İlalan, Deniz
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Name Variants
Ilalan, D. & Ilalan, Deniz
Job Title
Dr. Öğr. Üyesi
Email Address
Main Affiliation
03.01. Bankacılık ve Finans
Bankacılık ve Finans
03. İktisadi ve İdari Birimler Fakültesi
01. Çankaya Üniversitesi
Bankacılık ve Finans
03. İktisadi ve İdari Birimler Fakültesi
01. Çankaya Üniversitesi
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Former Staff
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Scopus Author ID
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WoS Researcher ID
Sustainable Development Goals
1NO POVERTY
0
Research Products
2ZERO HUNGER
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3GOOD HEALTH AND WELL-BEING
0
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4QUALITY EDUCATION
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5GENDER EQUALITY
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6CLEAN WATER AND SANITATION
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7AFFORDABLE AND CLEAN ENERGY
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8DECENT WORK AND ECONOMIC GROWTH
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9INDUSTRY, INNOVATION AND INFRASTRUCTURE
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10REDUCED INEQUALITIES
3
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11SUSTAINABLE CITIES AND COMMUNITIES
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12RESPONSIBLE CONSUMPTION AND PRODUCTION
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13CLIMATE ACTION
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14LIFE BELOW WATER
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15LIFE ON LAND
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16PEACE, JUSTICE AND STRONG INSTITUTIONS
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17PARTNERSHIPS FOR THE GOALS
2
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Scholarly Output
16
Articles
16
Views / Downloads
1810/240
Supervised MSc Theses
0
Supervised PhD Theses
0
WoS Citation Count
7
Scopus Citation Count
17
Patents
0
Projects
0
WoS Citations per Publication
0.44
Scopus Citations per Publication
1.06
Open Access Source
6
Supervised Theses
0
| Journal | Count |
|---|---|
| Central Bank Review | 1 |
| Chaos, Solitons & Fractals | 1 |
| Cogent Mathematics & Statistics | 1 |
| Economics and Business Letters | 1 |
| European Scientific Journal | 1 |
Current Page: 1 / 3
Scopus Quartile Distribution
Competency Cloud
14 results
Scholarly Output Search Results
Now showing 1 - 10 of 14
Article How Us Wages Effect Post-Socialist European Stock Markets: an Empirical Study(Univ Oviedo, 2018) Ilalan, DenizFollowing the famous tapering speech of Bernanke on 2013, US non-farm payroll data became the leading indicator for the monetary policy of Fed. After midst of 2014 Fed shifted its attention to average hourly wage increases which was regarded as the determinant of inflation. As inflation is closely linked with possible increments of Fed funds rate, investors began to follow US wages more closely. We investigate the impact of US wages especially through concentrating on some Post-Socialist European stock markets. As US wages are found to Granger cause these stock exchanges, interestingly with domestic wages, a similar causation relation could not be achieved. This brings out the question whether wages are indeed an indicator for stock markets or not.Article Citation - Scopus: 1How Stock Markets Become Desensitized To Terror(Emerald Group Publishing Ltd., 2017) Ilalan, D.Purpose-A widely accepted belief indicates that terror activities have negative impact on stock markets. Contrary to numerous empirical studies, the purpose of this paper is to consider this issue from another point of view in the sense that markets can become desensitized to terror. Design/methodology/approach-Here, instead of directly analyzing the existing data, the stochastic nature of the events is taken into consideration. Findings-The author compares three countries and found out that the correlation between terror and stock markets is almost nil when terror events become a commonplace. Originality/value-This paper applies mean reverting stochastic processes to terror incidents and brings out interesting results. © Emerald Publishing Limited.Article Can Stock Price Manipulation be Prevented by Granting More Freedom to Manipulators(2015) İlalan, DenizAllen and Gale (1992) construct a model to show that stock price manipulation is possible. The time structure of their model allows manipulators to pretend as “informed” traders, so that the local investors cannot distinguish what type of entrant they are facing. When the type of the entrant becomes known to the local investors it is already too late to make any use of that information. This paper shows an institution can be designed in a very natural fashion which induces different behaviors on the part of manipulators and “informed” traders at the beginning of the process. The institution designed roughly consists of entitling the entrants to resell stocks at a later date as well if they wish to do so. As this reasoning is also accessible to manipulators, the designed institution deters them from entering the market. Regarding the informed traders, their expected gain from entering the stock market may or may not be positive contingent on the basic parameters of the model. There are cases, however, when there is an improvement in the expected total gain of the local investors.Article Nonlinearity of Turkish Credit Default Swap Spreads(2018) İlalan, DenizBu çalışmada araştırmacı ve yatırımcılar için önemli gösterge niteliği taşıyan durağanlık kavramı Türk Kredi Temerrüt Takası (KTT) primleri özelinde incelenmiştir. Verimiz için her ne kadar en çok kullanılan doğrusal birim kök testi olan Dickey Fuller (ADF) birim kökün varlığının reddedemezken, doğrusal olmayan Kapatenios, Snell ve Shin (KSS) ve Sollis testleri yumuşak geçişli bir durağanlık saptamışlardır. Ayrıca, bu yumuşak geçişin asimetrik bir yapıda olduğu bulgularımız arasındadır. KTT primlerinin dinamiklerini anlama öngörülebilirlik ve modellemeyi güçlendireceğinden araştırmacılara ADF testi beraberinde KSS ve Sollis testlerini uygulamalarını da önermekteyiz.Article Citation - WoS: 2Citation - Scopus: 2An Alternative Mean Reversion Test for Interest Rates(Central Bank Republic Turkey, 2018) Ozel, Ozgur; Ilalan, DenizA 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.Article Citation - Scopus: 8A Poisson Process With Random Intensity for Modeling Financial Stability(Ediciones Doyma, S.L., 2016) Ilalan, D.Stock market crashes are hazardous for financial stability and usually modeled via Poisson processes having a predetermined fixed intensity. This study uses a more general framework by allowing the intensity to be random in order to model rare events called the “unpredictable unknowns”. Three stock indices, namely Japan Nikkei 225, US Dow Jones Industrial Average and Turkish BIST 100 are analyzed. Simulation results indicate that in stable markets, we encounter fewer unpredictable unknowns compared to unstable ones. However, it is also shown that stable markets are more prone to severe financial crises. © 2015 Asociación Española de FinanzasArticle Doğrusal Olmayan Birim Kök Testi İle Bist 100 Endeksi Üzerine Ampirik Bir Çalışma(2018) İlalan, DenizBu çalışmada Borsa İstanbul 100 endeksinin etkinliği sınanmaktadır. En sık kullanılandoğrusal ve yapısal kırılmalı birim kök testleri elimizdeki zaman serisinin durağan olmadığınıyani başka bir deyişle birim kökün varlığını desteklerken Kapatenios, Snell ve Shin’in geliştirmişolduğu doğrusal olmayan birim kök testi ise bunun aksini iddia etmektedir. Bu bağlamdabelirli dönemlerde doğrusal olmayan bir yapının varlığı söz konusudur. Bu bulgu araştırmacıaçısından veride gereksiz yere fark alınmasının önüne geçeceği gibi yatırımcı açısından daendeksin hareketini analiz etmede faydalı olacaktırArticle Determination of the Best Simple Moving Average By Stochastic Processes(2017) İlalan, DenizIn this study, we consider one of the most popular technical indicators and try to determine the best fitting simple moving average to a given data. Here we utilize from a general mean reverting stochastic process where the mean is time dependent. We propose an identification algorithm which mainly concentrates on the normality of the residual terms after the data is demeaned from simple moving average and also provide evidence that our algorithm works quite well for determination of the “best” simple moving average.Article Citation - WoS: 5Citation - Scopus: 6Elliott Wave Principle and the Corresponding Fractional Brownian Motion in Stock Markets: Evidence From Nikkei 225 Index(Pergamon-elsevier Science Ltd, 2016) Ilalan, DenizThis 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.Article The effects of terrorist activities on foreign direct investment: nonlinear Evidence(2013) Omay, Tolga; Takay Araz, Bahar; Ilalan, DenizIn this study, we examine the relationship between foreign direct investment and terrorist incidents that took place in Turkey for the period from 1991:12 to 2003:12. This research contributes to the literature by checking for a possible non-linear relationship between terrorism and foreign direct investment. The data used to measure the intensity of terrorism were collected from the newspapers of Turkey, and therefore are limited to the direct signals given to the market. Empirical evidence from both linear and non-linear models confirms that terrorism has a large significant negative impact on foreign direct investment. With respect to the nonlinear model, the impact of terrorism on the foreign direct investment is more severe during periods of high terrorism when the intensity of terrorism passes the threshold level 3.725.