Markov chain analysis for BIST sustainability index

This study aims to analyze the stock prices of companies listed in the Borsa Istanbul (BIST) Sustainability Index using Markov chain analysis. Sustainability holds a significant place in today's financial markets, and this index evaluates the environmental, social, and governance performance of companies. In this research, the daily closing prices of the stocks in the BIST Sustainability25 Index were analyzed using Markov chains. This analysis calculated the probabilities of future price movements of the stocks, providing insights for long term investment strategies. In the study, stock price movements were modeled through three different states (price increase, stability, and price decrease). Transition probability matrices were used to predict the future states of the stocks. The results obtained provide important findings for evaluating the long-term performance of the companies in the BIST Sustainability Index and developing sustainable investment strategies. This study aims to contribute to the literature on sustainability indices and financial analysis.