Browsing by Subject "Borsa İstanbul"

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Open Access
Data analytics in stock markets
(2019-06) Salari, Hajar Novin
One of the important strategies that is employed in finance is data analytics. Data Analytics is the science of investigating raw data with intention of drawing meaningful information and useful conclusions. Recently, organizations started to consider data analytics as a way to improve business processes and, use the collected information in operational efficiencies for achieving revenue growth. In recent years, the usage of data analytics is rapidly growing for many other reasons, such as, optimizing business processes, increasing revenue, and improving customer interactions. In this research two kinds of data analytics, order imbalances and order flow imbalances are studied and two groups of models extended according them. These regression models are based on level regressions and percentage changes, and trying to answer whether data analytics can forecast one minute a head of price return for each stock or not. Moreover, the results are analyzed and interpreted for 27 stocks of Borsa Istanbul. In the next step, for understanding the power of prediction of data analytics, Fama-Macbeth regression is considered. In the first step, each portfolio’s return is regressed against one or more factor of time series. In the second step, the cross-section of portfolio returns is regressed against the factors, at each time step. Then, we discuss the Long-Short Portfolio approach which is widely used in finance literature. This method is an investing strategy that takes long positions in stocks that are expected to ascend and short positions in stocks that are expected to descend. In this part we show the number of days that are positive or negative and provide the t stats that adjusted by NW procedure for all data analytics in each day for this method. Finally, we discuss about the market efficiency and show whether according to our analysis Borsa Istanbul is an efficient market or not.
Open Access
The impact of ESG scores on stock performance: the case of borsa İstanbul
(2024-03) Bayram, Ekin
This thesis investigates the impact of Environmental, Social, and Governance (ESG) scores on the returns of stocks listed on Borsa Istanbul (BIST). The analysis incorporates yearly di↵erences and percentage changes in ESG scores, along with ESG ratings. The sample consists of 62 Turkish companies from 2007 to 2022. Despite ongoing debates in the literature regarding the relevance of sustainability metrics on stock performance, this study provides robust evidence supporting a negative relationship between changes in ESG scores and stock returns. This relationship is more pronounced in yearly diferences in ESG scores compared to percentage changes. The ﬁndings remain consistent after accounting for ﬁrm and industry characteristics, and conducting various robustness checks. The negative impact of changes in ESG scores on stock returns suggests that these changes in scores indicate stock riskiness. Speciﬁcally, a decline in yearly diference in ESG scores corresponds to an increase in stock risk, leading to an increased premium demanded by investors and impacting stock returns.