Bankacılık ve Finans Bölümü

Permanent URI for this communityhttps://hdl.handle.net/20.500.12416/22

Browse

Now showing 1 - 20 of 23

Citation - WoS: 2
Citation - Scopus: 2
An Alternative Mean Reversion Test for Interest Rates
(Central Bank Republic Turkey, 2018) Ozel, Ozgur; Ilalan, Deniz
A number of empirical studies assert that interest rates are governed by unit root processes rejecting any form of reversion to a long term mean by resorting to certain tests, among which the Augmented Dickey Fuller (ADF) is the most widely used one. In this study, we propose an alternative testing methodology that can be applied along with ADF test, in the sense that there are times where it can capture stationarity when the other fails to do so. Moreover, our test has more power than ADF test. As an application to real-data, we consider 10-year US and Turkish T-bond rates. (C) 2017 Central Bank of The Republic of Turkey. Production and hosting by Elsevier B.V.
The Causal Relationship Between Stock Markets and Policy Uncertainty in Oecd Countries
(Bc Grup inc, 2017) Pirgaip, Burak
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.
Citation - WoS: 5
Citation - Scopus: 6
Elliott Wave Principle and the Corresponding Fractional Brownian Motion in Stock Markets: Evidence From Nikkei 225 Index
(Pergamon-elsevier Science Ltd, 2016) Ilalan, Deniz
This paper examines one of the vital technical analysis indicators known as the Elliott wave principle. Since these waves have a fractal nature with patterns that are not exact, we first determine the dimension of them. Our second aim is to find a linkage between Elliott wave principle and fractional Brownian motion via comparing their Hausdorff dimensions. Thirdly, we consider the Nikkei 225 index during Japan asset price bubble, which is a perfect example of an Elliott wave. (C) 2016 Elsevier Ltd. All rights reserved.
Citation - WoS: 22
Citation - Scopus: 26
An Empirical Analysis of Household Education Expenditures in Turkey
(Pergamon-elsevier Science Ltd, 2016) Cilasun, Seyit Mumin; Acar, Elif Oznur; Gunalp, Burak
Using Turkish Household Budget Surveys from 2003, 2007 and 2012, this paper investigates the determinants of household education expenditures within an Engel curve framework. In particular, we estimate Tobit regressions of real educational expenditures by income groups using a number of household characteristics (i.e. rural residence, employment status, age, educational attainment of the household head, household size, share of female students and primary school students in the household, and total number of students in the household) to examine if and to what extent the determinants of educational expenditures differ by income groups; income elasticities of educational spending evolves over time; and children from middle-class and poor families can benefit enough from educational opportunities. The estimated expenditure elasticities have lower values for the top- and the bottom income quartiles while they have larger values for the middle-income quartiles. The results also show that for all income groups the expenditure elasticity of education increases over time, indicating that Turkish households allocates greater share of their budgets to education expenditures. (C) 2016 Elsevier Ltd. All rights reserved.
Citation - WoS: 16
Citation - Scopus: 18
An Empirical Examination of the Generalized Fisher Effect Using Cross-Sectional Correlation Robust Tests for Panel Cointegration
(Elsevier Science Bv, 2015) Yuksel, Aydin; Omay, Tolga; Yuksel, Asli
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: 11
Citation - Scopus: 12
Energy Consumption and Growth: New Evidence From a Non-Linear Panel and a Sample of Developing Countries
(World Scientific Publ Co Pte Ltd, 2015) Apergis, Nicholas; Ozcelebi, Hulya; Omay, Tolga
This paper investigates the relationship between economic growth and energy consumption through non-linear causality tests. Eight developing countries from Europe and Central Asia spanning the period 1993 to 2008 are selected for the purpose of panel empirical analysis. Panel unit root and panel cointegration tests with and without considering cross section dependency (CD) problems are implemented. Next, linear panel cointegration tests are employed and, finally, a two-regime Dynamic Panel Smooth Transition Vector Error Correction (PSTRVEC) model is estimated for testing the presence of non-linear short-and long-run causality. To this end, a new estimator, called the Dynamic Non-linear Pooled Common Correlated Effect Estimator (DNPCCEE) is proposed. The empirical findings indicate that short and long-run causalities are regime-dependent.
Citation - WoS: 12
Citation - Scopus: 16
Exchange Rate Risk and International Trade: the Role of Third Country Effect
(Elsevier Science Sa, 2018) Tunc, Cengiz; Solakoglu, M. Nihat; Babuscu, Senol; Hazar, Adalet
Using the recently launched Exporter Dynamics Database of the World Bank, this paper empirically investigates the role of external exchange rate risk (third-country effect) on trade flows between countries. We find a strong positive influence of external exchange rate risk on exports to a specific destination. However, the effect is more observable in advanced destination countries, countries with low bilateral exchange rate volatility in comparison to external exchange rate volatility, and countries in which export is concentrated among a small number of firms. (C)2018 Elsevier B.V. All rights reserved.
Citation - WoS: 6
Citation - Scopus: 5
Exchange Rate Volatility and Trade: External Exchange Rate Volatility Matters
(World Scientific Publ Co Pte Ltd, 2020) Babuscu, Senol; Hazar, Adalet; Solakoglu, M. Nihat; Tunc, Cengiz
We investigate the role of external exchange rate volatility in export in addition to the effect of bilateral exchange rate volatility using country-, sector-, and destination-specific detailed export data of the World Bank Exporter Dynamics Database. The results show that while the bilateral exchange rate volatility has a depressing effect on export, the external exchange rate volatility generates trade-promoting effect on export. However, the magnitude of the effect depends on trade intensity between countries. Furthermore, while the role of external exchange rate volatility diminished after the Global Financial Crisis, the effect of its volatility has become larger. Finally, external exchange rate volatility has a larger trade-promoting effect on export in the presence of high volatilities than the effect in the presence of low volatilities.
Citation - WoS: 13
The Formal/Informal Employment Earnings Gap: Evidence From Turkey
(Emerald Group Publishing Ltd, 2016) Acar, Elif Oznur; Tansel, Aysit
This study investigates the formal/informal employment earnings gap in Turkey. We focus on the earnings differentials that can be explained by observable characteristics and unobservable time-invariant individual heterogeneity. We first, estimate the standard Mincer earnings equations using ordinary least squares (OLS), controlling for individual, household, and job characteristics. Next we use, panel data and the quantile regression (QR) techniques in order to account for unobserved factors which might affect the earnings and the intrinsic heterogeneity within formal and informal sectors. OLS results confirm the existence of an informal sector penalty almost half of which is explained by observable variables. We find that formal-salaried workers are paid significantly higher than their informal counterparts and of the self-employed confirming the heterogeneity within the informal employment. QR results show that pay differentials are not uniform along the earnings distribution. In contrast to the mainstream literature which views informal self-employment as the upper-tier and wage-employment as the lower-tier, we find that self-employment corresponds to the lower-tier in the Turkish labor market. Finally, fixed effects estimation indicates that unobserved individual characteristics combined with controls for observable characteristics explain the pay differentials between formal and informal employment entirely in the total and the female sample. However, informal sector penalty persists in the male sample.
Citation - WoS: 92
Citation - Scopus: 89
Fractional Frequency Flexible Fourier Form To Approximate Smooth Breaks in Unit Root Testing
(Elsevier Science Sa, 2015) Omay, Tolga
In this study, a Fractional Frequency Flexible Fourier Form DF-type unit root test is proposed. The small sample properties of the proposed test are found to be better than that of the integer frequency counterpart. (C) 2015 Elsevier B.V. All rights reserved.
Citation - WoS: 1
Globalization, Firm Performance and Group Affiliation in Emerging Markets: Evidence From Turkey
(Asers Publishing, 2013) Akdoğan, Ece Ceylan; Karadagli, Ece Ceylan; Bankacılık ve Finans
Although the process of globalization deeply affects businesses in all aspects, unfortunately, the firm level effects of globalization are highly unexplored in the literature. This research aims to explore how the overall globalization level of a country as well as her economic, her political and her social globalization levels affect the performance of both the group affiliated and the unaffiliated firms, operating in this business environment by using pooled panel analysis. To search for the potential differences that may prevail between the firm performance effects of globalization on the group affiliated firms and on the unaffiliated firms, it focuses on Turkish listed companies for the period 2002-2009. The findings of the study indicate that while globalization improves the stock returns of both the group affiliated and the unaffiliated firms, it deteriorates the operational income of both groups of firms. The findings also imply that although the effects of economic and political globalization do not seem to differentiate much between the group affiliated and the unaffiliated firms, social globalization may be argued to affect the operating incomes and the firm growth rates of group affiliated and unaffiliated firms differently. Last but not least, the findings suggest that the most influential dimension of globalization in terms of its effects on firm performance for Turkish companies seems to be the economic globalization.
Citation - WoS: 2
Citation - Scopus: 4
How Globalization Affects the Operational Efficiency of Emerging Market Firms?: a Comparative Analysis on Turkish Smes
(Univ Oviedo, 2018) Akdogan, Ece Ceylan
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 - WoS: 2
Citation - Scopus: 3
Loan-To Policy: Evidence From Turkish Dual Banking System
(Emerald Group Publishing Ltd, 2018) Hepsen, Ali; Pirgaip, Burak
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: 11
Citation - Scopus: 10
Managing Working Capital Efficiency in Turkish Agribusinesses and the Impact of Globalization: Insights From an Emerging Market
(Wageningen Academic Publishers, 2019) Dinc, Dilek Temiz; Akdogan, Ece C.
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 - WoS: 2
Citation - Scopus: 2
Market Reaction To Grouping Equities in Stock Markets: an Empirical Analysis on Borsa Istanbul
(Elsevier, 2017) Karan, Mehmet Baha; Pirgaip, Burak; Yildiz, Yilmaz
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
Non-Linear Unit Root Testing With Arctangent Trend: Simulation and Applications in Finance
(Taylor & Francis As, 2018) Ozel, Ozgur; Ilalan, Deniz
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.
Overview of Financial Reporting in the Airline Industry
(Emerald Group Publishing Ltd, 2022) Ozturk, Can
This chapter focuses on the diversity of financial reporting frameworks in the airline industry considering past and present. While diversity of financial reporting frameworks existed in the past, currently, the majority of listed and non-listed airlines, whose financial statements are publicly available, are inclined to adopt International Financial Reporting Standards (IFRS), leading toward uniformity in financial reporting frameworks because their country of incorporation or the stock exchange where they are listed either require or permit them to do so. Airlines operating in the United States prepare their financial statements under United States Generally Accepted Accounting Principles and some of Asian-Pacific countries still use their own national accounting standards in financial reporting. In addition, this research points out that the primary determinant of IFRS adoption in the airline industry is the fact that the majority of airlines are listed in national or foreign stock exchanges where IFRS adoption is required, but there are some company-specific determinants for listed and non-listed IFRS adopting airlines. Finally, this chapter also sets forth that there are jurisdictional versions of IFRS in the global context from the perspective of financial statements of airlines leading to some obstacles in understanding the financial reporting framework.
Citation - WoS: 2
Citation - Scopus: 2
Profitability Effects of Financial Globalization in an Emerging Market Banking Industry: Insights Into Turkey
(Univ Rijeka, Fac Ecomomics, 2019) Ozsuca, Ekin Ayse; Akdogan, Ece C.
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 - WoS: 52
Citation - Scopus: 57
Reexamining the Ppp Hypothesis: a Nonlinear Asymmetric Heterogeneous Panel Unit Root Test
(Elsevier, 2014) Omay, Tolga; Emirmahmutoglu, Furkan
In this study, we re-examine the PPP hypothesis in the light of the new developments in the unit root testing literature. The recent theoretical findings have pointed out that the real exchange rate series exhibit asymmetric nonlinear behavior. A unit root test applied to analyze the PPP hypothesis therefore, should also take into account this asymmetry inherent in the real exchange rate. Different unit root tests that consider the presence of these data features have been developed in the time series literature. However, a true attempt to test the PPP hypothesis should take a panel data approach. To this end, we propose a nonlinear heterogeneous panel unit root test where the alternative hypothesis allows for symmetric or asymmetric exponential smooth transition autoregressive nonlinearity and provide its finite sample properties. We apply our test to the real exchange rates of the 15 European Union countries against the US dollar. While the results of the linear and symmetric nonlinear heterogeneous panel unit root tests are against the PPP hypothesis, the asymmetric nonlinear heterogeneous panel test that we propose gives support for the PPP hypothesis as expected. Therefore, the conclusions drawn from the linear panel unit root tests or the nonlinear panel unit root tests that do not take asymmetry into account might be misleading. (C) 2014 Elsevier B.V. All rights reserved.
Sector-Level Competition and Export: Evidence From Exporter Dynamics Database
(World Scientific Publ Co Pte Ltd, 2019) Hazar, Adalet; Solakoglu, M. Nihat; Tunc, Cengiz; Babuscu, Senol
We study the effect of sector-level competition on export by utilizing the Exporter Dynamics Database of the World Bank that provides sector-level competition measure along with destination-specific detailed export data. The results of the analysis show a nonlinear effect of sector-level competition on export. While at less competitive sectors, an increase in competition depresses export, at highly competitive sectors, an increase in competition generates a trade-promoting effect on export. The observed nonlinear effect is robust across sectors and countries. Therefore, productivity of peer firms could generate negative effect on a firm's export performance contrary to the usual positive effect of a firm's own productivity.

Browse

Browsing Bankacılık ve Finans Bölümü by Publication Index "WoS"