BIST Corporate Governance Index Price Prediction with a Facebook Prophet Analysis Method
Abstract
At the core of corporate governance are various financial policies that consider maximizing the wealth of shareholders as the main objective. Corporate governance has become a multidisciplinary subject in recent years. In Turkish Capital Markets the Corporate Governance Index (XKURY), which is calculated with the market prices of the companies selected according to the criteria determined within the scope of corporate governance data within the body of Borsa Istanbul (BIST), is of great importance as the tool in which the effect of corporate governance criteria on companies is best observed. In this study, which aims to test the effectiveness of this index and therefore the corporate governance criteria, Facebook Prophet Analysis (FPA), a new and ambitious analysis method, was used and the value estimates of the index for the year 2022 were made using the daily values of the index between 01.03.2019 and 30.11.2021. The results show that the index will start with an upward trend in the first half of 2022, and after the first quarter, it will enter a downward trend and move below its value at the beginning of the year. However, it is observed that it will enter a continuous upward trend from the second half of the year and close the year 2022 with an increase in a trend pattern similar to the previous year. The consistency of the FPA method used was measured by the Mean Absolute Percent Error (MAPE) method and the low rates obtained showed that the results of FPA method were consistent. In another analysis on consistency, the BIST 30 Index, which is calculated by BIST and has a high correlation with the XKURY Index, was analyzed using the same methods, and the results obtained in these analyzes confirmed that the FPA results were consistent.
Keywords
Corporate Governance, Facebook Prophet Analysis, Price Forecasting
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