TR-Dizin İndeksli Yayınlar Koleksiyonu

Permanent URI for this collectionhttps://hdl.handle.net/20.500.12416/8652

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Are the Transition Stock Markets Efficient? Evidence From Non-Linear Unit Root Tests
(2007) Omay, Tolga; Hasanov, Mübariz; 19320
In this paper we address efficiency of eight transition stock markets, namely, Bulgarian, Chinese, Czech, Hungarian, Polish, Romanian, Russian and Slovakian stock markets by testing whether the price series of these markets contain unit root. For this purpose we employ the nonlinear unit root test procedure recently developed by Kapetanios et al. (2003) that has a better power than standard unit root tests when series under consideration are characterised by a slower speed of mean reversion. The results of nonlinear unit root tests indicate that only Bulgarian, Czech, Hungarian and Slovakian price series contain unit root, consistent with weak form efficiency.
Citation - Scopus: 25
A Caputo-Fabrizio Fractional-Order Cholera Model and Its Sensitivity Analysis
(Mehmet Yavuz, 2023) Akgül, A.; Jarad, F.; Kumam, P.; Nonlaopon, K.; Ahmed, I.; 234808
In recent years, the availability of advanced computational techniques has led to a growing emphasis on fractional-order derivatives. This development has enabled researchers to explore the intricate dynamics of various biological models by employing fractional-order derivatives instead of traditional integer-order derivatives. This paper proposes a Caputo-Fabrizio fractional-order cholera epidemic model. Fixed-point theorems are utilized to investigate the existence and uniqueness of solutions. A recent and effective numerical scheme is employed to demonstrate the model’s complex behaviors and highlight the advantages of fractional-order derivatives. Additionally, a sensitivity analysis is conducted to identify the most influential parameters. © 2023 by the authors.
Day of the Week Effects: Recent Evidence From Nineteen Stock Markets
(2002) Bayar, Aslı; Kan, Özgür Berk
This paper provides international evidence for the presence of the day of the week effects in stock market returns denominated in both local currencies and the US dollars in most of the nineteen countries in the sample for the period July 1993 to July 1998. The observed daily patterns differ for local and dollar returns, the latter being exhibiting lower daily means and higher standard deviations. In local currency terms, a pattern of higher returns around the middle of the week, Tuesday and then Wednesday; and a lower pattern towards the end of the week, Thursday and then Friday, are observed. In dollar terms, a higher pattern occurs around the middle of the week, Wednesday and then Tuesday; and a lower one is observed towards the end of the week, Thursday and then Friday. The lower patterns are more apparent in both cases. Volatility is the highest on Mondays in both local and dollar returns. Local returns have the lowest volatility towards the end of the week, Thursday and Friday, whereas the lowest volatility of dollar returns are observed on Tuesdays. The results have useful implications for international portfolio diversification.
Citation - WoS: 2
Citation - Scopus: 3
Economic Sentiment and Foreign Portfolio Flows: Evidence From Türkiye
(Central Bank Republic Turkey, 2024) Ozkan, Ibrahim; Erden, Lutfi; Gunes, Didem; 169580
The notable surge in capital flows in recent years has emerged as a key factor shaping the dynamics of international financial markets and influencing economic performance of emerging economies. Even though macroeconomic fundamentals of an economy can explain some of the patterns in international capital flows, behavioral factors also seem to be essential for positioning capital flows across countries. In this study, we aim to examine whether overall economic sentiment towards Turkish economy plays a significant role on net portfolio flows to Turkiye. To this end, we first construct a novel text-based sentiment index called "Turkish Economic Sentiment Index (TESI)", to capture the behavioral tendencies of international investors and media towards Turkiye. Our subsequent step integrates TESI into autoregressive distributed lag models (ARDL) alongside major pull-push determinants to assess whether market sentiment holds discernible influence on capital influx into Turkey. The results reveal that the TESI and VIX stand out as pivotal determinants influencing international portfolio flows. The TESI has a positive impact on portfolio flow dynamics, whereas the degree of global risk aversion inversely affects these flows. These findings align with the contention that a favorable sentiment can boost portfolio inflows to emerging markets. Conversely, heightened volatility expectations in global markets can prompt outflows from these economies.

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