A Continuous-Time Analysis of Momentum and Mean Reversion in the BIST100 Index

Çiğdem Yerli

doi:10.16951/trendbusecon.1815580

EN TR

A Continuous-Time Analysis of Momentum and Mean Reversion in the BIST100 Index

Abstract

This study investigates whether stock returns in the Turkish equity market display time-series momentum or mean-reverting behavior. Using a stochastic continuous-time modeling approach, the analysis incorporates a performance-based momentum component and a mean-reversion state driven by the dividend yield. The model is estimated with monthly BIST100 data from 2000 to 2025 in both Turkish lira (TRY) and U.S. dollars (USD). The results show no evidence of economically meaningful time-series momentum in either currency denomination. They also provide evidence consistent with mean-reverting behavior in both currency denominations, with faster adjustment toward equilibrium in TRY and slower, more persistent adjustment in USD, reflecting the influence of exchange rate movements. These findings highlight the importance of considering exchange rate effects when evaluating return predictability and investment decisions in emerging markets.

Keywords

mean reversion, momentum, stock index

BIST100 Endeksinde Momentum ve Ortalamaya Dönüşün Sürekli Zamanlı İncelenmesi

Abstract

Bu çalışma, Türk hisse senedi piyasasında getirilerin zaman serisi momentumu mu yoksa ortalamaya dönüş davranışı mı sergilediğini araştırmaktadır. Sürekli zamana dayalı stokastik modelleme yaklaşımı kullanılarak yapılan analiz, performansa dayalı bir momentum bileşeni ile temettü getirisi tarafından yönlendirilen bir ortalamaya dönüş durumunu modele dahil etmektedir. Model, 2000–2025 dönemine ait aylık BIST100 verileri kullanılarak hem Türk lirası (TL) hem de ABD doları (USD) cinsinden tahmin edilmiştir. Sonuçlar, her iki para birimi cinsinden de ekonomik açıdan anlamlı bir zaman serisi momentumu olduğuna dair kanıt sunmamaktadır. Bulgular ayrıca, her iki para birimi cinsinden ortalamaya dönüş davranışıyla uyumlu kanıtlar sunmakta; kur hareketlerinin etkisini yansıtacak şekilde, TL bazında dengeye doğru daha hızlı bir uyuma, USD bazında ise daha yavaş ve daha kalıcı bir uyum sürecine işaret etmektedir. Bu bulgular, uluslararası yatırımcı perspektifinden değerlendirildiğinde döviz kuru hareketlerinin getiri dinamiklerini önemli ölçüde etkilediğini göstermektedir. Genel olarak, bulgular BIST100 getiri dinamiklerinde ortalamaya dönüşün momentumdan daha belirgin olduğunu göstermektedir. Elde edilen sonuçlar, gelişmekte olan piyasalarda getiri öngörülebilirliği ve yatırım kararları değerlendirilirken kur etkilerinin dikkate alınmasının önemini vurgulamaktadır.

Keywords

ortalamaya dönüş, momentum, hisse senedi endeksi

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Details

Primary Language

English

Subjects

Finance, Financial Econometrics, Financial Forecast and Modelling

Journal Section

Research Article

Authors

Çiğdem Yerli ^*
0000-0001-7629-7064
Türkiye

Publication Date

July 15, 2026

Submission Date

November 1, 2025

Acceptance Date

July 7, 2026

Published in Issue

Year 2026 Volume: 40 Number: 3

DOI

https://doi.org/10.16951/trendbusecon.1815580

IZ

https://izlik.org/JA29KX47MD

APA

Yerli, Ç. (2026). A Continuous-Time Analysis of Momentum and Mean Reversion in the BIST100 Index. Trends in Business and Economics, 40(3), 551-564. https://doi.org/10.16951/trendbusecon.1815580

AMA

1.Yerli Ç. A Continuous-Time Analysis of Momentum and Mean Reversion in the BIST100 Index. Trend Bus Econ. 2026;40(3):551-564. doi:10.16951/trendbusecon.1815580

Chicago

Yerli, Çiğdem. 2026. “A Continuous-Time Analysis of Momentum and Mean Reversion in the BIST100 Index”. Trends in Business and Economics 40 (3): 551-64. https://doi.org/10.16951/trendbusecon.1815580.

EndNote

Yerli Ç (July 1, 2026) A Continuous-Time Analysis of Momentum and Mean Reversion in the BIST100 Index. Trends in Business and Economics 40 3 551–564.

IEEE

[1]Ç. Yerli, “A Continuous-Time Analysis of Momentum and Mean Reversion in the BIST100 Index”, Trend Bus Econ, vol. 40, no. 3, pp. 551–564, July 2026, doi: 10.16951/trendbusecon.1815580.

ISNAD

Yerli, Çiğdem. “A Continuous-Time Analysis of Momentum and Mean Reversion in the BIST100 Index”. Trends in Business and Economics 40/3 (July 1, 2026): 551-564. https://doi.org/10.16951/trendbusecon.1815580.

JAMA

1.Yerli Ç. A Continuous-Time Analysis of Momentum and Mean Reversion in the BIST100 Index. Trend Bus Econ. 2026;40:551–564.

MLA

Yerli, Çiğdem. “A Continuous-Time Analysis of Momentum and Mean Reversion in the BIST100 Index”. Trends in Business and Economics, vol. 40, no. 3, July 2026, pp. 551-64, doi:10.16951/trendbusecon.1815580.

Vancouver

1.Çiğdem Yerli. A Continuous-Time Analysis of Momentum and Mean Reversion in the BIST100 Index. Trend Bus Econ. 2026 Jul. 1;40(3):551-64. doi:10.16951/trendbusecon.1815580

Content of this journal is licensed under a Creative Commons Attribution 4.0 International License

29928

A Continuous-Time Analysis of Momentum and Mean Reversion in the BIST100 Index

Abstract

Keywords

BIST100 Endeksinde Momentum ve Ortalamaya Dönüşün Sürekli Zamanlı İncelenmesi

Abstract

Keywords

References

Details

Primary Language

Subjects

Journal Section

Authors

Publication Date

Submission Date

Acceptance Date

Published in Issue

DOI

IZ

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