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Bankacılık ve Finans Bölümü

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Citation Count: Acar, Elif Öznur (2017). "An Outline of Skilled Emigration from Turkey to OECD Countries: A Panel Data Analysis", Uluslararası Ekonomi ve Yenilik Dergisi, Vol. 3, No. 1, pp. 1-16.
An Outline of Skilled Emigration from Turkey to OECD Countries: A Panel Data Analysis
(2017) Acar, Elif Öznur; 48566
Turkey provides rich evidence for the current international migration trends given its economic and demographic dynamics. The number of people moving overseas to settle permanently has been following an increasing trend in the recent decades, particularly remarkable for skilled and female groups. However, given the micro-level data limitations the migration outlook of Turkey is still quite bleak. The aim of this paper is to fill this gap and analyze the relationship between migration and human capital in the context of Turkish immigrants. First, aggregate trends of the Turkish emigrants in the 20 OECD destination countries by gender and educational level over the 1980-2010 period are examined using the IAB Brain Drain dataset. Next, a random effects panel estimation is applied to scrutinize the underlying dynamics of observed migration patterns adopting economic size, unemployment, demographic profile, urbanization and proximity as explanatory variables. The results reveal that gender, time and education are found as significantly related to international mobility trends, and the substantially left-skewedness of the distribution of Turkish emigrants along educational level is gradually fading away over time.
Citation Count: Acar, Elif Öznur. (2017). "An Outline of Skilled Emigration from Turkey to OECD Countries: A Panel Data Analysis", International Journal of Economics and Innovation, Vol.3, No.1, pp.1-16.
An Outline of Skilled Emigration from Turkey to OECD Countries: A Panel Data Analysis
(2017) Acar, Elif Öznur; 48566
Turkey provides rich evidence for the current international migration trends given its economic and demographic dynamics. The number of people moving overseas to settle permanently has been following an increasing trend in the recent decades, particularly remarkable for skilled and female groups. However, given the micro-level data limitations the migration outlook of Turkey is still quite bleak. The aim of this paper is to fill this gap and analyze the relationship between migration and human capital in the context of Turkish immigrants. First, aggregate trends of the Turkish emigrants in the 20 OECD destination countries by gender and educational level over the 1980-2010 period are examined using the IAB Brain Drain dataset. Next, a random effects panel estimation is applied to scrutinize the underlying dynamics of observed migration patterns adopting economic size, unemployment, demographic profile, urbanization and proximity as explanatory variables. The results reveal that gender, time and education are found as significantly related to international mobility trends, and the substantially left-skewedness of the distribution of Turkish emigrants along educational level is gradually fading away over time.
Citation Count: Özsuca Erenoğlu, E.A.; Acar, E.Ö. (2020). "Can US Wage Increases be Regarded as a Leading Indicator for Bond Rates?", World Journal of Applied Economics, Vol.6, No.2, pp.169-176.
Can US Wage Increases be Regarded as a Leading Indicator for Bond Rates?
(2020) Özsuca Erenoğlu, Ekin Ayşe; Acar, Elif Öznur; 237965; 48566
After the subprime meltdown, the Federal Reserve focused its attention on US non-farm payroll data in order to pave the way for its fund rate hikes. As time went by,the Federal Reserve deemed particularly one sub-component of this data, namely theincrements on average weekly wage growth as a proxy for inflation and thus a plausibleexplanation for raising the interest rates. In that aspect, we decide to elaborate on thisissue further and examine whether this implemented strategy indeed had a reflection inthe real market. For doing so, we intend to determine whether there is any causalityrelation in either direction between US average weekly wage increases and 10-yearTreasury Bond rates. We utilize the Toda-Yamamoto causality approach and comeup with a statistically significant result between wages and bond rates. For robustness,we also consider the unemployment rate and consumption expenditures as independentvariables.
Citation Count: Acar, Elif Öznur; Tansel, Aysıt. (2015). "Defining and Measuring Informality: The Case of Turkish Labor Market", Sosyoekonomi, Vol.24, No.28, pp.147-174.
Defining and Measuring Informality: The Case of Turkish Labor Market1
(2015) Acar, Elif Öznur; Tansel, Aysıt; 48566
In this study, we consider how informality can be defined and measured in the Turkish labor market. The empirical analysis consists of developing three alternative definitions of labor informality, and exploring the relevance and implications of each for the Turkish labor market using descriptive statistics and multivariate probit analysis of the likelihood of informality under each definition. We find that social security registration criterion is a better measure of informality in the Turkish labor market given its ability to capture key relationships between several individual and employment characteristics and the likelihood of informality.
Citation Count: İlalan, Deniz. (2017). "Determination of the Best Simple Moving Average By Stochastic Processes", Finansal Araştırmalar ve Çalışmalar Dergisi, Vol.9, No.16, pp.59-67.
Determination of the Best Simple Moving Average By Stochastic Processes
(2017) İlalan, Deniz
In this study, we consider one of the most popular technical indicators and try to determine the best fitting simple moving average to a given data. Here we utilize from a general mean reverting stochastic process where the mean is time dependent. We propose an identification algorithm which mainly concentrates on the normality of the residual terms after the data is demeaned from simple moving average and also provide evidence that our algorithm works quite well for determination of the “best” simple moving average.
Citation Count: Pirgaip, Burak. (2016). "Do Derivative Instruments Play a Role in Performance Theory? The Turkish Closed-End Funds Case", Applied Economics and Finance, vol.3, No.2, pp.136-145.
Do Derivative Instruments Play a Role in Performance Theory? The Turkish Closed-End Funds Case
(2016) Pirgaip, Burak; 252136
Market prices of closed-end funds (CEF) deviate from their net asset values (NAV) which is known as “CEF puzzle”. I attempt to show from the Turkish experience that CEF discounts/premia predict the corresponding CEF‟s future returns, in the light of managerial performance theory. But derivatives facet of the subject matter has not been uncovered so far. Therefore I hypothesize that performance of derivative user CEF are better estimators for discounts/premia than non-users. I show a significant positive relation between CEF discounts/premia and future NAV performance. However, this relation seems not to be more explicit for derivative user CEF than non-users
Citation Count: İlalan, D. (2018). "Doğrusal Olmayan Birim Kök Testi İle Bıst 100 Endeksi Üzerine Ampirik Bir Çalışma", Uluslararası Yönetim İktisat ve İşletme Dergisi, Vol.14, No.3, pp.659-666.
Doğrusal Olmayan Birim Kök Testi İle Bıst 100 Endeksi Üzerine Ampirik Bir Çalışma
(2018) İlalan, Deniz
Bu çalışmada Borsa İstanbul 100 endeksinin etkinliği sınanmaktadır. En sık kullanılandoğrusal ve yapısal kırılmalı birim kök testleri elimizdeki zaman serisinin durağan olmadığınıyani başka bir deyişle birim kökün varlığını desteklerken Kapatenios, Snell ve Shin’in geliştirmişolduğu doğrusal olmayan birim kök testi ise bunun aksini iddia etmektedir. Bu bağlamdabelirli dönemlerde doğrusal olmayan bir yapının varlığı söz konusudur. Bu bulgu araştırmacıaçısından veride gereksiz yere fark alınmasının önüne geçeceği gibi yatırımcı açısından daendeksin hareketini analiz etmede faydalı olacaktır
Citation Count: Akdoğan, Ece Ceylan. (2018). "How globalization affects the operational efficiency of emerging market firms?: A comparative analysis on Turkish SMEs", Economics and Business Letters, Vol.7, No.1, pp.9-17.
How globalization affects the operational efficiency of emerging market firms?: A comparative analysis on Turkish SMEs
(2018) Akdoğan, Ece Ceylan; 17735
This paper examines the impact of globalization on the operational efficiency of emerging market firms by concentrating on the financial outcomes of a firm’s main operations through focusing on operating income and cash conversion cycle as well as on their possible causes in an emerging market, Turkey. The findings indicate that globalization significantly deteriorates the operating income and lengthens the cash conversion cycle of Turkish firms. Besides, globalization is found to increase sales of SMEs and decrease sales of large companies significantly and the impact on operating income of large companies is observed to be stronger. Globalization is also found to lead a softening in Turkish firm’s terms of sales and enable Turkish SMEs to benefit from better terms of purchase.
Citation Count: Acar, Elif Öznur. (2016). "Kadınların İşgücüne Katılım Oranının Belirleyicileri: Türkiye Örneği", Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, Vol.30, No.4, pp.907-919.
Kadınların İşgücüne Katılım Oranının Belirleyicileri: Türkiye Örneği
(2016) Acar, Elif Öznur; 48566
Türkiye’de kadınların işgücüne katılım oranı yüzde otuzun altındadır ve bu oranla Türkiye, dünya sıralamasında en geri sıralarda yer almaktadır. Bu çalışma, 2014 Dünya Kalkınma Göstergeleri verilerini kullanarak, Türkiye’de kadınların işgücüne katılım oranını etkileyen iktisadi, demografik, eğitim ve din ile ilgili unsurları çoklu regresyon modeli ile analiz etmeyi amaçlamaktadır. Çalışmanın temel bulgusu, Türkiye’deki gözlemlenen kadın işgücüne katılım oranının ülkenin karakteristik özellikleri kontrol edildiğinde tahmin edilen değerin üstünde olduğudur. Din unsurunun kadınların ekonomik hayata katılımındaki etkisinin, benzer Müslüman çoğunluklu ülkelere kıyasla Türkiye’de daha düşük olduğu sonucu ortaya çıkmaktadır.
Citation Count: Acar, Elif Öznur. "Küresel Ekonomik Krizin Türkiye İşgücü Piyasasındaki Etkileri: Markov Geçiş Analizi", İşletme ve Ekonomi Araştırmaları Dergisi, Vol.7, No.4, pp.51-66.
Küresel Ekonomik Krizin Türkiye İşgücü Piyasasındaki Etkileri: Markov Geçiş Analizi
(2016) Acar, Elif Öznur; 48566
Bu çalışmada, küresel ekonomik krizin Türkiye işgücü piyasası dinamikleri üzerindeki etkileri 2006-2009 Gelir ve Yaşam Koşulları Anketi (GYKA) mikro panel veri seti ve Markov geçiş süreçleri kullanılarak incelenmektedir. Bu amaçla, ücretli/yevmiyeli çalışma, kendi hesabına çalışma, işsiz ve işgücü dışında olma olarak belirlenen dört farklı istihdam durumu arasındaki yıllık bireysel geçişlerin Markov olasılık istatistikleri kriz öncesi ve kriz dönemi karşılaştırılarak incelenmektedir. Daha sonra, krizin farklı işgücü piyasası gruplarını hangi boyutta ve nitelikte etkilediğini incelemek için ise aynı analiz farklı cinsiyet, eğitim ve yaş grupları için ayrı ayrı gerçekleştirilmektedir. Sonuçlar, küresel krizin Türkiye işgücü piyasalarını özellikle ücretli çalışma ve işsizlik kanalları üzerinden olumsuz bir şekilde etkilediğini göstermektedir. Kriz ile birlikte ücretli çalışanların işsiz statüsüne geçiş ve işsizlik durumundan çıkamama olasılıkları toplam ve tüm kesitlerde yükselmiştir. İşgücü dışında olma durumundan ücretli ya da kendi hesabına çalışan durumununa geçiş olasılıklarının düşmüş, ve buna karşılık işsiz durumuna geçiş olasılığı artmıştır. Krizde, işgücü hareketliliği boyut ve nitelikleri açısından en çok zarar görenler kadınlar, düşük vasıflılar ve gençler olmuştur
Citation Count: Akdoğan, Ece C.; Dinc, Dilek Temiz, "Managing working capital efficiency in Turkish agribusinesses and the impact of globalization: insights from an emerging market", International Food and Agribusiness Management Review, Vol. 22, No. 4, pp. 557-569, (2019).
Managing working capital efficiency in Turkish agribusinesses and the impact of globalization: insights from an emerging market
(Wageningen Academic Publishers, 2019) Akdoğan, Ece Ceylan; Temiz Dinç, Dilek; 52039
The efficiency of working capital is a major determinant of firm profitability. So, the grasp of working capital dynamics is extremely important for managers, but also for policy makers, since inefficient working capital management is an important source of industrial sickness. This study focuses on the profitability impacts of working capital policies of Turkish agribusinesses, and aims to investigate the potential effects of globalization on these interrelated relationships. The findings obtained from pooled panel analyses demonstrate that Turkish agribusinesses can enhance their profitability and value by adopting a conservative working capital policy through lengthening the cash conversion cycle up to an optimal level. Besides, globalization is found to deteriorate their efficiency and profitability where economic globalization seems to have the highest impact raising questions on the effectiveness of Turkish agribusinesses in coping with competition. Thus, both the managers and the policy makers should concern with the competitiveness impacts of globalization.
Citation Count: Yıldız, Yılmaz; Karan, Mehmet Baran; Pirgaip, Burak (2017). Market reaction to grouping equities in stock markets: An empirical analysis on Borsa Istanbul. Borsa İstanbul Review, 17(4), 216-227.
Market reaction to grouping equities in stock markets: An empirical analysis on Borsa Istanbul
(Elsevier, 2017) Pirgaip, Burak; Yıldız, Yılmaz; Karan, Mehmet Baha; 252136
The main aim of this study is to investigate the market reaction to stock grouping announcements in Borsa Istanbul which requires stocks to be classified into groups "A ", "B" and "C" according to their market capitalization and floating rates. By utilizing event study analysis, our results suggest that grouping announcements have significant effect on stock prices and trading volume. The event day positive (negative) relationship between abnormal return and volume for the upgraded (downgraded) stocks supports the downward sloping demand curve hypothesis. Moreover, findings also suggest that stocks which are upgraded to Group A are exposed to more attention which is in line with the attention hypothesis. The reverse is valid for the downgraded firms. We find no evidence of price reversals and long-term symmetrical liquidity effect which lead us to reject price pressure and liquidity hypotheses. Finally, we reach controversial evidence for the information hypothesis
Citation Count: İlalan, Deniz; Özel, Özgür (2018). Non-linear unit root testing with arctangent trend: Simulation and applications in finance, Cogent Mathematics, 5(1).
Non-linear unit root testing with arctangent trend: Simulation and applications in finance
(Taylor&Francis AS, 2018) İlalan, Deniz; Özel, Özgür; 234617
We consider arctangent as the logistic function and compute the asymptotic critical values of the related non-linear unit root test via Monte Carlo simulation. While doing so, we got inspiration from some pioneering articles and use first-order Taylor approximation. We observe that this newly proposed test exhibits higher power than some well-known linear and non-linear tests. We apply our test to some stock indexes and find out that a non-linear arctangent trend can be at stage, rather than a linear unit root process.
Citation Count: İlalan, Deniz, "Nonlinearity of Turkish Credit Default Swap Spreads", Journal of Yasar University, Vol. 13, No. 49, pp. 79-85, (2018).
Nonlinearity of Turkish Credit Default Swap Spreads
(2018) İlalan, Deniz
In this paper we analyze the stationarity of Turkish credit default swap (CDS) spreads between 10:2000-08:2017 which is an importantindicator for researchers and practitioners. For our data, although the most widely used linear unit root test namely augmented Dickey Fuller (ADF)test fails to reject the presence unit root, non-linear tests of Kapatenios, Snell and Shin (KSS) and Sollis claim stationarity with a smooth transition.Moreover, we detect asymmetry for the encountered smooth transition. Thus we encourage researchers to apply KSS and Sollis test along with ADFtest in order to understand the driving processes better which will strengthen the predictability and modeling issues of CDS spreads.
Citation Count: Akdoğan, Ece C.; Özşuca, Ekin Ayşe, "Profitability effects of financial globalization in an emerging market banking industry: insights into Turkey", Zbornik Radova Ekonomskog Fakulteta U Rijeci-Proceedings of Rijeka Faculty of Economics, Vol. 37, No. 1, pp. 303-325, (2019).
Profitability effects of financial globalization in an emerging market banking industry: insights into Turkey
(Univ Rijeka Fac Economics, 2019) Akdoğan, Ece Ceylan; Özşuca, Ekin Ayşe; 237965
The massive ,financial liberalization followed by accelerating financial globalization leaded to significant structural changes in the financial sector: Since financial institutions play a dominant role in functioning of financial sector, especially in emerging markets where banking industries are generally among the most sensitive sectors to increased interconnectedness of financial markets, haw financial globalization actually affects the efficiency of financial intermediation is a vital question. However; although there exists plenty of research focusing on financial integration, impacts of financial globalization is untouched. Hence, this study investigates the bank profitability effects of financial globalization through focusing on an emerging market, Turkey and searches for any potential differences that may prevail among banks with different ownership structures. The findings indicate that while the market based profitability measures improve with financial globalization, the accounting based measures deteriorate pinpointing to an over optimism in the market which in turn brings in mispricing problems. Besides, ownership structure is found to affect the market based measures where banks with domestic and private ownerships are found to benefit more. However; since no significant distinction could be detected among any of the ownership compositions for accounting based profitability measures, such misappraisals seem to foster the optimism in the market.
Citation Count: Omay, T.; Uçar, N. (2023). "Testing for Unit Roots in Nonlinear Dynamic Heterogeneous Panels with Logistic Smooth Breaks", Symmetry, Vol.15. No.3.
Testing for Unit Roots in Nonlinear Dynamic Heterogeneous Panels with Logistic Smooth Breaks
(2023) Omay, Tolga; Uçar, Nuri; 189073
In this study, we investigate the validity of the purchasing power parity (PPP) proposition for 34 European and selected global countries. For this purpose, we propose a new unit root test for cross-sectionally dependent heterogeneous panels that allows for gradual structural breaks and symmetric nonlinear adjustment toward the equilibrium level. The alternative hypothesis stationary is obtained by symmetric adjustment due to exponential smooth transition autoregression (ESTAR) around a nonlinear trend. Moreover, we provide small sample properties extensively for the newly proposed test. Hence, this alternative hypothesis has been proven to characterize real exchange rate data (REER) correctly. Thus, the newly proposed tests provide an essential basis for modeling the REER series correctly. Finally, we also derive the approximate asymptotic distribution of the proposed tests using new techniques.
Citation Count: Acar, Elif Ö. (2017). "The Effects Of Education-Job Mismatch On Wages: A Panel Analysis Of The Turkish Labor Market", Uluslararası İktisadi ve İdari İncelemeler Dergisi, Vol.1, No.18, pp.339-354.
The Effects Of Education-Job Mismatch On Wages: A Panel Analysis Of The Turkish Labor Market
(2017) Acar, Elif Öznur; 48566
Eğitim-iş uyuşmazlığı literatürü, eğitim-iş uyuşmazlıklarının, özellikle de aşırı eğitim durumunun, ücretler üzerinde olumsuz etkisi olduğunu tutarlı bir şekilde ortaya koymaktadır. Ancak bu alanda yapılan çoğu ampirik çalışma bireyler arasındaki gözlemlenemeyen farklılıkları ve ölçümleme hatalarını hesaba katmamakla eleştirilmektedir. Bu çalışmada, Türkiye işgücü piyasasında eğitim-iş uyuşmazlığının ücretler üzerindeki etkisi 2006-2010 Gelir ve Yaşam Koşulları Anketi Panel veri seti kullanılarak incelenmektedir. Panel veri sabit ve rassal etki modeli ve araç değişken metodu kullanılarak, söz konusu iki potensiyel tahmin hatasının etkisi kontrol edilmektedir. Elde edilen tutarlı tahmin sonuçları, aşırı ya da yetersiz eğitimin ücretler üzerinde istatistiksel olarak anlamlı bir etkisinin olmadığını göstermektedir. Bu bulgu teorik olarak değerlendirildiğinde, Türkiye işgücü piyasasında bireysel insan sermayesi ile işe ait özelliklerin salt tek başlarına değil, birlikte etki yaptığına işaret etmektedir. Bu çerçevede, aşırı eğitimin kaynakların etkin kullanımını önünde bir engel teşkil ettiği yönünde bir politika önermesi yapılabilir
Citation Count: Tanyeri, Başak; Savaser, Tanseli; Usul, Naime (2022). "The Stock and CDS Market Consequences of Political Uncertainty: The Arab Spring", Emerging Markets Finance and Trade, Vol. 58, No. 7, pp. 1821-1837.
The Stock and CDS Market Consequences of Political Uncertainty: The Arab Spring
(2022) Tanyeri, Başak; Savaser, Tanseli; Usul, Naime; 298519
We investigate how political unrest affects asset prices in the context of the Arab Spring. Abnormal returns in the major stock-market indices of Arab Spring countries average −1.1% on key days of Arab Spring and abnormal changes in credit default spreads average 1.4%. There is significant reaction to region wide as well as local protests indicating a spillover with protests in neighboring countries affecting investors’ perception of local political instability and the pricing of assets. Once protests start locally, investors start paying more attention to what is happening at home than in the region. The significant stock market reaction to region-wide protests in Arab Spring countries indicates a spill-over where investors price an increase in the probability of political turmoil in one country when there are protests in neighboring countries. The decline in stock market indices coupled with the increase in credit default spreads indicates that investors anticipate and ex-ante price how current political uncertainty will affect firm value.
Citation Count: Acar, Elif Öznur; Tansel, Aysıt (2016). "Türkiye İşgücü Piyasasında Kayıtdışılığın Tanımı ve Ölçümü", Sosyoekonomi, Vol.24, No.28, pp.147-174.
Türkiye İşgücü Piyasasında Kayıtdışılığın Tanımı ve Ölçümü
(2016) Acar, Elif Öznur; Tansel, Aysıt; 48566
Bu çalışmada kayıtdışılığın Türkiye istihdam piyasasında tanımlanması ve ölçülmesi konusu incelenmektedir. Çalışmanın ampirik bölümünde, kayıtdışı istihdam için dünya literatürüne paralel olarak üç farklı tanım geliştirilmektedir. Bunlardan ilki, kayıtdışılığı küçük ölçekli işyerlerine özgü bir kavram olarak ele alınan işletme temelli tanımdir. İkincisi, işletme temelli tanıma sosyal güvenlik sistemi kapsamında bulunma kriteri getirilerek oluşturulan tanımdır. Üçüncüsü ise, işletme ölçeklerinden bağımsız, sadece sosyal güvenlik sistemi kapsamında bulunma durumuna göre tarif edilen kayıtdışılıktır. Betimsel analizler ve probit modelleme tekniği kullanılarak yaptığımız analizler, bireylerin karakteristik özellikleriyle kayıtdışılık durumlarını ilişkilendirme gücü en yüksek olan tanımın, sosyal güvenlik tanımı olduğunu göstermiştir.
Citation Count: Acar, Elif Öznur. (2016). "Türkiye'de Yapısal Dönüşüm ve İşgücü Piyasaları Üzerine Bir İnceleme", Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, No.25, pp.53-72.
Türkiye'de Yapısal Dönüşüm ve İşgücü Piyasaları Üzerine Bir İnceleme
(2016) Acar, Elif Öznur; 48566
Bu çalışmada Türkiye ekonomisinin son otuz yılda içinden geçtiği yapısal dönüşüm ve bunun işgücü piyasalarındaki izdüşümleri değerlendirilmektedir. Bu bağlamda, yapısal dönüşümün ana çerçevesini belirleyen 1980’lerden bu yana yaşanan makroekonomik gelişmeler özetlenerek, işgücü piyasalarını ne boyutta ve şekilde etkilediği temel işgücü piyasası parametreleri üzerinden betimleyici zaman serisi istatistikleri ve uluslararası karşılaştırmalar kullanılarak tartışılmaktadır. Son bölümde ise, düşük işgücüne katılım, yüksek işsizlik ve kayıtdışılık oranları ile tanımlanan işgücü piyasasının, ülkenin sahip olduğu demografik fırsat penceresinden yararlanabilmesini sağlayacak politika önermeleri yapılmaktadır.