Browsing by Author "Karadagli, E.C."

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Citation - Scopus: 2
A Nonlinear Analysis of Weak Form Efficiency of Stock Index Futures Markets in Cce Emerging Economies
(2012) Karadagli, E.C.; Donmez, M.G.; 17735
Futures markets, through carrying considerable impact on the spot market, serving such functions as price discovery and risk reduction for all market participants, and providing beneficial effects on the economic growth process especially in emerging countries, appear to be a vital part of a well-functioning economy. Accordingly, this paper examines weak form futures market efficiency of five CEE Emerging Economies. For this purpose, besides the traditional unit root tests, to account for nonlinearities in financial data, we employ nonlinear unit root tests along with their panel extensions. The results suggest that although the examined markets are efficient in linear sense, inefficiencies prevail when we account for nonlinearities. These findings imply that the examined countries, especially Poland and Turkey, need to take precautions to overcome the obstacles in their prevailing market structures, especially inherited in the sources of nonlinearity in the financial data, and to ensure a more efficient futures markets. © EuroJournals Publishing, Inc. 2012.
Citation - Scopus: 1
Economic exposure of emerging market firms
(National Academy of Management, 2015) Karadagli, E.C.; Akdoğan, Ece Ceylan; 17735; Bankacılık ve Finans
Although foreign exchange risk inherits more severe exposures for emerging market firms, past empirical research addressing foreign exchange exposure is mainly concentrated on firms operating in developed economies. This paper examines the impact of exchange rate fluctuations on firm value at an emerging market through focusing on economic exposure of Turkish listed firms. The findings indicate that depreciation of Turkish lira against the euro, the US dollar and the basket currency significantly deteriorates firm value in a current month while significantly enhances firm value during the next month. When the overall impact of Turkish lira depreciation on the value of Turkish companies is considered, it is observed that the weakening of the home currency has a positive effect on firm’s value. © Ece C. Karadagli, 2015.
Citation - Scopus: 3
Testing weak form market efficiency for emerging economies: a nonlinear approach
(2012) Karadagli, E.C.; Omay, N.C.
This paper examines weak form efficiency in eight CEE emerging markets by testing whether the stock price series of these markets contain unit root. The unpredictability of stock returns indicates that stock prices follow random walk and hence are characterized by a unit root. For this purpose, we employ unit root and nonlinear unit root tests along with their panel extensions. The results indicate weak form efficiency in linear sense. However the findings of nonlinear unit root test suggest inefficiencies for Russian, Romanian and Polish stock markets. Furthermore, nonlinear panel unit root test support inefficiency for the sample we investigated.
Citation - Scopus: 3
The relationship between output growth and inflation: Evidence from Turkey
(2010) Omay, T.; Omay, Tolga; Aluftekin, N.; Karadagli, E.C.; Çankaya Meslek Yüksekokulu
In this study, a bi-variate Generalized Autoregressive Conditional Heteroscedasticty model is used in order to investigate the Granger causality relationships between output growth, inflation rate and their uncertainties. Our test results show that the existence of Granger-causality is observed from nominal uncertainty to inflation, from nominal uncertainty to real uncertainty, from output growth to real uncertainty, from output growth to nominal uncertainty and from inflation to nominal uncertainty. These findings prove that theoretical predictions of Cuikerman and Meltzer (1986), Okun (1971) and Friedman (1977) are valid for the period 1986, 6 - 2007, 1 for Turkey. On the other hand, 'Short-run Phillips Curve' and 'Taylor Effect' have proven empirically to be invalid for Turkey for this sample period. Moreover, we deduce that Turkish inflation is affected by the output growth through the nominal uncertainty channel.