AVRUPA BORSA ENDEKSLERİNİN RİSK, GETİRİ VE VARYASYON KATSAYISINA GÖRE KÜMELEME ANALİZİYLE İNCELENMESİ
ANALYSIS OF EUROPEAN STOCK INDEXES VIA CLUSTERING METHOD ACCORDING TO RISK, RETURN AND COEFFICIENT OF VARIATION

Summary/Abstract: Capital markets are classified according to their level of development, developed markets, emerging markets and border markets. Each market shows unique characteristics in terms of factors such as risk, return, efficiency, and liquidity. However, in some periods, countries may show distinctive characteristics from the general characteristics of the market they are members of. The aim of the study is to determine the clusters that European countries would form according to the variables of average return, risk and coefficient of variation for the period between 2009-2020. Countries are divided into three clusters with non-hierarchical cluster analysis method. In the non-hierarchical cluster analysis, the K-means algorithm, which is widely used, was chosen, and center point was assigned to each cluster. Center point assignments were determined according to MSCI World Index to reflect developed markets, MSCI Emerging Market Index to reflect emerging markets and MSCI Frontier Market Index to reflect border markets. According to the results of this research, while twelve of the twenty-eight countries are placed in the clusters that are centered on the markets they are already in, the other sixteen countries are placed in different clusters.

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