BIST 100 Index Estimation Using Bayesian Regression Modelling
Journal Title: Turkish Journal of Forecasting - Year 2017, Vol 1, Issue 2
Abstract
Identification of factors, determining the fluctuations of stock indices in the market, possesses great importance for the capital market actors. Not only specifying the factors and market but also explaining the relationship between them correctly, will reduce the amount of exposure financial risk and bring this topic into the limelight of market actors. The most important indicator of good progress in the economic cycle can be observed as the stock market index which is also used as macroeconomic indicators for developed economies. It is generally observed that all the stock prices rise or fall in the same period and this question gives us the impression that there are some factors that have an influence in this period. Having the properties of dynamic, complex and non-linear structure makes this analysis tough and solving the problem requires very complex and difficult processes. Due to high uncertainty and volatility, while estimating the stock price behaviour, stock investments carry more risk than any other investment. Moreover, BIST index possesses very high chaotic structure, it is not possible to conclude the long-term predictability. Our study will address the portion of the macro factors affecting the stock index. Interest rates, exchange rates, money supply, inflation, gold, oil prices are investigated among the macro factors. For the study data was obtained using CBT from the Electronic Data Dissemination System monthly frequencies. The factors influencing the stock index was determined by the method of regression relationship between them, but the Bayesian method is used with regression for the estimation.
Authors and Affiliations
Cihat Öztürk, Deniz Efendioğlu, Nurullah Güleç
Keywords
Related Articles
- EP ID EP300053
- DOI -
- Views 125
- Downloads 0
Forecasting Chestnut Production and Export of Turkey Using ARIMA Model
Turkey is one of main producers and exporter countries of chestnut in the world. It is essential to assess scientifically the accurate future production and export potentials of chestnut on the basis of past trends. This...
Forecasting of Apricot Production of Turkey by Using Box-Jenkins Method
Turkey is the first largest apricot producer in the world. In 2016, Turkey was responsible for 9,21% of world apricot production with 730 thousand tons. Turkey also generated 11,31% of world apricot exports in 2016. The...
G-STAR Model for Forecasting Space-Time Variation of Temperature in Northern Ethiopia
Among many indicators of climate change, the temperature is a key indicator to take remedial action for world global warming. This finding provides application of space-time models for temperature data, which is selected...
Stock Market Prediction Using Nonparametric Fuzzy and Parametric GARCH Methods
Prediction of stock market value is one the most complicated issue during the past decades. Due to its importance, in this research, we consider the prediction of stock values based on non-parametric and parametric metho...
A Fuzzy Modelling Approach to Robust Design via Loss Functions
Especially in a world where industrial development is reinforced by globalization tendencies, competitive companies know that satisfying customers' needs and running a successful operation requires a process that is reli...