Browsing by Author "Yuksel, Asli"

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Citation - WoS: 15
Citation - Scopus: 16
An Empirical Examination Of The Generalized Fisher Effect Using Cross-Sectional Correlation Robust Tests For Panel Cointegration
(Elsevier Science Bv, 2015) Omay, Tolga; Omay, Tolga; Yuksel, Asli; Yüksel, Aslı; Yuksel, Aydin; 19320; Çankaya Meslek Yüksekokulu; İşletme
This study examines the generalized Fisher hypothesis as applied to common stocks by using the recently proposed second generation panel cointegration tests. Unlike their predecessors, these new tests assume the existence of cross-section dependence in the data. For the sample analyzed, we report that these new tests, but not their predecessors, provide strong support for the existence of cointegration between stock and goods prices. Moreover, further analysis cannot reject the hypothesis that the cointegration relation is linear. Finally, our Fisher coefficient estimates are in the range between 0.68 and 1.27 and give support to the generalized Fisher hypothesis. (C) 2014 Elsevier B.V. All rights reserved.
Citation - WoS: 3
The role of liquidity in the pricing of stocks traded on the Istanbul Stock Exchange
(Bilgesel Yayincilik San & Tic Ltd, 2010) Yüksel, Aslı; Yuksel, Asli; Yuksel, Aydin; Doğanay, Mehmet Mete; Doganay, Mete; 11028; 37770; 112010; İşletme
The role of liquidity in the pricing of stocks traded on the Istanbul Stock Exchange This paper extends the empirical literature on the relationship between liquidity and stock returns by providing evidence from the Istanbul Stock Exchange. Using share turnover as a proxy for liquidity, this relationship is examined in two alternative ways. First, Fama and MacBeth (1973) cross-sectional regressions are employed with liquidity, beta, size and book to market ratio serving as potentia firm characteristics that may be relevant for pricing. Second, the role of liquidity is examined in a Fama and French (1993) framework. The findings reveal the following: Liquidity and book-to-market value are identified as two firm characteristics that appear to contain information about variation in expected returns. Moreover based on the explanatory power of the model and the Outcome of the Gibbon, Ross, and Shanken (1989) test, Fama and French (1993) three-factor asset-pricing model augmented by the liquidity factor appears to fit the data well.