Nadir ERSEN, İlker AKYÜZ, Kadri Cemil AKYÜZ

KAĞIT VE KAĞIT ÜRÜNLERİ SEKTÖRÜNÜN HİSSE FİYATININ TAHMİN EDİLMESİNE YÖNELİK MARKOV ZİNCİR MODELİ

Stokastik bir süreç olan Markov zincirleri, gelecekteki davranışları tahmin etmek için değişkenlerin mevcut davranışlarını analiz eden bir yöntemdir. Stokastik analiz ile hisse senedi piyasalarında kararlar almak ve geleceğe yönelik tahminlerde bulunmak mümkündür. Bu çalışmada Markov zincirleri yardımıyla BIST'te kağıt ve kağıt ürünleri sektöründe işlem gören şirketlerin hisse senedi fiyatları tahmin edilmiştir. Bu çalışmanın amacını gerçekleştirmek için BİST'te işlem gören yedi şirketin 01.06.2022-31.05.2023 dönemine ait kapanış fiyatları kullanılmıştır. Altı hissenin uzun vadede düşüşe geçeceği sonucuna varılırken, TEZOL firmasının hissesinin uzun vadede artacağı sonucuna varıldı. Şirketlerin beklenen hisse senedi getirileri incelendiğinde, hisse senedi getirisi en yüksek olan firmanın VIKING olduğu belirlenirken, hisse senedi getirisi en düşük firmanın ise KARTN olduğu belirlenmiştir.

Anahtar Kelimeler:

Markov zinciri, hisse senedi, kağıt ve kağıt ürünleri

MARKOV CHAIN MODEL FOR PREDICTING THE STOCK PRICE OF PAPER AND PAPER PRODUCTS INDUSTRY

Markov chains, which are a stochastic process, are a method for analyzing the current behavior of variables to predict their future behavior. With stochastic analysis, it is possible to make decisions in stock markets and make predictions about the future. In this study, with the help of Markov chains, the stock prices of the companies traded in the paper and paper products industry in BIST were predicted. In order to realize the purpose of this study, the closing prices of the seven companies traded in the BIST for the period 01.06.2022-31.05.2023 were used. While it was concluded that six stocks would likely decrease in the long term, it was concluded that the stock of TEZOL company would increase in the long term. When the expected stock returns of the companies are examined, it was determined that VIKING is the company with the highest expected stock return, while KARTN is the company with the lowest expected stock return.

Keywords:

markov chain, stock, paper and paper products,

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