Morgan Stanley Capital International Turkiye Endeksinin Yapay Sinir Aglari ile Ongorusu

Nuray GUNERI Tosunoglu () and Yasemin KESKIN Benli ()
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Nuray GUNERI Tosunoglu: Gazi Universitesi, Ticaret ve Turizm Egitim Fakultesi, Bilgisayar Uygulamalari Egitimi Bolumu
Yasemin KESKIN Benli: Gazi Universitesi, Endustriyel Sanatlar Egitim Fakultesi, Isletme Egitimi Bolumu

Ege Academic Review, 2012, vol. 12, issue 4, 541-547

Abstract: Zaman serisi analizi ile borsa endeksinin gelecek degerlerini ongorme, finans alaninda oldukca ilgi goren bir konudur. Borsa endeks ongorusu icin kullanilan farkli zaman serisi yontemleri bulunmaktadir. Bu yontemlerden biri, son yillarda bircok arastirmada kullanildigi gorulen Yapay Sinir Aglari (YSA)’dir. Yapay sinir aglarinin, diger zaman serisi yontemleri ile karsilastirildiginda, bazi on kosullar gerektirmemesi ve esnek bir modelleme yapisi olmasi nedeniyle daha ustun oldugu yapilan calismalarla ortaya konulmustur. Bu calismada Morgan Stanley Capital International (MSCI) Turkiye endeksinin aylik degerlerine iliskin ongorulerin yapay sinir aglari ile elde edilmesi amaclanmistir. Calismanin verileri Aralik 1987-Agustos 2008 donemini kapsamaktadir. Uygulamada, 12 girdi, 11 gizli ve 1 cikti noronundan olusan ileri beslemeli bir ag modeli kullanilmistir. Performans olcutu, hata kareler ortalamasinin karekoku olarak secilmis ve degeri 0,1131 olarak hesaplanmistir. Calisma sonucunda YSA ile endeks degerlerine iliskin, basarili ongoruler elde edilmistir.True Value Added (TVA), Market Value Added (MVA), Cash Flow Return on Investment (CFROI) and Cash Value Added (CVA), respectively. In this study, the weights of the performance measures are obtained by using FAHP. The companies are ranked with respect to their strategic financial performance measures’ values for each year for the period 1998-2011, and also ranked with respect to the average values of these measures for the related period by using the VIKOR method.

Keywords: Borsa; MSCI Turkiye endeksi; zaman serisi analizi; yapay sinir aglari; ongoru (search for similar items in EconPapers)
JEL-codes: C45 C53 C58 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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