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               7 LAITIL

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Academy of S

pment of then "0" and "1a of the RSIand. The si

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                      LA Thomas

of Econometric

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e prices det100". FollowI index is dgn of the pa

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theoretical ion method

volution morong correlasumption th

                       (1993). A p

cs, 56; S:341

al Sciences Jou

termines. Thwing the detdetermined. arameter est

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1-356

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  12 

 

 

evenly dis not un 4. EMP Followiindices The maexchang CODEXU100 XU050 XU030 XKURY XUTUM XUSIN XGIDA XTEKS XKAGT XKMYA XTAST XMANA XMESYXUHIZ XELKT XULAS XTRZM XTCRT XILTM XSPORXUMAL XBANK XSGRT XFINK XHOLD XGMYO XUTEK XBLSM XSVNMXYORT XIKIU XYEKO Followimodels.               8 PINDY

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17

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  14 

 

 

Stabilit The stabshare prshares wat least are sele With thbeginninsecond p- for thethird of the entiare comafter thcollectio

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ty of the pa

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The estithe appestatistic 5. CON In summsmaller it more For all used. Tindicatoparametestimate108 momodels variablemodels models With thAnadoluis very snot reac

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Academy of S

imated paraendix. The change of t

NCLUSION

mary we canas if is. NSlargely as i

technical inThe conclusors. The tecter values, ted parameteodels the O

the ROC ve, for 27 mo

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hose modelu Efes and Asmall with tched.

prognoses

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from theserds with the

prognoses asis "NSI C"E" derived" between L

1 on (+1). Ay is determn 54 to 72 p

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SI of EU" vsticated upp

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ameter valuresults dispthe estimate

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al Sciences Jou

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variable, isor 214 modmoment arou

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h the techni had extrems, one can m

elect for thperiod of gnoses the "E" (NSI estiNSI real) va

al prognosedetermined was under Ld Limit_1 "ative of "Nhe case of

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15

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  16 

 

 

within t(ever a from 70 The intbroadlyspeak wBeing ocannot binterval which respons With thobserveit an avwas obs62.5 perEU" andcent, i.e In princsafe procorrect prognosabout saabout th

 

 An E

these two vmodel per

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tervals - "Ny. With verywith the inton the otherbe made sa borders lieagain exteible.

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Early Warning

values - betwshare)"NSI

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İŞ BANK YAPI VE İKTİSAT VAKIF G ALARKO ENKA HO KOÇ HO ANADOL ANADOL MARET PINAR SU AYGAZ BRİSA ECZACIB PETKİM ÇELİK H EREĞLİ SARKUY ARÇELİK MAKİNA T.DEMİR ÇİMSA İZOCAM

Academy of S

Stock

KASI (C)

KREDİ BANK

T FİN. KİR.

GMYO

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Sciences Socia

Amoin

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NSI ECorrect

ount 43 % 60.56

ount 46 % 64.79

ount 42 % 59.15

ount 39 % 57.35

ount 43 % 60.56

ount 56 % 72.73

ount 41 % 56.94

ount 39 % 54.17

ount 45 % 65.22

ount 47 % 65.28

ount 50 % 69.44

ount 45 % 62.50

ount 44 % 62.86

ount 49 % 69.01

ount 44 % 61.11

ount 46 % 63.89

ount 52 % 72.22

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ournal

Interval Estimatio

Correct

67 94.37

67 94.37

66 92.96

64 94.12

66 92.96

76 98.70

69 95.83

51 70.83

67 97.10

71 98.61

71 98.61

70 97.22

66 94.29

71 100.00

70 97.22

72 100.00

70 97.22

68 94.44

68 94.44

66 91.67

71 98.61

71 98.61

71 98.61

n NSI E =

2015, Vo

= NSI EU = NSIEO

13 18.31

17 23.94

16 22.54

8 11.76

18 25.35

12 15.58

17 23.61

45 62.50

13 18.84

17 23.61

5 6.94 11

15.28 22

31.43 15

21.13 14

19.44 8

11.11 13

18.06 12

16.67 19

26.39 15

20.83 8

11.11 14

19.44 9

12.50

olume: 1

I NSI E = NSI EU

= NSI EO Correct

11 84.62

15 88.24

14 87.50

6 75.00

16 88.89

11 91.67

14 82.35

37 82.22

8 61.54

16 94.12

4 80.00

10 90.91

18 81.82

15 100.00

14 100.00

8 100.00

12 92.31

12 100.00

16 84.21

11 73.33

7 87.50

13 92.86

8 88.89

17

NSI PU =-1

NSI PO=+1 NSI P

Betwixt

43 60.56

35 49.30

37 52.11

48 70.59

37 52.11

53 68.83

38 52.78

7 9.72 39

56.52 34

47.22 60

83.33 38

52.78 36

51.43 56

78.87 43

59.72 49

68.06 42

58.33 37

51.39 42

58.33 44

61.11 47

65.28 43

59.72 41

56.94

  18 

 

 

TRAKYA AKAL TE KORDSA YÜNSA GENTAŞ KARTON HÜRRİYE ALCATE ASELSAN

 

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Amoin

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ount 40 % 55.56

ount 44 % 61.11

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ount 46 % 63.89 able-5: Poin

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68 94.44

70 97.22

69 95.83

70 97.22

72 100.00

70 97.22

72 100.00

70 97.22

71 98.61

nt and inter

dicators: The C

rval prognos

Case of ISE (I

18 25.00

13 18.06

18 25.00

9 12.50

15 20.83

4 5.56

8 11.11

21 29.17

15 20.83

ses

Istanbul Stock

16 88.89

12 92.31

17 94.44

8 88.89

15 100.00

3 75.00

8 100.00

19 90.48

15 100.00

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33 45.83

40 55.56

37 51.39

40 55.56

43 59.72

53 73.61

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dels; Sage UUS Klaus (2David (199

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E., MURPHOptimize I

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al Sciences Jou

REB. (200

/free/taaz/.nd NELSON

University Pa2000). Mult98). Discre

Working papnd DAHLQUce; Wiley. so-Diaz and

with Stock PCenter. , LO Andr

cial markets97). Quantnalytical tecPeter F. anfor Financia

nd MEYERSw Jones-Irw(1991). Lognd JONAS,

and LEE Chg and Forec

1997). Regrsity Resear

FARRELL JGraw Hill.nd HIMME

Working Paptian (2000)Press. LINN J.F. , Sep. (2000). Ec

www.imkb.gLloyd (1997HY Jr. (199

nvestment Okka, TEPPancial Rati

6(6). ON GL. anlyst Journal,

ournal

EFERENC01). Tech

N Forrest Dapers No: 0tivariate Anete-time moper series / 6UIST Julie

d FERNANPerformanc

rew W. ands; Princeton titative invechniques; Gnd FRANCal Risk Man

S Thomas Awin. gistics syste, Caroline

heng F. (19casting Fina

gression Morch MethodJames L. an

ELBERG Chper No. W66). Econome

(1988). Im

conometric gov.tr/endek

7). Discrete 94). StockOutcomes, O Martikai

ios: Implica

nd SMITH, Feb.

CES hnical An

D. (1985). 07-045. nalysemethoodels of bon6736. R. (1999).

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