I found a paper (Tecke & Yilmaz, 2015 - Are individual stock investors overconfident? Evidence from an emerging market) that uses data that comes from the Central Registry Agency (MKK).
Possibly if anyone knows whom or which department to contact (at MKK?) it would already help a lot.
Dear Konstantin,
As far as I know the Turkish Exchange try to encourage research and the exchange shares data with a couple of people. You could try to contact the exchange on your own explaining your research agenda or contact or maybe you can contact Yildirim, Yildiray, Michael Falcone Chair in Real Estate, Professor of Finance
at University of Syracuse. He has individual data, he may be interested working together or could you advise on data.
ou might be interested in the recent study about Investment in
Turkey
https://www.kpmg.com/TR/en/IssuesAndInsights/ArticlesPublications/Documents/investment-in-turkey-2015.pdf
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