USING OF GRAY RELATIONAL ANALYSIS IN PORTFOLIO MANAGEMENT: BIST MANUFACTURING INDUSTRY SECTOR CASE STUDY

Devran Deniz; Muhammed Mustafa Tuncer Çalışkan

Makale detayları

USING OF GRAY RELATIONAL ANALYSIS IN PORTFOLIO MANAGEMENT: BIST MANUFACTURING INDUSTRY SECTOR CASE STUDY

Yazarlar:

Devran Deniz | Muhammed Mustafa Tuncer Çalışkan

Yayıncı:

Nigde Omer Halisdemir University

Ana Başlıklar:

Finans

Dergi:

Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.18 Issue 1, pp.361-377

Belge Tipi:

Makale

Yayın Tarihi:

1/2025

Belge Dili:

Türkçe

Document ID (Org No.):

2001339967

pISSN:

2564-6931

Anahtar kelimeler:

Özet:

 The aim of this study is to determine whether the Gray Relational Analysis GRA method, which is one of the multi-criteria decision-making techniques that has been frequently used in various fields in recent years, can be used in portfolio management in Istanbul Stock Exchange. For this purpose, we correlate the stock market performance of the companies with their GRA ratings, which are calculated using their financial ratios. Abnormal stock returns are used as a measure of stock market performance. The sample of the research consists of 30 companies belonging to the Manufacturing Industry Metal Goods Machinery Electrical Equipment and Transportation Vehicles sector, which are continuously traded on Istanbul Stock Exchange between 2018-2022. Hypothesis tests were conducted with panel regression analysis and t-tests. As a result of the research, a positive and statistically significant relationship was found between the companies gray relational analysis ratings and the abnormal returns of both the related year and the following year. This finding shows that TIA ratings contain forward-looking information that can be useful in portfolio construction. As a result, it was found that gray relational analysis can contribute to portfolio management. In other words, it is determined that investors can achieve abnormal returns by prioritizing investments in companies with high GRA scores. The limited research in this field in Istanbul Stock Exchange makes the findings valuable.

 The aim of this study is to determine whether the Gray Relational Analysis GRA method, which is one of the multi-criteria decision-making techniques that has been frequently used in various fields in recent years, can be used in portfolio management in Istanbul Stock Exchange. For this purpose, we correlate the stock market performance of the companies with their GRA ratings, which are calculated using their financial ratios. Abnormal stock returns are used as a measure of stock market performance. The sample of the research consists of 30 companies belonging to the Manufacturing Industry Metal Goods Machinery Electrical Equipment and Transportation Vehicles sector, which are continuously traded on Istanbul Stock Exchange between 2018-2022. Hypothesis tests were conducted with panel regression analysis and t-tests. As a result of the research, a positive and statistically significant relationship was found between the companies gray relational analysis ratings and the abnormal returns of both the related year and the following year. This finding shows that TIA ratings contain forward-looking information that can be useful in portfolio construction. As a result, it was found that gray relational analysis can contribute to portfolio management. In other words, it is determined that investors can achieve abnormal returns by prioritizing investments in companies with high GRA scores. The limited research in this field in Istanbul Stock Exchange makes the findings valuable.

 The aim of this study is to determine whether the Gray Relational Analysis GRA method, which is one of the multi-criteria decision-making techniques that has been frequently used in various fields in recent years, can be used in portfolio management in Istanbul Stock Exchange. For this purpose, we correlate the stock market performance of the companies with their GRA ratings, which are calculated using their financial ratios. Abnormal stock returns are used as a measure of stock market performance. The sample of the research consists of 30 companies belonging to the Manufacturing Industry Metal Goods Machinery Electrical Equipment and Transportation Vehicles sector, which are continuously traded on Istanbul Stock Exchange between 2018-2022. Hypothesis tests were conducted with panel regression analysis and t-tests. As a result of the research, a positive and statistically significant relationship was found between the companies gray relational analysis ratings and the abnormal returns of both the related year and the following year. This finding shows that TIA ratings contain forward-looking information that can be useful in portfolio construction. As a result, it was found that gray relational analysis can contribute to portfolio management. In other words, it is determined that investors can achieve abnormal returns by prioritizing investments in companies with high GRA scores. The limited research in this field in Istanbul Stock Exchange makes the findings valuable.

 Bu çalışmanın amacı son yıllarda çeşitli alanlarda sıkça kullanılan çok kriterli karar verme tekniklerinden Gri İlişkisel Analiz GİA yönteminin portföy yönetiminde kullanılıp kullanılamayacağının Borsa İstanbul özelinde belirlenmesidir. Bunun için şirketlerin finansal oranları ile hesaplanan GİA dereceleri ile borsa performansları ilişkilendirilmiştir. Borsa performanslarının ölçüsü olarak hisse senedi normalüstü getirileri kullanılmıştır. 2018-2022 yılları arasında Borsa İstanbulda kesintisiz işlem gören İmalat Sanayi Metal Eşya Makine Elektrikli Cihaz ve Ulaştırma Araçları sektörüne ait 30 şirket araştırmanın örneklemini oluşturmaktadır. Hipotez testleri panel regresyon analizi ve t testleri ile gerçekleştirilmiştir. Araştırmanın sonucunda, şirketlerin gri ilişkisel analiz dereceleri ile hem ilgili yıl hem de bir sonraki yılın normalüstü getirileri arasında pozitif ve istatistiksel açıdan anlamlı ilişki bulunmuştur. Bu bulgu GİA derecelerinin portföy oluşturmada gerekli olan geleceğe yönelik bilgiler içerdiğini göstermiştir. Sonuç olarak gri ilişkisel analizin portföy yönetiminde katkı sağlayabileceği bulgusuna ulaşılmıştır. Bir başka ifade ile yatırımcıların yüksek GİA skorlu şirketlere yatırımlarında öncelik vererek normalüstü getiriler elde edebileceği tespit edilmiştir. Borsa İstanbul özelinde bu alanda yapılan araştırmanın sınırlı olması elde edilen bulguları değerli kılmaktadır.

Makale detayları

USING OF GRAY RELATIONAL ANALYSIS IN PORTFOLIO MANAGEMENT: BIST MANUFACTURING INDUSTRY SECTOR CASE STUDY

Yazarlar:

Devran Deniz | Muhammed Mustafa Tuncer Çalışkan

Yayıncı:

Nigde Omer Halisdemir University

Ana Başlıklar:

Finans

Dergi:

Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.18 Issue 1, pp.361-377

Belge Tipi:

Makale

Yayın Tarihi:

1/2025

Belge Dili:

Türkçe

Document ID (Org No.):

2001339967

pISSN:

2564-6931

Portfolio Management

Gray Relations Analysis

Abnormal Return

Panel Data AnalysisPortföy Yönetimi

Gri İlişkisel Analiz

Normalüstü Getiri

Panel Veri Analizi.

Sayı

Makale detayları

Yazarlar: Devran Deniz | Muhammed Mustafa Tuncer Çalışkan

Yayıncı: Nigde Omer Halisdemir University

Ana Başlıklar: Finans

Dergi: Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.18 Issue 1, pp.361-377

Belge Tipi: Makale

Yayın Tarihi: 1/2025

Belge Dili: Türkçe

Document ID (Org No.): 2001339967

pISSN: 2564-6931

Sayı

Yazarlar:

Devran Deniz | Muhammed Mustafa Tuncer Çalışkan

Yayıncı:

Nigde Omer Halisdemir University

Ana Başlıklar:

Finans

Dergi:

Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.18 Issue 1, pp.361-377

Belge Tipi:

Makale

Yayın Tarihi:

1/2025

Belge Dili:

Türkçe

Document ID (Org No.):

2001339967

pISSN:

2564-6931