ASYMMETRIC INFORMATION FLOW BETWEEN THE BIST 100 INDEX AND ITS CONSTITUENT STOCKS

Öz

This study investigates the strength and direction of information flow between the BIST 100 index and its constituent stocks using the transfer entropy (TE) method. TE is a widely used, model-free, and data-driven approach for measuring directional information transfer and uncovering causal relationships in both linear and nonlinear contexts. Using daily returns, the analysis reveals that the information transfer between the index and its components is asymmetric, with a dominant flow from the stocks to the index. The results clearly show the influence of constituent stocks on the index and the direction and strength of information exchange between them. Furthermore, the net information flow between the BIST 100 index and sectors was found to vary, and the sectors were thus classified into two groups: those significantly influenced by the dynamics of the index and those playing a key role in shaping it. These findings highlight the heterogeneity of information flow between the index and sectors, and each sector contributes to the index dynamics at different levels.

Anahtar Kelimeler

• Transfer entropy
• Information flow
• BIST 100 Index

BİST 100 ENDEKSİ VE BİLEŞENLERİ ARASINDAKİ ASİMETRİK BİLGİ AKIŞI

Öz

Bu çalışmanın amacı, BİST 100 endeksi ile bu endeks içinde yer alan hisse senetleri arasındaki bilgi akışının yönünü ve büyüklüğünü transfer entropi yöntemiyle incelemektir. Transfer Entropisi (TE), zaman serileri arasındaki doğrusal ve doğrusal olmayan bilgi akışlarını, bu akışların yönünü, ilişkinin büyüklüğünü ve nedensellik ilişkilerini tespit edebilen parametrik olmayan bir yöntemdir. 2022-2024 dönemine ait günlük getiriler kullanılarak yapılan analizde, endeks ile bileşenler arasındaki bilgi transferinin asimetrik olduğunu ortaya koymuş ve hisse senetlerinden endekse doğru bilgi akışının baskın olduğunu göstermiştir. Bulgular, endeksi oluşturan hisse senetlerinin endeks üzerindeki etkisini ve endeks ile hisse senetleri arasındaki bilgi alışverişinin yönünü ve ilişkinin derecesini açıkça ortaya koymaktadır. Ayrıca, BIST 100 endeksi ile sektörler arasındaki net bilgi akışının farklılık gösterdiği tespit edilmiş ve sektörler, endeksten büyük ölçüde etkilenenler ve endeks üzerinde belirleyici rol oynayanlar olarak iki gruba ayrılmıştır. Araştırma sonuçları, endeks ile sektörler arasındaki bilgi akışının homojen olmadığını ve her sektörün endeks dinamiklerine farklı düzeylerde katkı sağladığını ortaya koymaktadır.

Anahtar Kelimeler

• Transfer Entropisi
• Bilgi Akışı
• BİST 100 Endeksi

Kaynakça

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