alternative fuel vehicles using the DEMATEL method. Journal of Multi‐Criteria Decision Analysis, 16(1‐2), 5-19. doi. 10.1002/mcda.438
• Lin, K. P., Tseng, M. L., & Pai, P. F. (2018). Sustainable supply chain management using approximate fuzzy DEMATEL method. Resources, Conservation and Recycling, 128, 134-142. doi.org/10.1016/j.resconrec.2016.11.017
• Lin, Y. T., Yang, Y. H., Kang, J. S., & Yu, H. C. (2011). Using DEMATEL method to explore the core competences and causal effect of the IC design service company: An empirical case study. Expert Systems with Applications, 38(5), 6262-6268. doi:10.1016/j.eswa.2010.11.092
• Mahmoudi, S., Jalali, A., Ahmadi, M., Abasi, P., & Salari, N. (2019). Identifying critical success factors in Heart Failure Self-Care using fuzzy DEMATEL method. Applied Soft Computing, 84, 105729. doi.org/10.1016/j.asoc.2019.105729
• Mangla, S., Kumar, P., & Barua, M. K. (2014). An evaluation of attribute for improving the green supply chain performance via DEMATEL method. International Journal of Mechanical Engineering & Robotics Research, 1(1), 30-35.
• Maqbool, A., & Khan, N. Z. (2020). Analyzing barriers for implementation of public health and social measures to prevent the transmission of COVID-19 disease using DEMATEL method. Diabetes & Metabolic Syndrome: Clinical Research & Reviews, 14(5), 887-892. doi.org/10.1016/j.dsx.2020.06.024
• Mirmousa, S., & Dehnavi, H. D. (2016). Development of criteria of selecting the supplier by using the fuzzy DEMATEL method. Procedia-Social and Behavioral Sciences, 230, 281-289. doi: 10.1016/j.sbspro.2016.09.036
• Rostamnezhad, M., Nasirzadeh, F., Khanzadi, M., Jarban, M. J., & Ghayoumian, M. (2020). Modeling social sustainability in construction projects by integrating system dynamics and fuzzy‐DEMATEL method: a case study of highway project. Engineering, Construction and Architectural Management.
• Seker, S., & Zavadskas, E. K. (2017). Application of fuzzy DEMATEL method for analyzing occupational risks on construction sites. Sustainability, 9(11), 2083. doi:10.3390/su9112083
• Seleem, S. N., Attia, E. A., & El-Assal, A. (2016). Managing performance improvement initiatives using DEMATEL method with application case study. Production Planning & Control, 27(7-8), 637-649. doi. 10.1080/09537287.2016.1165301
• Sharma, M., Joshi, S., & Kumar, A. (2020). Assessing enablers of e-waste management in circular economy using DEMATEL method: An Indian perspective. Environmental Science and Pollution Research, 1-14. doi.org/10.1007/s11356-020-07765-w
• Sharma, V., Dixit, A. R., & Qadri, M. A. (2016). Empirical assessment of the causal relationships among lean criteria using DEMATEL method. Benchmarking: An International Journal. doi.10.1108/BIJ-08-2014-0078
• Shieh, J. I., & Wu, H. H. (2016). Measures of consistency for DEMATEL method. Communications in Statistics-Simulation and Computation, 45(3), 781-790. doi.org/10.1080/03610918.2013.875564
• Shieh, J. I., Wu, H. H., & Huang, K. K. (2010). A DEMATEL method in identifying key success factors of hospital service quality. Knowledge-Based Systems, 23(3), 277-282. doi:10.1016/j.knosys.2010.01.013
• Song, W., Zhu, Y., & Zhao, Q. (2020). Analyzing barriers for adopting sustainable online consumption: A rough hierarchical DEMATEL method. Computers & Industrial Engineering, 140, 106279. doi.org/10.1016/j.cie.2020.106279
• Sumrit, D., & Anuntavoranich, P. (2013). Using DEMATEL method to analyze the causal relations on technological innovation capability evaluation factors in Thai technology-based firms. International Transaction Journal of Engineering, Management, & Applied Sciences & Technologies, 4(2), 81-103.
• Wu, H. H., & Chang, S. Y. (2015). A case study of using DEMATEL method to identify critical factors in green supply chain management. Applied Mathematics and Computation, 256, 394-403. doi.org/10.1016/j.amc.2015.01.041
• Wu, H. H., & Tsai, Y. N. (2011). A DEMATEL method to evaluate the causal relations among the criteria in auto spare parts industry. Applied Mathematics and Computation, 218(5), 2334-2342. doi:10.1016/j.amc.2011.07.055
• Wu, H. H., Chen, H. K., & Shieh, J. I. (2010). Evaluating performance criteria of employment service outreach program personnel by DEMATEL method. Expert Systems with Applications, 37(7), 5219-5223. doi:10.1016/j.eswa.2009.12.068
• Wu, W. W. (2012). Segmenting critical factors for successful knowledge management implementation using the fuzzy DEMATEL method. Applied Soft Computing, 12(1), 527-535.
• Wu, W. W., & Lee, Y. T. (2007). Developing global managers’ competencies using the fuzzy DEMATEL method. Expert systems with applications, 32(2), 499-507. doi:10.1016/j.eswa.2005.12.005
• Yang, J. L., & Tzeng, G. H. (2011). An integrated MCDM technique combined with DEMATEL for a novel cluster-weighted with ANP method. Expert Systems with Applications, 38(3), 1417-1424. doi:10.1016/j.eswa.2010.07.048
• Yang, Y. P. O., Shieh, H. M., Leu, J. D., & Tzeng, G. H. (2008). A novel hybrid MCDM model combined with DEMATEL and ANP with applications. International journal of operations research, 5(3), 160-168.
• Zhang, L., Sun, X., & Xue, H. (2019). Identifying critical risks in Sponge City PPP projects using DEMATEL method: A case study of China. Journal of cleaner production, 226, 949-958. doi.org/10.1016/j.jclepro.2019.04.067
• Zhang, W., & Deng, Y. (2019). Combining conflicting evidence using the DEMATEL method. Soft computing, 23(17), 8207-8216. doi.org/10.1007/s00500-018-3455-8