Abstract:

In this study, the returns of the companies traded in the US Stock Markets and exposed to insider trading were estimated after 3, 9, 15, 21 and 27 months of the date of insider trading by using 10121 transaction data for the period 01.01.2020 - 26.02.2022. The results were estimated with KNN (K Nearest Neighbor Algorithm), one of the supervised data mining methods. As a result of the analysis, 224 of 257 samples exposed to trade in the period of 01.01.2022 - 26.03.2022 were estimated in the correct return range and the 3-months stock return estimation success was found to be 87.16%. In the period of 01.07.2021 to 31.12.2021, 1936 of 2358 samples exposed to trading were estimated in the right return range, and the 9-month stock return estimation success was determined to be 82.10%. 2495 of 2919 samples exposed to trade in the period of 01.01.2021 - 30.06.2021 were estimated in the correct return range and the 15-months stock return estimation success was found to be 85.47%. In the period of 01.07.2020 to 31.12.2020, 1980 of 2267 samples exposed to trading were estimated in the correct return range, and the 21-months stock return estimation success was determined to be 87.34%. Lastly, 2016 of 2320 samples exposed to trade in the period of 01.01.2020 - 30.06.2020 was estimated in the correct return range and the 27-months return estimation success was found to be 86.90%.

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