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A fuzzy-hybrid analytic model to assess investors' perceptions for industry selection

Published on Jun 1, 2016
· DOI :10.1016/j.dss.2016.03.005
Hasan Dinçer9
Estimated H-index: 9
Ümit Hacıoğlu8
Estimated H-index: 8
+ 1 AuthorsDursun Delen32
Estimated H-index: 32
(Oklahoma State University–Tulsa)
The 2008-2009 global financial crisis and its subsequent ramifications on capital markets have led to an increasing attention on the importance of cognitive and behavioral issues in finance. The purpose of this study is to determine the ranking of the industry alternatives for portfolio investments based on individual investors' perceptions. Accordingly, a hybrid analytic multi-criteria decision model (MCDM)-based on the Fuzzy Analytic Hierarchy Process (FAHP) and the Fuzzy Technique for the Order of Preference by Similarity to Ideal Solution (FTOPSIS) methods along with sensitivity analysis-is developed to identify and rank-order the best performing industry options. The proposed model is applied to Borsa Istanbul Stock Exchange 100 Index (BIST 100) in Turkey. The results indicate that (i) the investors' perceptions on market conditions and global financial situation influence their industry selection on company stocks; (ii) the investors' perceptions on portfolio investments rely heavily on performance and risk levels of individual asset/stocks, and (iii) traded stocks of financial industry (along with its sub-industries) have greater performance expectations than those of the ones in other industries such as technology, services and tourism. Economic instability is increasing the importance of cognitive/behavioral issues in finance.Investors' perception influences industry selection decision for investments.Investors' perception on portfolio investments relies heavily on performance and risk of individual asset.Use of a fuzzy-hybrid methodology improves the financial decision outcomes.Fuzzy logic, AHP and TOPSIS are collectively and synergistically used in this study.
  • References (103)
  • Citations (16)
Published on Feb 1, 2016in Global Finance Journal
Bradley T. Ewing27
Estimated H-index: 27
(TTU: Texas Tech University),
Farooq Malik15
Estimated H-index: 15
(ZU: Zayed University)
This paper employs univariate and bivariate GARCH models to examine the volatility of oil prices and US stock market prices incorporating structural breaks using daily data from July 1, 1996 to June 30, 2013. We endogenously detect structural breaks using an iterated algorithm and incorporate this information in GARCH models to correctly estimate the volatility dynamics. We find no volatility spillover between oil prices and US stock market when structural breaks in variance are ignored in the m...
Christoph Riedel3
Estimated H-index: 3
(University of Passau),
Niklas Wagner13
Estimated H-index: 13
(University of Passau)
We study the magnitude of tail risk – particularly lower tail downside risk – that is present in intraday versus overnight market returns and thereby examine the nature of the respective market risk borne by market participants. Using the Generalized Pareto Distribution for the return innovations, we use a GARCH model for the conditional market return components of major stock markets covering the U.S., France, Germany and Japan. Testing for fat-tails and tail index equality, we find that overni...
Published on Sep 1, 2015in Journal of Banking and Finance 2.21
Oliviero Roggi3
Estimated H-index: 3
(NYU: New York University),
Alessandro Giannozzi2
Estimated H-index: 2
(Link Campus University)
This paper aims to investigate the impact of company liquidity risk on the stock prices of financial and non-financial companies by analyzing investors’ reactions to 106 crisis events over the period from 2008 to 2010. Companies’ liquidity risk shows up in the three levels of fair value information (level 1-mark to market, level 2-market observable input and level 3-mark to model) disclosed in their balance sheets, with level 3 illiquid assets representing a greater liquidity risk and resulting ...
Published on Jul 1, 2015in Journal of World Business 5.79
Sangcheol Song10
Estimated H-index: 10
(""St. Joe's"": Saint Joseph's University),
Seung Hyun Lee21
Estimated H-index: 21
(UTD: University of Texas at Dallas),
Mona Makhija10
Estimated H-index: 10
(Max M. Fisher College of Business)
This study examines the environmental conditions under which multinational corporations (MNCs) engage in operational hedging behaviors to actualize their operational flexibility within their international network. We analyzed a Korean MNCs' database and found that MNCs engage in operational hedging through global intra-firm trade to counteract volatile and divergent exchange rates across countries. Additionally, we found that the MNCs' utilization of intra-firm trade and flexible responses to vo...
Published on Apr 1, 2015in International Journal of Forecasting 3.39
John B. Guerard5
Estimated H-index: 5
M MarkowitzHarry19
Estimated H-index: 19
Ganlin Xu11
Estimated H-index: 11
Stock selection models often use analysts’ expectations, momentum, and fundamental data. We find support for composite modeling using these sources of data for global stocks during the period 1997–2011. We also find evidence to support the use of SunGard APT and Axioma multi-factor models for portfolio construction and risk control. Three levels of testing for stock selection and portfolio construction models are developed and estimated. We create portfolios for January 1997–December 2011. We re...
Published on Dec 1, 2014in Economic Modelling 2.06
Ksenija Mandic4
Estimated H-index: 4
(University of Belgrade),
Boris Delibasic9
Estimated H-index: 9
(University of Belgrade)
+ 1 AuthorsSladjana Benkovic4
Estimated H-index: 4
(University of Belgrade)
Banks represent entities of the financial market and the overall system for financing of the economy, i.e. they are directly or indirectly becoming the drivers and control mechanism of the financial system without which the process of reproduction would be practically impossible. Banks, as specific financial institutions, hold a central place within the financial system due to the functions they perform, as well as the relative volume of financial potential that resides within their accounts. Ev...
Published on Nov 1, 2014in Journal of Economic Behavior and Organization 1.40
Arvid O. I. Hoffmann12
Estimated H-index: 12
(UM: Maastricht University),
Hersh Shefrin21
Estimated H-index: 21
(Santa Clara University)
We find that individual investors who use technical analysis and trade options frequently make poor portfolio decisions, resulting in dramatically lower returns than other investors. The data on which this claim is based consists of transaction records and matched survey responses of a sample of Dutch discount brokerage clients for the period 2000-2006. Overall, our results indicate that individual investors who report using technical analysis are disproportionately prone to have speculation on ...
Published on Oct 1, 2014
Huseyin Selcuk Kilic9
Estimated H-index: 9
(Marmara University),
Selim Zaim6
Estimated H-index: 6
(ITU: Istanbul Technical University),
Dursun Delen32
Estimated H-index: 32
(Oklahoma State University–Tulsa)
Enterprise resource planning (ERP) systems that aim to integrate, synchronize and centralize organizational data are generally regarded as a vital tool for companies to be successful in the rapidly changing global marketplace. Due to its high acquisition-purchasing, installation and implementation-cost and the wide range of offerings, the selection of ERP systems is a strategically important and difficult decision. Since there is a wide range of tangible and intangible criteria to be considered,...
Published on Jun 1, 2014in Journal of Behavioral and Experimental Finance 1.14
David Nawrocki11
Estimated H-index: 11
(Villanova University),
Fred Viole3
Estimated H-index: 3
We present an overview of behavioral finance’s consistent role in portfolio theory and market theory through utility theory. Since Bernoulli, the subjective nature of utility has been increasingly generalized for questionable purposes. Behavioral finance is reverting back to the original intents of utility theory. We also examine the statistical methods used to determine their suitability for the task at hand. Given the heterogeneous population at the market and individual security level, we sug...
Published on Jun 1, 2014in Economics Letters 0.88
Benedikt Rotermann1
Estimated H-index: 1
Bernd Wilfling12
Estimated H-index: 12
This paper analyzes stock-price volatility in the presence of periodically collapsing Evans bubbles. We derive a volatility formula that establishes a link between the bubble component and stock-price volatility. We demonstrate how to fit the volatility equation to stock-market data.
Cited By16
Hing Kai Chan38
Estimated H-index: 38
(UNNC: The University of Nottingham Ningbo China),
Xuting Sun (SHU: Shanghai University), Sai-Ho Chung (PolyU: Hong Kong Polytechnic University)
Abstract The analytic hierarchy process (AHP) has been widely applied in the last four decades, and a fuzzy logic version, the fuzzy AHP (FAHP), has also been employed in many studies since its formulation. However, it is not clear whether the FAHP is better than the AHP in terms of quality of the solution. First, the study demonstrates that the FAHP can provide a different solution than the AHP, regardless of which solution is better. However, it is also shown that such a difference does not pr...
Published on Jun 11, 2019in Journal of Intelligent and Fuzzy Systems 1.64
Amit K. Shukla5
Estimated H-index: 5
(South Asian University),
Pranab K. Muhuri9
Estimated H-index: 9
(South Asian University)
Published on Oct 2, 2018in Kybernetes 1.38
Hasan Dinçer9
Estimated H-index: 9
Purpose This paper aims to evaluate the market concentration and competition in the European Banking Sector using an integrated multi-criteria decision-making approach under the fuzzy environment. Design/methodology/approach The hybrid model combining fuzzy decision-making trial and evaluation laboratory (DEMATEL), fuzzy analytic network process (ANP) and fuzzy VIKOR methods is applied to measure the market competition and concentration in the European Banking Sector. For this purpose, two acade...
Published on May 1, 2019in Computers & Industrial Engineering 3.52
Hasan Dinçer2
Estimated H-index: 2
Serhat Yüksel9
Estimated H-index: 9
+ 0 AuthorsLuis Martínez40
Estimated H-index: 40
(University of Jaén)
Abstract The measurement of quality of services has an important influence in the companies’ competence, being even more relevant in the banking sector because of the high competition to keep and attract customers. Due to this fact, this paper proposes a balanced scorecard based SERVQUAL to rank competitors in the banking sector. The analysis will deal with hesitant fuzzy information that models the hesitancy of the experts involved. This analysis will be applied for weighting criteria and dimen...
Published on May 1, 2019in Resources Conservation and Recycling 7.04
Solomie A. Gebrezgabher5
Estimated H-index: 5
(IWMI: International Water Management Institute),
Avinandan Taron1
Estimated H-index: 1
(TISS: Tata Institute of Social Sciences),
Sena Amewu1
Estimated H-index: 1
(IWMI: International Water Management Institute)
Abstract This study applied a combined analytical hierarchy process (AHP) and goal programming (GP) model to assist decision makers in identifying and prioritizing key investment climate (IC) indicators for waste recycling and reuse enterprises in developing countries. Taking a sector based perspective, key IC criteria and indicators were identified and ranked through country stakeholder workshops in Ghana and Kenya. Three different key decision maker groups namely government agencies, private w...