Examination of Stocks in the Istanbul Stock Exchange 100 Index With Clustering and Association Rules Analysis

Damla Yalçıner Çal; Meltem Karaatlı

Article Details

Examination of Stocks in the Istanbul Stock Exchange 100 Index With Clustering and Association Rules Analysis

Authors:

Damla Yalçıner Çal | Meltem Karaatlı

Publisher:

Istanbul University

Main Topics:

Ekonometri (Diğer)

Journal:

EKOIST Journal of Econometrics and Statistics Issue 41, pp.34-53

Document Type:

Article

Publication Date:

12/2024

Document Language:

Turkish

Document ID (Org No.):

2001340592

pISSN:

2651-396X

Keywords:

Abstract:

 In this study, the co-movements of the stocks of the companies in the BIST 100 index are analysed by Cluster Analysis and Association Rules Analysis. For the clustering analysis, yield, trading volume, price volatility, market value, beta, market valuebook value, equitypaid capital, and market valuenet sales revenue variables are used; for the association rules analysis, the closing price is taken as a variable. The period 06.12.2012 to - 30.12.2022 was analysed in the study. Cluster Analysis was conducted for this period, and the associations of all stocks and stocks for each cluster were also analysed. The CLARA algorithm was used for the cluster analysis, and the FP-Growth Algorithm was used for the association rules analysis. The R programming language was preferred for the cluster analysis, and the WEKA programme was preferred for the association rules analysis. Because of the study, Cluster Analysis was used to determine the interconnectedness of stocks and Association Rules Analysis was used to determine which stocks move together. This will help both individual and institutional portfolio managers in determining which stocks to focus on in the portfolio diversification process. In addition, identifying stocks that move in tandem with each other during upward or downward price changes in stock markets, which have a very dynamic structure, will provide investors with the opportunity to share in potential profits. The possibility that the upward or downward movement in the price of a stock whose co-movement is detected may be accompanied by other stocks constitutes potential profits. According to the main findings of the research, there is a very intense co-movement among the companies operating in the banking sector. In addition, there is a commonality among pharmaceutical, white goods, iron and steel, retail, energy, petrochemical and manufacturing companies operating in the same sector. There is also an association between family group companies and companies operating in real estate investment trusts.

 In this study, the co-movements of the stocks of the companies in the BIST 100 index are analysed by Cluster Analysis and Association Rules Analysis. For the clustering analysis, yield, trading volume, price volatility, market value, beta, market valuebook value, equitypaid capital, and market valuenet sales revenue variables are used; for the association rules analysis, the closing price is taken as a variable. The period 06.12.2012 to - 30.12.2022 was analysed in the study. Cluster Analysis was conducted for this period, and the associations of all stocks and stocks for each cluster were also analysed. The CLARA algorithm was used for the cluster analysis, and the FP-Growth Algorithm was used for the association rules analysis. The R programming language was preferred for the cluster analysis, and the WEKA programme was preferred for the association rules analysis. Because of the study, Cluster Analysis was used to determine the interconnectedness of stocks and Association Rules Analysis was used to determine which stocks move together. This will help both individual and institutional portfolio managers in determining which stocks to focus on in the portfolio diversification process. In addition, identifying stocks that move in tandem with each other during upward or downward price changes in stock markets, which have a very dynamic structure, will provide investors with the opportunity to share in potential profits. The possibility that the upward or downward movement in the price of a stock whose co-movement is detected may be accompanied by other stocks constitutes potential profits. According to the main findings of the research, there is a very intense co-movement among the companies operating in the banking sector. In addition, there is a commonality among pharmaceutical, white goods, iron and steel, retail, energy, petrochemical and manufacturing companies operating in the same sector. There is also an association between family group companies and companies operating in real estate investment trusts.

 In this study, the co-movements of the stocks of the companies in the BIST 100 index are analysed by Cluster Analysis and Association Rules Analysis. For the clustering analysis, yield, trading volume, price volatility, market value, beta, market valuebook value, equitypaid capital, and market valuenet sales revenue variables are used; for the association rules analysis, the closing price is taken as a variable. The period 06.12.2012 to - 30.12.2022 was analysed in the study. Cluster Analysis was conducted for this period, and the associations of all stocks and stocks for each cluster were also analysed. The CLARA algorithm was used for the cluster analysis, and the FP-Growth Algorithm was used for the association rules analysis. The R programming language was preferred for the cluster analysis, and the WEKA programme was preferred for the association rules analysis. Because of the study, Cluster Analysis was used to determine the interconnectedness of stocks and Association Rules Analysis was used to determine which stocks move together. This will help both individual and institutional portfolio managers in determining which stocks to focus on in the portfolio diversification process. In addition, identifying stocks that move in tandem with each other during upward or downward price changes in stock markets, which have a very dynamic structure, will provide investors with the opportunity to share in potential profits. The possibility that the upward or downward movement in the price of a stock whose co-movement is detected may be accompanied by other stocks constitutes potential profits. According to the main findings of the research, there is a very intense co-movement among the companies operating in the banking sector. In addition, there is a commonality among pharmaceutical, white goods, iron and steel, retail, energy, petrochemical and manufacturing companies operating in the same sector. There is also an association between family group companies and companies operating in real estate investment trusts.

 Bu çalışmada BIST 100 endeks içinde yer alan şirketlere ait hisse senetlerinin birlikte hareketleri Kümeleme Analizi ve Birliktelik Kuralları Analizi ile incelenmiştir. Kümeleme Analizi için getiri, işlem hacmi volume, fiyat oynaklığı, piyasa değeri, beta, piyasa değeridefter değeri, özkaynaklarödenmiş sermaye, piyasa değerinet satışlar hasılat; birliktelik kuralları analizinde kapanış fiyatı değişken olarak kullanılmıştır. Çalışmada 06.12.2012-30.12.2022 dönemi incelemeye alınmıştır. Bu dönem için Kümeleme Analizi yapılmış daha sonra tüm hisse senetlerinin ve Kümeleme Analizi ile oluşan grupların kendi içerisinde birlikteliklerine bakılmıştır. Kümeleme Analizi için CLARA Algoritması kullanılmış, Birliktelik Kuralları Analizi için de FP-Growth Algoritmasından yararlanılmıştır. Kümeleme Analizi için R programlama dili, Birliktelik Kuralları Analizi içinde WEKA programı tercih edilmiştir. Çalışmanın sonucunda, Kümeleme Analizi ile hisse senetlerinin birbirleriyle olan bağlantıları, ardından Birliktelik Kuralları Analizi ile hisse senetlerinin hangilerinin birlikte hareket ettiği görülmüştür. Bu durum hem bireysel hem de kurumsal portföy yöneticilerine, portföy çeşitlendirme sürecinde hangi hisse senetlerine yönelebilecekleri konusunda yardımcı olacaktır. Ayrıca çok dinamik bir yapıya sahip olan hisse senedi piyasalarında yukarı veya aşağı yönlü fiyat değişimlerinde birbirine eşlik eden hisse senetlerinin belirlenmesi, yatırımcılara potansiyel kârlardan pay alma imkânı sağlayacaktır. Birlikte hareketi tespit edilen hisse senetlerinden bir tanesinin fiyatında görülen yukarı veya aşağı yönlü harekete diğer hisselerin de eşlik edebileceği olasılığı potansiyel kârı oluşturmaktadır. Araştırmadan elde edilen temel bulgulara göre bankacılık alanında faaliyet gösteren şirketler arasında çok yoğun bir birliktelik tespit edilmiştir. Ayrıca sektörel anlamda aynı sektör içerisinde faaliyet gösteren ilaç, beyaz eşya, demir çelik, perakende, enerji, petrokimya ve üretim şirketleri arasında birliktelik görülmektedir. Aile grup şirketleri ve gayrimenkul yatırım ortaklığı içerisinde yer alan şirketler arasında da birliktelik olduğu belirlenmiştir.

Article Details

Examination of Stocks in the Istanbul Stock Exchange 100 Index With Clustering and Association Rules Analysis

Authors:

Damla Yalçıner Çal | Meltem Karaatlı

Publisher:

Istanbul University

Main Topics:

Ekonometri (Diğer)

Journal:

EKOIST Journal of Econometrics and Statistics Issue 41, pp.34-53

Document Type:

Article

Publication Date:

12/2024

Document Language:

Turkish

Document ID (Org No.):

2001340592

pISSN:

2651-396X

Data Mining

CLARA Clustering Analysis

FP-Growth Association Rules Analysis

Portfolio Management

Stock SelectionVeri Madenciliği

CLARA Kümeleme Algoritması

FP-Growth Birliktelik Kuralları Analizi

Portföy Yönetimi

Hisse Seçimi

Issues

Article Details

Authors: Damla Yalçıner Çal | Meltem Karaatlı

Publisher: Istanbul University

Main Topics: Ekonometri (Diğer)

Journal: EKOIST Journal of Econometrics and Statistics Issue 41, pp.34-53

Document Type: Article

Publication Date: 12/2024

Document Language: Turkish

Document ID (Org No.): 2001340592

pISSN: 2651-396X

Issues

Authors:

Damla Yalçıner Çal | Meltem Karaatlı

Publisher:

Istanbul University

Main Topics:

Ekonometri (Diğer)

Journal:

EKOIST Journal of Econometrics and Statistics Issue 41, pp.34-53

Document Type:

Article

Publication Date:

12/2024

Document Language:

Turkish

Document ID (Org No.):

2001340592

pISSN:

2651-396X