Bankacılık ve Finans Bölümü

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Do Derivative Instruments Play a Role in Performance Theory? The Turkish Closed-End Funds Case
(2016) Pirgaip, Burak; 252136; Bankacılık ve Finans
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 - WoS: 2
Citation - Scopus: 3
Loan-to-Value Policy: Evidence From Turkish Dual Banking System
(Emerald Group Publishing Ltd, 2018) Pirgaip, Burak; Pirgaip, Burak; Hepsen, Ali; 252136; Bankacılık ve Finans
Purpose-This paper aims to answer how effective the loan-to-value (LTV) regulation has been since 2011 for conventional and Islamic (participation) banks in Turkey in terms of curbing mortgage loan growth and delinquency[1]. Design/methodology/approach-The authors first use unit root tests and tests of difference in loan and property price data in pre-LTV and post-LTV period. Second, the authors follow Chow test and ordinary least squares regression analyses to test for a structural break when sensitivity of mortgage loan and delinquency growth changes to property price changes considered. Findings-The authors find that two periods are statistically different, while the significance level is lower for Islamic banks. Moreover, loan growth has become less responsive to property price increases; delinquency sensitivity to property price changes has significantly increased in the post-LTV period for conventional banks, while this is not the case for Islamic (participation) banks. Originality/value-This paper not only increases empirical evidence regarding the effectiveness of LTV ratio policy but also fills the gap in the literature by providing a comparison between conventional banks and Islamic (participation) banks.
Citation - WoS: 2
Citation - Scopus: 2
Market reaction to grouping equities in stock markets: An empirical analysis on Borsa Istanbul
(Elsevier, 2017) Yildiz, Yilmaz; Pirgaip, Burak; Karan, Mehmet Baha; Pirgaip, Burak; 252136; Bankacılık ve Finans
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. Copyright (c) 2017, Borsa Istanbul Anonim Sirketi. Production and hosting by Elsevier B.V. This is an open access article under the CC BY-NCND license
Citation - WoS: 0
The causal relationship between stock markets and policy uncertainty in OECD countries
(Bc Grup inc, 2017) Pirgaip, Burak; Pirgaip, Burak; 252136; Bankacılık ve Finans
In this study, we examine the causal relationship between economic policy uncertainty (EPU) and stock market prices in OECD countries. We provide strong evidence that stock markets mostly Granger cause EPU. Such causality may also exist in the opposite direction for a few cases and we find no causality in some countries as well. Our results do not provide any support for bidirectional causality.

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