- Pamukkale University, IIBF, Isletme Bolumu, Kinikli Kampusu, DENIZLI/TURKEY
https://sites.google.com/view/umutuyar - +902582962830
Umut Uyar
Pamukkale University, Economics and Administrative Science, Faculty Member
- Finance, IFRS & FINANCIAL REPORTING, Accounting, Business, Economics, Research Methodology, and 12 moreCorporate Finance, International Economics, Simulation, Economic Growth, Portfolio Management, Auditing, Portfolio Optimization, Value at Risk, Capital Asset Pricing Model, Panel Data Analysis, Arbitrage Pricing Theory, and Dividend policyedit
- Umut Uyar currently works as an Associate Professor at the Department of Finance, Pamukkale University. He was workin... moreUmut Uyar currently works as an Associate Professor at the Department of Finance, Pamukkale University. He was working as a Visiting Scholar at The University of Illinois at Urbana-Champaign in 2018. Umut does research in Portfolio Selection Theory, Financial Economics, and Econometrics.edit
In this study, we present a two-step method for predicting price bubbles in precious metals, which combines a widely recognized right-tailed unit root test to detect bubbles with various machine learning algorithms to pinpoint the... more
In this study, we present a two-step method for predicting price bubbles in precious metals, which combines a widely recognized right-tailed unit root test to detect bubbles with various machine learning algorithms to pinpoint the potential predictors of bubble formation and their relative significance. We utilize logistic regression, support vector machines, CART, random forests, extreme gradient boosting, and neural networks algorithms, which are more precise than traditional methods in making predictions and can handle binary classification and regression issues. Our analysis covers monthly prices for gold, silver, palladium, and platinum from 1990M1-2022M10. The study extends the literature by utilizing the Generalized Supremum Augmented Dickey-Fuller test to identify potential price bubbles and analyzing the effect of macroeconomic, financial, and uncertainty factors on the likelihood of bubbles using machine learning algorithms. The findings indicate that macroeconomic factors play a significant role in the formation of price bubbles in precious metals; specifically the consumer confidence index in the USA was a common factor that had a positive impact on the likelihood of bubbles in gold, platinum, and silver. However, the leading factors in the formation of bubbles in palladium were found to be financial variables and uncertainty variables. As predicting bubbles is crucial for regulators and policymakers to take preventive measures against future crises, identifying the key predictors of bubble formation and forecasting them in the early stages is essential.
Research Interests:
It is well known that the models supporting the Modern Portfolio Theory (MPT) and the Efficient Market Hypothesis (EMH) are constructed in the framework of random walk theory. However, a large and growing literature criticizes those... more
It is well known that the models supporting the Modern Portfolio Theory (MPT) and the Efficient Market Hypothesis (EMH) are constructed in the framework of random walk theory. However, a large and growing literature criticizes those models. The Fractal Market Hypothesis (FMH) was proposed as an alternative hypothesis to EMH. The motivation of this study is Peters' [45,46] works that examine the portfolio selection case based on the non-normality framework. The aim of the study is to propose a new approach to theoretical framework of portfolio selection in terms of FMH. Daily observations of 92 stocks traded in London Stock Exchange are used to investigate the fractal behavior. Thus, the Hurst exponents as a means of indicator of a fractal structure are calculated for simulated portfolios. Results of the analysis show that the validity of MPT and EMH is questionable in London Stock Exchange. To examine the relationship between Hurst exponents (as a measure of risk) and returns, scattered diagrams are constructed for 5000 simulated portfolios. Existence of a pattern with a frontier is detected that may enable investors to optimize their portfolios. Further, The Hurst exponents of efficient frontier portfolios of Markowitz are calculated in order to investigate whether there is any linkage with the frontier of simulated portfolios. The results show that major deviations occur between these two frontiers. To understand these deviations, the Lyapunov exponents are suggested for detailed information. As a conclusion, it is recommended that investors should calculate an optimal solution with regards to the Hurst and Lyapunov exponents to maximize their returns.
Research Interests:
The performance of funds by asset management companies needs to be based on an objective benchmark. Studies related to the topic focus on measuring performance using a discrete form that cannot capture precise total efficiency losses. In... more
The performance of funds by asset management companies needs to be based on an objective benchmark. Studies related to the topic focus on measuring performance using a discrete form that cannot capture precise total efficiency losses. In this study, we propose a continuous approach to compare the performance of funds by taking advantage of the mean-variance efficient frontier with consideration of multiple risk levels. In an empirical analysis, our proposed method is applied to asset management companies with respect to open-end funds. For comparison, we use the output of an averaged Sharpe index. Because averaging the Sharpe index is inevitable for multiple risk levels, this method of calculation causes a loss of efficiency information. Hence, the proposed method has a continuous form of measuring performance, and the results of the two methods demonstrate significantly different patterns.
Research Interests:
Muhasebe bilgisinin finansal piyasalarda işlem gören hisse senetleri fiyatları üzerindeki etkisi, finans literatüründe önemli bir çalışma alanıdır. İlişkiyi özellikle Ohlson modeli çerçevesinde araştıran birçok çalışma bulunmaktadır.... more
Muhasebe bilgisinin finansal piyasalarda işlem gören hisse senetleri fiyatları üzerindeki etkisi, finans literatüründe önemli bir çalışma alanıdır. İlişkiyi özellikle Ohlson modeli çerçevesinde araştıran birçok çalışma bulunmaktadır. Diğer yandan, Ohlson modeline entelektüel sermaye değişkenlerinin dahil edilmesiyle konuya farklı bir boyut kazandırılmıştır. Literatürde, yatırımcıların büyük bir kısmı raporlanmayan bu değişkenleri takip edebiliyor olduğu yönünde kanıt sunan çalışmalar bulunmaktadır. Bu çalışmanın amacı, Ohlson modeli çerçevesinde, hisse senedi fiyatı ile entelektüel sermaye değişkenleri arasındaki ilişkinin incelenmesidir. Bu çalışmada, 31 Aralık 2010 ile 31 Aralık 2018 tarihleri arasında Borsa İstanbul’da imalat sektöründe faaliyet gösteren 124 tane işletmeye ait yıllık veriler kullanılmıştır. Analiz aşamasında, literatürden farklı olarak, Destek Vektör Makineleri Tekniği (SVM) uygulanarak dört farklı model test edilmiştir. Analiz bulgularında, raporlanan ve raporlanmayan maddi olmayan duran varlıkların dikkate alınması ile hisse senedi fiyatında meydana gelen hareketlerin büyük çoğunlukla açıklanabildiği sonucuna ulaşılmıştır. Hata kareler ortalamasının kare kökü (RMSE) yöntemiyle de incelenen model performanslarında, SVM ile elde edilen bulguların daha başarılı olduğu gözlenmiştir. Bu açıdan, bilanço dışında tutulan entelektüel sermaye değişkenlerinin finansal raporlamaya dahil edilmesi gerekliliği önerilmektedir.
Research Interests:
There is a large and growing literature that criticizes the random walk assumption of the Gaussian distribution and the Efficient Market Hypothesis (EMH) as well. In this respect, the Fractal Market Hypothesis (FMH) is an alternative... more
There is a large and growing literature that criticizes the random walk assumption of the Gaussian distribution and the Efficient Market Hypothesis (EMH) as well. In this respect, the Fractal Market Hypothesis (FMH) is an alternative approach to the EMH. On the other hand, Credit Default Swaps (CDSs) are also taken as an indicator of risk. It is a puzzle for the researchers whether CDS spreads are following a random walk process or not. The aim of this study is to investigate the validity of the FMH in CDS spreads for 34 OECD countries between March 2003 and February 2020. The rescaled range analysis is used for each country's data with four different frequencies. The results show that there is a persistency in all CDS spreads. That process, called the Hurst process, indicates that the Fractal Market Hypothesis is valid in the CDS spreads.
Research Interests:
Investors reacted with panic and fear to the Coronavirus (COVID-19) pandemic and they created financial fluctuations. The aim of this study is to examine the volatility levels of S&P500 sector portfolios' systematic risks in terms of... more
Investors reacted with panic and fear to the Coronavirus (COVID-19) pandemic and they created financial fluctuations. The aim of this study is to examine the volatility levels of S&P500 sector portfolios' systematic risks in terms of different investment horizons. We employed the wavelet approaches that allow for analyzing the behavior of time series both jointly at the time and frequency spaces. Thus, we observed the variation of financial beta coefficients, and the volatility levels of systematic risks over different investment horizons by sectors. Daily returns of 386 stocks from eleven sectors and S&P500 index was used for the period of January 2005 and July 2020. The findings of the study show that the systematic risks of sectors vary over different investment horizons. This means that the sensitivity of sectors to the daily movements of the market change at various time scales. Moreover, the volatility levels of systematic risks of each sector change over different investment horizons during the pandemic period. The results show that investors in the S&P 500 ignore the COVID-19 at the beginning, however, they reacted with panic during the pandemic period. In this respect, the findings provide supporting evidence on behalf of the Prospect Theory.
Research Interests:
In the study, the maximum drawdown criterion frequently used by investment specialists and fund managers in the practice of risk factor measurement was carried out. Within the scope of the study, Risky, Non-Risky and Equally Weighted... more
In the study, the maximum drawdown criterion frequently used by investment specialists and fund managers in the practice of risk factor measurement was carried out. Within the scope of the study, Risky, Non-Risky and Equally Weighted portfolios have been established with the stocks listed on BIST100 and S&P500 indexes. The weight of each stock in the portfolios whose performance was measured for the year 2016 was arranged according to the expected maximum drawdown. With the aim of determining the highest expected drop points, daily returns of associated stocks between January 1, 2010, and December 31, 2015, were utilized. As a result of the study, it was confirmed that for the BIST100 index, the non-risky portfolio provides the highest return as opposed to expectations, while for the S&P500 index, risky portfolios provide the highest return in parallel with the expectation. When we look at 2016 as a year when sharp declines were experienced for the BIST100 index, it is possible to s...
Research Interests:
İşletme sermayesi yönetiminin finansal yönetim kararları açısından ciddi öneme sahip olduğundan son yıllarda işletme sermayesi yönetiminin firma karlılığına etkisi tartışılmakta olan konulardan biridir. Bu nedenle çalışmanın temel amacı,... more
İşletme sermayesi yönetiminin finansal yönetim kararları açısından ciddi öneme sahip olduğundan son yıllarda işletme sermayesi yönetiminin firma karlılığına etkisi tartışılmakta olan konulardan biridir. Bu nedenle çalışmanın temel amacı, Borsa İstanbul’da teknoloji sektöründe faaliyet gösteren 13 firmanın, işletme sermayesi yönetiminin karlılıklarına etkisini araştırmaktır. 2015-2020 yılları arasında firmalara ait çeyreklik finansal tablolar kullanılarak toplam 312 gözlemden yararlanılmıştır. Çalışmada yöntem olarak panel veri analizi uygulanmıştır. Elde edilen sonuçlara göre, çalışmaya dahil olan 11 açıklayıcı değişkenden sadece beş tanesinin bağımlı değişken olan öz sermaye karlılığı üzerinde istatistiksel olarak anlamlı etkisi olduğu gözlenmiştir. Bu finansal oranlardan stok devir hızı, aktif devir hızı ve net işletme sermayesinin öz sermaye karlılığı üzerine etkisinin pozitif yönde; cari oran ve kaldıraç oranının ise negatif yönde olduğu tespit edilmiştir. Bu anlamda teknoloji firmalarının likit seviyesini gereksiz arttırmaları durumunda karlılıklarını olumsuz etkilediği, aynı şekilde, toplam borç oranını arttıran firmaların risk düzeylerinin yükseldiği ve karlılıklarının düştüğü tespit edilmiştir. Ayrıca stok devir hızı ve aktif devir hızı oranlarını arttıran firmalar, faaliyetlerini daha verimli gerçekleştirmekte ve sonuç olarak karlılıklarını artırabilmektedir. Son olarak da net işletme sermayesi yönetimine odaklanan teknoloji firmaları karlılıklarını ciddi oranda yükseltebilmektedir. - Since working capital management is crucial from the point of view of financial management decisions, the impact of working capital management on firm profitability has been discussed in recent years. For this reason, the main aim of the study is to investigate the impact of working capital management on the profitability of 13 companies listed in the technology sector in Borsa Istanbul. In 2015-2020, a total of 312 observations were collected using the quarterly financial statements of firms. Panel data analysis was applied as a method in this study. According to the findings, only five of the 11 explanatory variables included in the study had a statistically significant effect on the dependent variable, which is return on equity. Among these financial ratios, it was found that stock turn over, asset turnover, and net working capital have a positive effect on return on equity, whereas the current ratio and leverage ratio have a negative effect. In this regard, it is found that if technology firms increase their liquid level unnecessarily, it negatively affects their profitability. The same is true, higher total debt ratio may lead to higher risk levels and lower profitability for firms. In addition, companies that increase stock and active turnover rates perform their activities more efficiently and increase their profitability. Finally, technology companies that concentrate on net working capital management can significantly increase their profitability.
Research Interests:
Purpose-The purpose of this paper is to scrutinize three different points: How safe haven properties of precious metals (gold, silver, platinum and palladium) differentiate in two recent major crises such as the Global Financial Crisis... more
Purpose-The purpose of this paper is to scrutinize three different points: How safe haven properties of precious metals (gold, silver, platinum and palladium) differentiate in two recent major crises such as the Global Financial Crisis (GFC) and the COVID-19 pandemic? How safe haven properties of precious metals change by the severity and the duration of shocks? and whether precious metals have hedge properties or not in normal conditions against different stock markets. Design/methodology/approach-To analyze the time-varying behavior of precious metals with respect to stock market returns, the authors used the rolling window approach. After obtaining the timevarying beta series that way, the authors regressed the beta series on different severities of stock market shocks. Findings-The findings show that the number of safe haven precious metals increases in the COVID-19 pandemic period compared to the GFC. Furthermore, the number of safe haven precious metals increases as the severity of shocks increases and the duration of them extended. Finally, in the absence of an extreme market condition, only gold has strong hedge asset properties. Originality/value-To the best of the authors' knowledge, this study is the first that examines the safe haven and hedge properties of all tradable precious metals against seven major stock markets. Besides this, it presents a comparative analysis for the safe haven properties of precious metals in terms of two major crises.
Research Interests:
Research Interests:
In finance, capital structure decisions are crucial due to their impact on the value of a firm. Some theories assert that the value of a firm is irrelevant to those decisions. However, there is a growing literature that criticizes this... more
In finance, capital structure decisions are crucial due to their impact on the value of a firm. Some theories assert that the value of a firm is irrelevant to those decisions. However, there is a growing literature that criticizes this idea. Those studies are constructed on some modern theories, which are called trade-off theory, agency cost theory, signaling theory, and pecking order theory. This paper investigates the relationship between optimal capital structure and capital structure components. The annual data gathered from 195 firms traded in Borsa Istanbul for the period 2011-2020 is used. The fast calibrated additive quantile regression approach is chosen because of its superior properties. In that method, there is not a strong assumption about the functional form of the relationships between the dependent variable and the explanatory variables. The results indicate that the relationships between the debt ratios and the capital structure components differ for each quantile and these relations are nonlinear. Furthermore, evidence is provided for the fact that the relationships might be explained with the modern theories of capital structure.
Research Interests:
Firmaların faaliyet sonuçlarının, mevcut finansal durumlarının detaylı olarak yorumlayabilmek için finansal oranlar kullanılmaktadır. Firmaların ürettikleri söz konusu muhasebe bilgisi ile piyasa değerleri arasında ilişkinin incelenmesi... more
Firmaların faaliyet sonuçlarının, mevcut finansal durumlarının detaylı olarak yorumlayabilmek için finansal oranlar kullanılmaktadır. Firmaların ürettikleri söz konusu muhasebe bilgisi ile piyasa değerleri arasında ilişkinin incelenmesi uzun zamandır araştırmacıların odak noktası olmuştur. Genel geçer bir modelin ortaya konulamaması, konunun uzun süre gündemde kalmasını sağlamıştır. Bu çalışmanın amacı, aynı sektörde fakat farklı piyasalarda faaliyet gösteren firmaların finansal oranları ile piyasa değeri arasındaki ilişkinin incelenmesi ve karşılaştırılmasıdır. Bu amaç doğrultusunda, Borsa İstanbul (BIST) ve Londra Borsası (FTSE) imalat sektöründe işlem gören firmalara ait veri kullanılmıştır. Analiz dönemi olarak 2008-2018 yılları belirlenirken, ilgili dönemde veri sürekliliği gözetilerek Borsa İstanbul'da 36, Londra Borsası'nda ise 45 imalat firmasının verisine ulaşılmıştır. Panel veri analizinin kullanıldığı tahminler sonucunda, Borsa İstanbul için dönen varlık devir hızı, borçlanma oranı ve fiyat kazanç oranı ile firma değerinin istatistiksel olarak anlamlı ilişkisi olduğu gözlemlenmiştir. Londra Borsası için ise öz kaynak devir hızı, borçlanma oranı ve öz sermaye karlılık oranı istatistiksel olarak anlamlı bulunmuştur. Analiz sonuçlarına göre, genel-geçer bir model olabileceği yargısı reddedilirken; aynı sektörde fakat farklı piyasalarda faaliyet gösteren firmalar için benzer finansal oran grubu firma değeri ilişkisinin görülebileceği tespit edilmiştir. --- Since half of the century, financial ratios are useful tools to analyze the relationship between the accounting information and market value of firms in finance literature. However, any researcher could find a valid model for all sectors or firms. The aim of this study is to examine and compare the relationship between financial ratios and market value in terms of different markets. For this purpose, the yearly data gathered from Borsa İstanbul (BIST) and London Stock Exchange (FTSE) manufacturing sectors for the period 2008-2018. The data involves 36 manufacturing companies traded on the BIST and 45 companies traded on the FTSE. As a result of the estimations using panel data analysis, it was observed that there is a statistically significant relationship between the asset turnover rate, borrowing rate and price gain rate and market value for BIST; equity turnover rate, borrowing rate and equity profitability ratio were found statistically significant in the FTSE. It is consistent with the literature that we cannot discover a general-valid model for all markets. Nevertheless, similar financial ratio groups have impact on market value of firms.
Research Interests:
Bireysel ve kurumsal yatırımcıların finansal piyasalarda yatırım kararları alırken sıklıkla kullandıkları analizler temel analiz ve teknik analiz şeklinde ikiye ayrılmaktadır. Temel analiz; makroekonomik gidişatı, sektörel gelişmeleri ve... more
Bireysel ve kurumsal yatırımcıların finansal piyasalarda yatırım kararları alırken sıklıkla kullandıkları analizler temel analiz ve teknik analiz şeklinde ikiye ayrılmaktadır. Temel analiz; makroekonomik gidişatı, sektörel gelişmeleri ve spesifik olarak yatırım yapılacak varlığın finansal göstergelerini dikkate alırken, teknik analiz; finansal varlıkların geçmiş fiyat hareketlerinden yola çıkarak bu finansal varlığın gelecekteki fiyat hareketlerini tahminlemeye çalışmaktadır. Teorik altyapısı Dow Teorisine dayanan ve "finansal varlığın geçmiş fiyat hareketleri zamanla tekrarlanacaktır" gibi bir takım varsayımlar barındıran teknik analiz yöntemine göre yatırım kararı alınırken çeşitli indikatörler, osilatörler ve formasyonlar kullanılmaktadır. Bu göstergelerden Hareketli Ortalamaların Yakınsaması/Uzaklaşması (MACD), Bollinger Band (BBand), Göreceli Güç Endeksi (RSI) yatırımcıla-rın sıklıkla kullandıkları göstergeler arasındadır. Bu çalışmada 2014-2018 Bitcoin (BTC) ve Ethereum (ETH) günlük fiyat verileri kullanılarak MACD, BBand ve RSI test edilmiş, BTC ve ETH Al/Sat kararları tahmin edil-meye çalışılmıştır. Çıkan sonuçlar neticesinde kripto paraların yatırımcılara sağlayacağı getiriler hesaplanmış-tır. Finansal piyasalarda en fazla işlem gören kripto paraların analiz edildiği çalışmada, yatırım kararlarında tek-nik analizin ne derece etkili olduğu ve bu yatırımlardan teknik analiz kullanılarak herhangi bir getiri sağlanıp sağlanamayacağı irdelenmiştir. Elde edilen bulgulara göre BBand, RSI ve MACD yöntemleri birbirleri ile çeliş-kili sinyaller verebilmektedir. Bu nedenle yatırımcıların kullanacakları analiz yöntemine göre kazanç ve kayıp-larının farklılaşabileceğini söylemek mümkündür
Research Interests:
We study the relationship between average returns and risk factors through wavelet multiscaling approach which enables us to investigate the risk-return relationship based on different time scales. The data for the period July... more
We study the relationship between average returns and risk factors through wavelet multiscaling approach which enables us to investigate the risk-return relationship based on different time scales. The data for the period July 1963–February 2018 are gathered from the Kenneth French website. Each time series in the dataset is decomposed into five time scales. In order to make a comparison, the five-factor model is estimated based on both the scale basis and raw data. There are several key implications from our estimation results: i) The effects of risk factors on average returns vary over the time scales by their coefficient magnitudes and statistical significance. ii) Gibbons, Ross, and Shanken (1989) test results show that the intercepts of scale basis models are close to zero. iii) There is a period of unexpectedly higher cash flow for big value portfolios for long-term investments. iv) There is a minimum (maximum) risk level for aggressive (conservative) portfolios at different time horizons. Finally, we identify the risk factors in our five-factor model that have a significant effect on returns, and our model can capture the variations in average returns for different investment horizons.
Research Interests:
According to the modern portfolio theory, the direction of the relationship between the securities in the portfolio is stated to be effective in reducing the risk. Moreover, securities in high correlation are avoided by taking place in... more
According to the modern portfolio theory, the direction of the relationship between the securities in the portfolio is stated to be effective in reducing the risk. Moreover, securities in high correlation are avoided by taking place in the same portfolio. The models structured by the Bayesian networks are capable of visually illustrate the probabilistic relationship. Also, portfolio returns could be refreshed simultaneously when new information has arrived. The study aims to provide dynamic information through Bayesian networks and to investigate the relationship between macroeconomic indicators and stock returns of Turkish major bank stocks based on the Arbitrage Pricing Model. The dataset includes stock returns of four banks listed in the Borsa Istanbul from June 2001 to January 2017. Besides, macroeconomic variables such as BIST-100 Index, oil prices, inflation, exchange, and interest rate & money supply are gathered for the same period. The results suggest that the Bayesian network models allow dynamics among stock returns could be investigated in more detail. Additionally, it determines that macroeconomic variables would have various impacts on stock returns on bank stocks by comparison of the conventional methods.
Research Interests:
Investors get risks while they are managing their investments. Systematic risk is a major risk for all investors and it is measuring with the financial beta coefficient. In finance literature, there are lots of studies against to... more
Investors get risks while they are managing their investments. Systematic risk is a major risk for all investors and it is measuring with the financial beta coefficient. In finance literature, there are lots of studies against to calculate the financial beta with Market Model by Sharpe (1963). Marshall Blume (1975) emphasizes in his research that the financial beta coefficient is differing based on investment horizon and it needs to be corrected. In this study, the Multi-Scaling technique based upon Wavelet Analysis is used. The aim of the study to investigate the systematic risk dynamics between the market return and the stock return in the different investment horizons for 111 stocks which have been trading continuously in the Borsa Istanbul between 1997 and 2017. The results show that the estimated financial beta coefficients on six different scales are close to 1 (one) and also the explanatory power of market models on six different scales are increasing with the expansion of the investment horizon. As a conclusion, the findings show the investment cycle period of 128 days according to the analysis period. Also, these results are in parallel with the findings of Blume in terms of a different technique.
Research Interests:
Cost rigidity defines the characteristics of cost structure which is defined as the proportion of fixed costs to variable costs of firms. When the proportion of fixed costs are higher than the variable costs, then the cost structure is... more
Cost rigidity defines the characteristics of cost structure which is defined as the proportion of fixed costs to variable costs of firms. When the proportion of fixed costs are higher than the variable costs, then the cost structure is defined as a rigid cost structure. The structure of operating costs of Turkish manufacturing firms between years 1995 and 2014 is tested in terms of their “rigidity” in this paper. Moreover, the effect of demand uncertainty, as measured by the standard deviation of net sales, on the cost structure of operating costs is also tested. Findings support that higher levels of demand uncertainty are associated with higher portions of fixed costs in the cost structure (i.e., more rigid cost structure). That result contradicts the common wisdom that firms tend to lower the fixed costs in their cost structure as they are confronted with uncertainty.
Research Interests:
Halka açık olmayan firmalar için öz kaynak maliyeti hesaplanması, uzun yıllardır finans literatüründe gündemde olan bir konudur. Özellikle organize bir piyasada işlem görmeyen firmalar için sistematik risk değişkeninin hesaplanma zorluğu,... more
Halka açık olmayan firmalar için öz kaynak maliyeti hesaplanması, uzun yıllardır finans literatüründe gündemde olan bir konudur. Özellikle organize bir piyasada işlem görmeyen firmalar için sistematik risk değişkeninin hesaplanma zorluğu, konunun odak noktasını oluşturmaktadır. Muhasebe Betası, problemin çözümü için geliştirilmiş bir teknik olmakla birlikte, yapılan çalışmalarda sektörden sektöre, piyasadan piyasaya modellemenin değişiyor olması bu çalışmanın motivasyonunu oluşturmaktadır. Çalışmanın temel amacı, çimento sektöründe farklı ülkelerde faaliyet gösteren halka açık firmaların mali tablo verileri ile sistematik risk göstergesi olan finansal beta katsayıları arasındaki ilişkinin tespit edilmesidir. Bu amaçla, sektörde dünya lideri olan Türkiye ve Diğer Ülkelerde faaliyet gösteren firmaların 2007-2017 yılları arasındaki çeyreklik muhasebe temelli değişkenleri ile hesaplanan finansal beta katsayıları panel veri analizine tabi tutulmuştur. Elde edilen bulgulara göre, aynı sektörde faaliyet gösterseler dahi beta ile ilişkili finansal değişkenler Türkiye ve diğer ülkeler açısından farklılaşabilmektedir. Çalışma sonuçları, teorik beklentilerle açıklanabilmekte ve literatürdeki birçok çalışma ile paralellik arz etmektedir. Aynı sektörün farklı ülke grupları açısından incelenmesi yönünden özgünlük taşımaktadır. - It has been a hot topic for many years in finance literature that to the calculation of the cost of equity for nonpublicly traded companies. The source of the problem that it is hard to estimate the systematic risk coefficient for that kind of firms. Accounting Beta is suggested for the solution of the problem. However, the calculation model could be varying industry to industry or market to market. The main purpose of study that to investigate the relationship between systematic risk and financial statement data for cement firms in terms of different countries. Firms from Turkey and firms from the other manufacturer countries’ financial statements data and financial beta coefficients are used with panel data analysis for the period of 2007Q3 – 2017Q3. The results show that the relationship between financial beta and accounting based data could be differing from the point of countries, though all firms operate in the same sector. The estimation results are parallel with lots of former research and also in accordance with theoretical expectations.
Research Interests:
Kıymetli madenler antik dönemlerden bu yana insan hayatında hem ödeme aracı hem de tasarruf aracı olarak kullanılmaktadır. Modern piyasaların gelişmesi ile beraber, yatırımcılar tarafından portföye dahil edilmesi mümkün bir finansal... more
Kıymetli madenler antik dönemlerden bu yana insan hayatında hem ödeme aracı hem de tasarruf aracı olarak kullanılmaktadır. Modern piyasaların gelişmesi ile beraber, yatırımcılar tarafından portföye dahil edilmesi mümkün bir finansal varlık özelliği kazanmıştır. Tüm finansal varlık piyasalarında olduğu gibi kıymetli madenler piyasası da etkin piyasa hipotezi varsayımlarının muhatabıdır. Finansal piyasaların rassal yürüyüş özelliği sergilediği varsayımını ortaya atan etkin piyasa hipotezine karşılık, uzun zamandır birçok aksi görüş iddia edilmiştir. Bu görüşlerden birisi de fraktal piyasa hipotezidir ve bu hipotez gelecek dönem getirilerinin geçmiş dönem getirilerinden bağımsız olamayacağını ifade etmektedir. Çalışmanın temel amacı, kıymetli madenler piyasasında fraktal yapının varlığını araştırmaktır. Bu amaçla altın, gümüş, platin ve paladyum madenlerinin günlük, haftalık, aylık ve çeyreklik (dönemlik) frekanslarda getirileri kullanılmıştır. Elde edilen bulgular, söz konusu piyasaların fraktal yapıya sahip olabileceğini ve yatırımcının elde tutma süresi uzadıkça, varlığın getirilerinin geçmiş hareketlere (pozitif/negatif yönlü) daha bağımlı hale geldiğini ortaya koymaktadır. - Precious metals have been using not only a payment instrument but also a saving instrument since the antique era by human. Associated with modern markets, they are seen as an investment instrument which could be a part of portfolio by investors. As with all financial markets, the precious metals market is also a subject of efficient market hypothesis assumptions. Although the assumption of the random walk of efficient market hypothesis, there are some counter ideas which claim random walk has not existed in literature. One of these counter ideas is the fractal market hypothesis. The hypothesis claims that the current or future returns cannot be independent of past returns or price fluctuations, so, the financial markets have a long-memory. The main purpose of the study, to investigate the existence of the fractal market hypothesis in the gold, silver, platinum and palladium markets. With that purpose, different return frequencies daily, weekly, monthly and quarterly are used for the various precious metal assets. The results show that the fractal market hypothesis could be valid for the precious metal markets. Moreover, the findings indicate that while the holding period of assets is increasing, the existence of long-memory (positive/negative direction) is more possible.
Research Interests:
Modern portföy teorisinde, portföyde yer alan menkul kıymetler arasındaki ilişkinin yönünün ve derecesinin riskin azaltılması yönünde etkili olduğu belirtilmektedir (Markowitz, 1952). Teoride, birbirleriyle yüksek korelasyon içinde... more
Modern portföy teorisinde, portföyde yer alan menkul kıymetler arasındaki ilişkinin yönünün ve derecesinin riskin azaltılması yönünde etkili olduğu belirtilmektedir (Markowitz, 1952). Teoride, birbirleriyle yüksek korelasyon içinde bulunan menkul kıymetlerin aynı portföyde yer almasından kaçınılmaktadır. Ancak korelasyon katsayısı, iki rassal değişken arasındaki doğrusal ilişkinin yönünü ve gücünü belirtmektedir. Bayes ağlar kullanılarak oluşturulan modeller menkul kıymetler arasındaki olasılıksal ilişkiyi görsel olarak sunabilmekte ve yeni bilgi geldiğinde ağda yer alan menkul kıymet getiri değerleri eşzamanlı olarak güncellenebilmektedir. Çalışmanın amacı, 2011-2016 dönemleri arasında Borsa İstanbul Ulusal-100 (BIST-100) endeksinde kesintisiz faaliyet gösteren hisse senetlerine ait getirilerin birbirleri ile olan ilişkilerini bir makine öğrenmesi olan Bayes ağ modelleri kullanarak araştırmaktır. Çalışmada Bayes ağ modelleri kullanılarak elde edilecek detaylı ilişkiler ile yatırımcıların portföy seçimlerinde kullanabilecekleri nitel ve nicel bilgiler yer almaktadır.
In modern portfolio theory, it is stated that the relationship between the securities in the portfolio is influenced by the direction and degree of risk reduction (Markowitz, 1952). In theory, securities that are highly correlated with each other are avoided from being placed in the same portfolio. However, the correlation coefficient indicates the direction and power of the linear relationship between the two random variables. Models created using Bayesian networks can visually present the probabilistic relationship between securities, and when new information is available, the securities return values in the network can be updated simultaneously. The aim of the study is to investigate the relationships between stocks that have been operating continuously in the Stock Exchange Istanbul National-100 (BIST-100) index between 2011-2016 by using Bayes network models which are machine learning. In the study, detailed relationships to be obtained by using Bayesian network models and qualitative and quantitative information that investors can use in portfolio selection are included.
In modern portfolio theory, it is stated that the relationship between the securities in the portfolio is influenced by the direction and degree of risk reduction (Markowitz, 1952). In theory, securities that are highly correlated with each other are avoided from being placed in the same portfolio. However, the correlation coefficient indicates the direction and power of the linear relationship between the two random variables. Models created using Bayesian networks can visually present the probabilistic relationship between securities, and when new information is available, the securities return values in the network can be updated simultaneously. The aim of the study is to investigate the relationships between stocks that have been operating continuously in the Stock Exchange Istanbul National-100 (BIST-100) index between 2011-2016 by using Bayes network models which are machine learning. In the study, detailed relationships to be obtained by using Bayesian network models and qualitative and quantitative information that investors can use in portfolio selection are included.
Research Interests:
Öz: Çalışmada risk faktörü ölçümünde pratikte yatırım uzmanları ve fon yöneticileri tarafından sıklıkla kullanılan en yüksek düşme noktası (maximum drawdown-MDD) ölçütü kullanılmıştır. Çalışma kapsamında ve S&P500 endeksinde yer alan... more
Öz: Çalışmada risk faktörü ölçümünde pratikte yatırım uzmanları ve fon yöneticileri tarafından sıklıkla kullanılan en yüksek düşme noktası (maximum drawdown-MDD) ölçütü kullanılmıştır. Çalışma kapsamında ve S&P500 endeksinde yer alan paylar ile; Riskli, Düşük Riskli ve Eşit Ağırlıklı portföyler oluşturulmuştur. 2016 yılı için performansı ölçülen portföylerde yer alan her bir payın ağırlığı, beklenen en yüksek düşme noktasına (expected maximum drawdown-EMDD) göre belirlenmiştir. Beklenen en yüksek düşme noktalarının belirlenmesi maksadıyla pay senetlerin 1 Ocak 2010-31 Aralık 2015 tarihleri arasındaki günlük getirilerinden yararlanılmıştır. Çalışma sonucunda BIST100 endeksi için en yüksek getiriyi beklentilerin aksine düşük riskli portföyün sağladığı, S&P500 endeksi için ise çalışmanın ön beklentisine paralel şekilde riskli portföylerin sağladığı tespit edilmiştir. BIST100 endeksi için 2016 yılı sert düşüşlerin yaşandığı bir yıl olarak görüldüğünde, düşük riskli portföylerin daha yüksek getiri sağlamasının beklentilerle uyuştuğunu söylemek mümkündür. Son olarak ilgili endekslerde yer alan pay senetlerinden oluşturulan düşük riskli portföylerin Sharpe (1666), Treynor (1665) performans ölçütlerine göre daha iyi performans sergilediği belirlenmiştir. 2016 yılı için her iki endeks paylarından oluşturulan portföylerin performans sonuçlarına bakıldığında düşük riski tercih eden yatırımcıların öngörülerinin gerçekleştiğini belirtmek mümkündür.
Abstract: In the study, the maximum drawdown criterion frequently used by investment specialists and fund managers in the practice of risk factor measurement was carried out. Within the scope of the study, Risky, Non-Risky and Equally Weighted portfolios have been established with the stocks listed on BIST100 and S&P500 indexes. The weight of each stock in the portfolios whose performance was measured for the year 2016 was arranged according to the expected maximum drawdown. With the aim of determining the highest expected drop points, daily returns of associated stocks between January 1, 2010, and December 31, 2015, were utilized. As a result of the study, it was confirmed that for the BIST100 index, the non-risky portfolio provides the highest return as opposed to expectations, while for the S&P500 index, risky portfolios provide the highest return in parallel with the expectation. When we look at 2016 as a year when sharp declines were experienced for the BIST100 index, it is possible to say that the non-risky portfolios yield higher returns correspond with the expectations. Finally, it has been determined that non-risky portfolios created from stocks in related indices performed better than other portfolios according to Sharpe (1666) and Treynor (1665) performance indexes. When examining the performance outputs of portfolios formed by both indexes for 2016, it is possible to say that the predictions of investors who prefer low risk have been realized.
Abstract: In the study, the maximum drawdown criterion frequently used by investment specialists and fund managers in the practice of risk factor measurement was carried out. Within the scope of the study, Risky, Non-Risky and Equally Weighted portfolios have been established with the stocks listed on BIST100 and S&P500 indexes. The weight of each stock in the portfolios whose performance was measured for the year 2016 was arranged according to the expected maximum drawdown. With the aim of determining the highest expected drop points, daily returns of associated stocks between January 1, 2010, and December 31, 2015, were utilized. As a result of the study, it was confirmed that for the BIST100 index, the non-risky portfolio provides the highest return as opposed to expectations, while for the S&P500 index, risky portfolios provide the highest return in parallel with the expectation. When we look at 2016 as a year when sharp declines were experienced for the BIST100 index, it is possible to say that the non-risky portfolios yield higher returns correspond with the expectations. Finally, it has been determined that non-risky portfolios created from stocks in related indices performed better than other portfolios according to Sharpe (1666) and Treynor (1665) performance indexes. When examining the performance outputs of portfolios formed by both indexes for 2016, it is possible to say that the predictions of investors who prefer low risk have been realized.
Research Interests:
This paper seeks to investigate the effect of financial development on growth in OECD countries during 1999–2014. The aim of the analysis is to study the dependence of growth on given financial development indicators along quantiles of... more
This paper seeks to investigate the effect of financial development on growth in OECD countries during 1999–2014. The aim of the analysis is to study the dependence of growth on given financial development indicators along quantiles of the conditional growth distribution, taking into account the effect played by each country over time. For the purpose of the empirical analysis, it performed the instrumental variable quantile regression panel data (IV-QRPD) model suggested by Powell (2016). The findings of IV-QRPD model indicated that the effect of finance on growth is changing along quantiles of the conditional growth distribution. That is to say, we provide some evidence that high-growth OECD countries react to the changes in financial development less than low-growth countries.
Research Interests:
The individual pension funds not only complementary to public pension systems but also an important tool in order to meet the long-term funding needs of economies. Although not having a long history, the individual pension fund system,... more
The individual pension funds not only complementary to public pension systems but also an important tool in order to meet the long-term funding needs of economies. Although not having a long history, the individual pension fund system, which has been practiced in various countries around the world for many years, has become one of the important elements of the economy in Turkey since October 27, 2003. The individual pension fund system is managed by private insurance companies and monitored by government authorities in Turkey. Therefore, these funds must be well managed and their performances should be closely monitored by either investors or governments in terms of contribution to economic progress.
In this paper, the performance ratios of each individual pension funds and the pension fund companies’ performances were analyzed for the 2010-2016 period. Due to the new individual pension funds are comprised of different research periods, we created 4 different research sample windows (2010-2016; 2011-2016; 2012-2016; 2013-2016), in order to understand the performance of the pension fund companies. In the analyses, Sharpe, Sortino ratios, Treynor, Jensen indexes, and M2 performance measure are calculated for each individual pension fund based on research sample windows. In order to comprehend performances of the companies, the performance ratios of funds are clustered into two groups as positive and negative, and then the averages of both clusters are calculated for 11 different private pension fund companies. Within the scope of this study, 146 individual pension funds held by 11 pension fund companies were used and the pension funds daily return data gathered from The Capital Markets Board’s database. The daily risk-free rate and market return data obtained from Bloomberg data terminal.
The conclusion of the study reveals that all techniques illustrate similar results according to averaged positive and averaged negative performance ratios for each research sample window. The results of positive averages show that AVIVA and VAKIF outperformed other companies.
In this paper, the performance ratios of each individual pension funds and the pension fund companies’ performances were analyzed for the 2010-2016 period. Due to the new individual pension funds are comprised of different research periods, we created 4 different research sample windows (2010-2016; 2011-2016; 2012-2016; 2013-2016), in order to understand the performance of the pension fund companies. In the analyses, Sharpe, Sortino ratios, Treynor, Jensen indexes, and M2 performance measure are calculated for each individual pension fund based on research sample windows. In order to comprehend performances of the companies, the performance ratios of funds are clustered into two groups as positive and negative, and then the averages of both clusters are calculated for 11 different private pension fund companies. Within the scope of this study, 146 individual pension funds held by 11 pension fund companies were used and the pension funds daily return data gathered from The Capital Markets Board’s database. The daily risk-free rate and market return data obtained from Bloomberg data terminal.
The conclusion of the study reveals that all techniques illustrate similar results according to averaged positive and averaged negative performance ratios for each research sample window. The results of positive averages show that AVIVA and VAKIF outperformed other companies.
Research Interests:
Energy consumption and economic growth relationship is an important topic for global economy. Most of researchers investigated this relationship with different methods on different macroeconomic data. These methods are including not only... more
Energy consumption and economic growth relationship is an important topic for global economy. Most of researchers investigated this relationship with different methods on different macroeconomic data. These methods are including not only time-series econometrics but also panel data analysis. Moreover, they analyzed different countries or country groups classified by OECD, World Bank or any other economic organizations. The aim of study is the relationship between energy consumption and economic growth with panel quantile regression method on VISTA countries (Vietnam, Indonesia, South Africa, Turkey and Argentina). Estimations are made annually for 1985 – 2013 period. Dependent variable is GDP per capita growth and independent variables are logarithmic energy consumption indicators which are Oil Consumption, Coal Consumption, Hydroelectricity Consumption and Primary Energy Consumption. Results show that the effects of logarithmic energy consumption variables are changing on economic growth for different quantiles (τ = 0.25; 0.50; 0.75; 0.90). In conclusion, effect of oil consumption on economic growth is falling at high quantiles of GDP growth. In contrast, effect of hydroelectricity consumption and primary energy consumption on economic growth is rising at high quantiles. But, there is not a statistical significant effect of coal consumption on economic growth at any quantile.
Research Interests:
Günümüzde hızlı ve kolay sağlanan bilginin güvenilirliği ile birlikte kolay anlaşılır olması da her zaman tartışma konusu olmaktadır. Bilginin güvenilir olması garanti altına alınsa da, farklı ülkelerin farklı finansal sistemlere sahip... more
Günümüzde hızlı ve kolay sağlanan bilginin güvenilirliği ile birlikte kolay anlaşılır olması da her zaman tartışma konusu olmaktadır. Bilginin güvenilir olması garanti altına alınsa da, farklı ülkelerin farklı finansal sistemlere sahip olması anlaşılırlık konusunda sorunlar oluşturabilmektedir. 2001 yılında kurulmuş olan Uluslararası Muhasebe Standartları Kurulu (IASB) dünya ülkelerini aynı muhasebe ve finansal raporlama standartlarına bütünleştirerek, ekonomik sınırların ortadan kaktığı finansal piyasalar oluşturmayı hedeflemektedir. Bu hedef doğrultusunda 2005 yılından itibaren Türkiye'de, halka açık şirketlerde, Türkiye Muhasebe Standartları (TMS) / Türkiye Finansal Raporlama Standartları (TFRS) adları altında uluslararası standartların çevirileri kullanılmaktadır. Bu çalışmanın amacı, Türkiye'de TMS/TFRS uygulamalarının halka açık şirketlerin piyasa değerleri üzerindeki açıklama gücünü yerel mevzuat ile karşılaştırarak analiz etmektir. 2000-2004 ve 2005-2009 dönemlerinde Borsa İstanbul'da faaliyet gösteren 225 firmanın dahil edildiği çalışmada, panel veri analizi kullanılmıştır. Sonuç olarak, TMS/TFRS uygulamalarına göre hazırlanan mali tabloların yatırımcılar tarafından daha güvenilir kabul edildiği ve 2005 yılı sonrasında, öncesine göre fiyatlamayı daha yüksek ölçüde açıkladığı sonucuna ulaşılmıştır.
Research Interests:
In finance theory, Market model has been a major issue for decades. Especially, it is used by most of the researchers to estimate financial beta coefficient. It is obvious that there are some weaknesses to use Ordinary Least Squares (OLS)... more
In finance theory, Market model has been a major issue for decades. Especially, it is used by most of the researchers to estimate financial beta coefficient. It is obvious that there are some weaknesses to use Ordinary Least Squares (OLS) for estimation of the market model. The coefficients estimated by OLS explain only for mid-point of distribution and the OLS estimator does not consider extreme values. Therefore, Quantile Regression technique provides considering outliers and a detailed report while estimating the market model. The aim of the study is investigating the differences of financial beta coefficients on different quantiles via panel quantile regression technique. For this purpose, daily stock returns which traded in Borsa Istanbul and New York Stock Exchange are used for 2011-2015 period. Findings show that financial beta coefficients change for different points of stock returns for both markets. It is clear that investors which regard differences of the financial beta coefficient on different quantiles prevent the possible strategic mistakes and losses. Besides, findings contain some important evidences about investor behaviors.
Research Interests:
According to investors, interest rate and stock markets investments are substitutions and it is expected that they have negative correlation in economics theory. Benchmark Index is a type of sovereign bond interest rate which has 5-year... more
According to investors, interest rate and stock
markets investments are substitutions and it is
expected that they have negative correlation in
economics theory. Benchmark Index is a type of
sovereign bond interest rate which has 5-year
coupon rate in Turkey. It is accepted as a proxy of
market interest rate, since it is trading on secondary
markets, very often. The aim of the study is to
investigate the relationship between Benchmark
Index and Borsa Istanbul indices which are XU100,
XU30, XUTUM, XUMAL and XBANK for different
parts of the indices’ conditional distribution by
using simultaneous quantile regression technique.
Findings indicate that the negative effect of
benchmark index on Borsa Istanbul indices have
different influence for high and low quantiles. The
power of effect is stronger on XUMAL and XBANK
indices than the others. Moreover, each index
reacts differently to an economic shock on interest
rate. Therefore, it is suggested that investors
should revise their investment strategies in periods
which the indices are low or high while they are
managing their funds according to benchmark
index predictions.
markets investments are substitutions and it is
expected that they have negative correlation in
economics theory. Benchmark Index is a type of
sovereign bond interest rate which has 5-year
coupon rate in Turkey. It is accepted as a proxy of
market interest rate, since it is trading on secondary
markets, very often. The aim of the study is to
investigate the relationship between Benchmark
Index and Borsa Istanbul indices which are XU100,
XU30, XUTUM, XUMAL and XBANK for different
parts of the indices’ conditional distribution by
using simultaneous quantile regression technique.
Findings indicate that the negative effect of
benchmark index on Borsa Istanbul indices have
different influence for high and low quantiles. The
power of effect is stronger on XUMAL and XBANK
indices than the others. Moreover, each index
reacts differently to an economic shock on interest
rate. Therefore, it is suggested that investors
should revise their investment strategies in periods
which the indices are low or high while they are
managing their funds according to benchmark
index predictions.
Research Interests:
This paper analyses the effect of financial ratios on stock returns using quantile regression for dynamic panel data with fixed effects. Eighty three firms of manufacturing industry, which were traded on the Borsa Istanbul for 2000-2014... more
This paper analyses the effect of financial ratios on stock returns using quantile regression for dynamic panel data with fixed effects. Eighty three firms of manufacturing industry, which were traded on the Borsa Istanbul for 2000-2014 period, are covered in the study. The most of financial variables have heterogeneous structure so they generally include extreme values. Thus, panel quantile regression technique, suggested by Koenker (2004), is used. Since the technique yields robust estimator in the case of extreme values the Gaussian estimators will be biased and not efficient. The sensitivity of relationship, on the other hand, can be studied for different parts of the stock returns' conditional distribution by using quantile regression technique. However, because of that the lagged of dependent variable is used as an explanatory variable in dynamic panel models, fixed effect estimators will be biased. Thereby, in this study the instrumental variable approach suggested by Chernozhukov and Hansen (2006) is used to produce unbiased and consistent estimators. The results show that the stock returns respond to the changes on the financial leverage ratio, the dividend yield, the market-to-book value ratio, financial beta and the total active profitability variables differently for the different parts of the stock returns' conditional distribution. They also indicate that, at high quantiles, return fluctuations in the current period will be more effective for investors' transaction attitudes on stocks for the next period.
Research Interests:
In today’s highly integrated world economy, countries can’t be neutral in front of global shocks most of the time by just maintaining their economies strong. The problems in the financial arena rapidly affect the countries’ economies and... more
In today’s highly integrated world economy, countries can’t be neutral in front of global shocks most of
the time by just maintaining their economies strong. The problems in the financial arena rapidly affect the countries’ economies and the capital markets by the contagiousness effect in a short time. In this article the
effect of 2008 global economic crisis to the portfolio which consist of shares listed in Borsa İstanbul (BİST)
and which is being traded in the banking sector is going to be analyzed. The performance of shares derived
from daily return rates beginning from 2005 until 2009 and optimized by Markowitz model which is based
on average variance is tested by Sharpe and Jensen Performance Ratio and as a result the shares analyzed in
this study are seen to have low performance but valued over the market price level during the crisis period.
the time by just maintaining their economies strong. The problems in the financial arena rapidly affect the countries’ economies and the capital markets by the contagiousness effect in a short time. In this article the
effect of 2008 global economic crisis to the portfolio which consist of shares listed in Borsa İstanbul (BİST)
and which is being traded in the banking sector is going to be analyzed. The performance of shares derived
from daily return rates beginning from 2005 until 2009 and optimized by Markowitz model which is based
on average variance is tested by Sharpe and Jensen Performance Ratio and as a result the shares analyzed in
this study are seen to have low performance but valued over the market price level during the crisis period.
Research Interests:
Heritage Foundation which is a research institute is published “Economic Freedom Index” with Wall Street Journal every year. The countries which joined United Nations are listed in the index and the first place of index is meant that... more
Heritage Foundation which is a research institute is published “Economic Freedom Index” with Wall Street Journal every year. The countries which joined United Nations are listed in the index and the first place of index is meant that country has high level of sustainable growth and economic welfare. In this paper, we classified OECD countries according to 2011 economic freedom index variables with cluster analysis which are K-Means and Wards. In conclusion, OECD countries has been classified to three clusters according to economic freedom and development level.
Research Interests:
In accordance with the growing interaction between today’s economies, the importance of the commodity markets for the operation of the world economy has increased day by day. For that reason, commodity prices affect various macroeconomic... more
In accordance with the growing interaction between today’s economies, the importance of the commodity markets for the operation of the world economy has increased day by day. For that reason, commodity prices affect various macroeconomic variables and become a substantial instrument, especially for OECD countries, in recent years. In this study, the relationship between the gross growth rate of OECD countries and World Bank commodity price indexes is investigated by using Granger causality test. The results of the analysis show a bilateral relation between the growth rate and iENERGY, iAGRICULTURE, iFOOD, iOTHERRAWMAT, iMETMIN, iMETMIN_DV105 and iPRECIOUSMET indexes and a unilateral relation between the growth rate and iFATS_OILS, iGRAINS, iRAW_MATERIAL and iFERTILIZERS indexes. There is no evidence of the relation
between the growth rate and . iBEVERAGES and iOTHERFOOD indexes.
between the growth rate and . iBEVERAGES and iOTHERFOOD indexes.
Research Interests:
Value at Risk (VaR) is a common statistical method that has been used recently to measure market risk. In other word, it is a risk measure which can predict the maximum loss over the portfolio at a certain level of confidence. Value at... more
Value at Risk (VaR) is a common statistical method that has been used recently to measure market risk. In other word, it is a risk measure which can predict the maximum loss over the portfolio at a certain level of confidence. Value at risk, in general, is used by the banks during the calculation process to determine the minimum capital amount against market risks. Furthermore, it can also be exploited to calculate the maximum loss at investment portfolios designated for stock markets. The purpose of this study is to compare the VaR and Markowitz efficient frontier approach in terms of portfolio risks. Along with this angle, we have calculated the optimal portfolio by Portfolio Optimization method based on average variance calculated from the daily closing prices of the ninety-one stocks traded under the Ulusal-100 index of the Istanbul Stock Exchange in 2011. Then, for each of designated portfolios, Monte-Carlo Simulation Method was run for thousand times to calculate the VaR. Finally, we concluded that there is a parallel relationship between the calculated optimum portfolio risks and VaR values of the portfolios.
Research Interests:
Dividend policy decisions which are major determinant of firm capital structure can affect the financial structure of the company. Capital gains and dividend payments are two types of return for investors in capital market. The... more
Dividend policy decisions which are major determinant of firm capital structure can affect the financial structure of the company. Capital gains and dividend payments are two types of return for investors in capital market. The shareholders have the right to claim dividend payments over a firm’s profit. On the other hand, in terms of financing decisions dividend policy can be considered as cost of capital for a firm. Hence, dividend policy is major issue for both investors and companies. The purpose of this study is to analyze the affect of economic crisis over dividend policy in Istanbul Stock Exchange (ISE). The analyses consist of two steps. The first step involves the estimation of payout ratio and speed of adjustment coefficient defined in Lintner’s model (1956); and the second step investigates the structural breaks on market’s dividend policy via Chow Test. The results show that there is not a stable dividend payout ratio over the period 1986-2010. Furthermore, economic crisis during 1998–2001 period resulted a major structural change on dividend policy in BIST.
Research Interests:
Tax Shield is a tax reduction advantage that firm’s debt interest expenses can deduct from the corporate tax. Value of Tax Shield is present value of the firm’s tax reduction advantages by years. There are lots of arguments in literature... more
Tax Shield is a tax reduction advantage that firm’s debt interest expenses can deduct from the corporate tax. Value of Tax Shield is present value of the firm’s tax reduction advantages by years. There are lots of arguments in literature about value of tax shield calculating but there is not a certain formula for calculating value of tax shield. However, common thread to all arguments is constant corporate real growth rate. In this paper, we analyze relationship between value of tax shield and corporate real growth rate with sensitivity analysis on four sample firm which are active in BIST-100 based on the stone and ground industry. In conclusion, the value of the tax shield became maximum when the real growth rate became a constant near the firm’s cost of equity.
Research Interests:
Severance pay became a main discussion issue in 1936 in Turkish Labor Law literature. Since that year, severance pay has been a conflict between employees and employers. In 1975, fund term became a main discussion issue in Turkey with the... more
Severance pay became a main discussion issue in 1936 in Turkish Labor Law literature. Since that year, severance pay has been a conflict between employees and employers. In 1975, fund term became a main discussion issue in Turkey with the Turkish Labor Law no.1927. Severance Payment Fund has become A Legislation Draft in 2002. In the literature, there exists no study involving the impact of severance pay over the financial accounting. This study aims to determine premium rate of severance payment and to illustrate the accounting records in the framework of Legislation draft and Generally Accepted Accounting Principals. The premium rate of severance payment was estimated by using Ordinary Least Square (OLS) method with several scenarios. The results show that the appropriate rate for both sides (employees and employers) is the rate around 6%.
Research Interests:
The balance of payments is summary table of a country’s international trade with other countries. It has four main parts that are current account, capital account, net errors and omissions and reserve assets. Basically the current account... more
The balance of payments is summary table of a country’s international trade with other countries. It has four main parts that are current account, capital account, net errors and omissions and reserve assets. Basically the current account is consider as a country’s international trade because it contains import and export data. In this paper, current account data of Turkish balance of payments is regressed with inflation, exchange rate and gross domestic product (GDP) for 1998M01-2010M12 period. When crises are analyzed during this period, findings of chow test and dummy variable approach show that the crises cause structural breaks on the model. When the effects of crises are taken into account, robust estimation results have been obtained.
Research Interests:
In terms of securities, portfolio is a pool composed of at least two securities to reduce risk and to obtain the highest return on the anticipated risk. Investors intend to compose the optimal portfolio mix with the least risk level that... more
In terms of securities, portfolio is a pool composed of at least two securities to reduce risk and to obtain the highest return on the anticipated risk. Investors intend to compose the optimal portfolio mix with the least risk level that is maximizing their expected returns. The preferred constraints set up within framework of expected returns have organic importance in the composition of security mix. Both individual approaches and decisions arising from the economic indicators can be efective as preference constraints during the portfolio selection. Within the framework of all these expected return, risk and constraints, the formation of the most appropriate security mix is called portfolio optimization. In our study, several portfolios composed of stocks listed in BIST-30 index were constructed. According to the Markowitz’s portfolio optimization method based on average variance, to measure the trading volume’s efect on the construction of the optimum portfolio, the trading volume was included among the preference constraints. The resulting analysis presented that the trading volume is one of the constraints that can afect the selection of investors.
Research Interests:
In the finance literature, the intersection of investment decisions and environmental, social, and governance (ESG) considerations is of importance. This paper explores the aggregate value assessment of green stocks listed on the Borsa... more
In the finance literature, the intersection of investment decisions and environmental, social, and governance (ESG) considerations is of importance. This paper explores the aggregate value assessment of green stocks listed on the Borsa Istanbul Sustainability Index over brown stocks that are not listed, employing the Total Efficiency Loss (TEL) model. As investors increasingly prioritize sustainability, understanding the performance dynamics of ESG-sensitive portfolios becomes imperative. The study covers the data of the Borsa Istanbul Sustainability and the BIST100 Index between 2014 and 2023. Our findings indicate a consistent outperformance of green portfolios over brown portfolios, except for the years 2016 and 2022, suggesting that external factors may influence investor preferences during periods of economic and political instability. The research contributes to the literature on sustainable finance by providing insights into the relative performance of green portfolios and emphasizing the positive association between ESG considerations and financial outcomes.
Research Interests:
Finansal açıdan risk, beklenen getirinin gerçekleşen getiriden sapma olasılığı olarak tanımlanırken; bankacılık açısından ise, bankanın yatırımlarının zarara uğrama olasılığını ifade etmektedir. Stres testi, faiz oranlarının aniden... more
Finansal açıdan risk, beklenen getirinin gerçekleşen getiriden sapma olasılığı olarak tanımlanırken; bankacılık açısından ise, bankanın yatırımlarının zarara uğrama olasılığını ifade etmektedir. Stres testi, faiz oranlarının aniden artması, devalüasyon, likidite krizi, politik kriz gibi olağanüstü piyasa ortamlarında oluşabilecek olası kayıpların tahmini için tasarlanan yöntemleri nitelendirmektedir. Bu yöntemler, herhangi bir finansal kuruluşun ya da finansal sistemin maruz kaldığı şoklar ve olağanüstü piyasa koşulları altında, kırılganlığının değerlendirilmesinde sıklıkla kullanılmaktadır. Bankacılık sektöründe Basel III kriterleri çerçevesinde, 2009 yılında stres testi uygulamalarını içeren ilkeler yayımlanmıştır. Bu ilkeler çerçevesinde, stres testinin hem bankalar için risk yönetiminin kritik bir unsuru hem de bankacılık denetçileri ve makro otoriteler için temel bir araç olduğunu yansıtacak şekilde güncellemeler getirilmiştir. Dolayısıyla, bankacılık sektöründe stres testleri zorunlu hale gelmiştir. Finans literatüründe stres testleri için farklı yöntemler uygulanabilmektedir. CAMELS analizi, kredi portföy yaklaşımı, VAR yöntemi, senaryo analizi veya Monte Carlo simülasyonu kullanılarak stres testleri gerçekleştirilebilmektedir. Yöntemler içerisinde uygulanması en zor fakat en başarılı performansa sahip olanı Monte Carlo simülasyonu metodudur. Monte Carlo simülasyonu, finansal araştırmalarda yüksek sayıda senaryoyu modelleyebilmek için kullanılabilmektedir. Ancak Monte Carlo simülasyonunun uygulanması, konunun özeline ve araştırma kurgusuna göre farklılıklar göstermektedir. Aynı durum bankacılık sektöründe stres testi uygulaması için de geçerlidir.
Bu çalışmanın amacı, Türkiye ve ABD bankacılık sektöründe stres testi uygulaması yapmak ve iki farklı ülke dinamikleri çerçevesinde yorumlamaktır. Bu amaç doğrultusunda, takipteki kredileri etkileyebilecek makroekonomik göstergelerin tespit edilmesi ve makroekonomik göstergelerde meydana gelebilecek bir şok durumunda takipteki krediler üzerindeki etkilerinin gözlenmesi planlanmaktadır. Analizlerde, zaman serisi modelleri ve Monte Carlo simülasyonu kullanılmaktadır. Stres testi literatürü çerçevesinde modellerde bağımlı değişken olarak, takipteki kredi oranı tercih edilirken; açıklayıcı değişkenler olarak ise döviz kuru/dolar endeksi, gayri safi yurt içi hasıla, işsizlik oranı, enflasyon, faiz oranı ve para arzı belirlenmiştir. Türk bankacılık sektörü veri seti olarak, Borsa İstanbul’da işlem gören 9 adet ticari bankanın 2012/Q1-2023/Q4 dönemlerine ait 48 gözlemden oluşan çeyreklik verileri kullanılmıştır. ABD’de bankacılık endeksinde Türkiye’ye kıyasla çok daha fazla sayıda bankanın mevcut olduğu tespit edilmiştir. Tüm ABD bankalarının analizlerde kullanılması, Türk bankacılık sektörü ile kıyas yapılamasını olanaksız kılması sebebiyle bir eleme yöntemi kullanılmıştır. ABD bankacılık sektöründe, verisine ulaşılabilen bankalardan sadece 16 tanesinin verisinin kullanılmasına karar verilmiştir. Söz konusu 16 banka, Türk bankacılık sektörü veri setinde yer alan bankaların aktif büyüklüklerine göre eşleştirme yapılarak belirlenmiş ve aynı dönem aralığında çeyreklik veri seti oluşturulmuştur. Analiz bulgularına göre, Türk ve ABD bankacılık sektörlerinde stres tepkileri arasında önemli farklılıklar olduğu gözlenmiştir. Sonuçlar genel olarak değerlendirildiğinde, Türk bankaları ABD bankalarına kıyasla herhangi bir makroekonomik şoka çok daha fazla tepki vermektedir. Tüm makroekonomik değişkenlere aynı anda şok verildiğinde, Türk bankalarında takipteki kredi oranında 15 kata kadar artış gözlenebilirken; ABD bankalarında bu artışın üç kat ile sınırlı kaldığı gözlenmiştir. Aktif büyüklüklerine göre eşleştirilen Türk ve ABD bankaları açısından elde edilen bulgular, olağanüstü piyasa koşulları altında başarılı performans için bankaların bulunmaları gereken pozisyonlarla ilgili önemli çıktılar sağlamaktadır.
Bu çalışmanın amacı, Türkiye ve ABD bankacılık sektöründe stres testi uygulaması yapmak ve iki farklı ülke dinamikleri çerçevesinde yorumlamaktır. Bu amaç doğrultusunda, takipteki kredileri etkileyebilecek makroekonomik göstergelerin tespit edilmesi ve makroekonomik göstergelerde meydana gelebilecek bir şok durumunda takipteki krediler üzerindeki etkilerinin gözlenmesi planlanmaktadır. Analizlerde, zaman serisi modelleri ve Monte Carlo simülasyonu kullanılmaktadır. Stres testi literatürü çerçevesinde modellerde bağımlı değişken olarak, takipteki kredi oranı tercih edilirken; açıklayıcı değişkenler olarak ise döviz kuru/dolar endeksi, gayri safi yurt içi hasıla, işsizlik oranı, enflasyon, faiz oranı ve para arzı belirlenmiştir. Türk bankacılık sektörü veri seti olarak, Borsa İstanbul’da işlem gören 9 adet ticari bankanın 2012/Q1-2023/Q4 dönemlerine ait 48 gözlemden oluşan çeyreklik verileri kullanılmıştır. ABD’de bankacılık endeksinde Türkiye’ye kıyasla çok daha fazla sayıda bankanın mevcut olduğu tespit edilmiştir. Tüm ABD bankalarının analizlerde kullanılması, Türk bankacılık sektörü ile kıyas yapılamasını olanaksız kılması sebebiyle bir eleme yöntemi kullanılmıştır. ABD bankacılık sektöründe, verisine ulaşılabilen bankalardan sadece 16 tanesinin verisinin kullanılmasına karar verilmiştir. Söz konusu 16 banka, Türk bankacılık sektörü veri setinde yer alan bankaların aktif büyüklüklerine göre eşleştirme yapılarak belirlenmiş ve aynı dönem aralığında çeyreklik veri seti oluşturulmuştur. Analiz bulgularına göre, Türk ve ABD bankacılık sektörlerinde stres tepkileri arasında önemli farklılıklar olduğu gözlenmiştir. Sonuçlar genel olarak değerlendirildiğinde, Türk bankaları ABD bankalarına kıyasla herhangi bir makroekonomik şoka çok daha fazla tepki vermektedir. Tüm makroekonomik değişkenlere aynı anda şok verildiğinde, Türk bankalarında takipteki kredi oranında 15 kata kadar artış gözlenebilirken; ABD bankalarında bu artışın üç kat ile sınırlı kaldığı gözlenmiştir. Aktif büyüklüklerine göre eşleştirilen Türk ve ABD bankaları açısından elde edilen bulgular, olağanüstü piyasa koşulları altında başarılı performans için bankaların bulunmaları gereken pozisyonlarla ilgili önemli çıktılar sağlamaktadır.
Research Interests:
Uluslararası piyasalarda binlerce farklı emtia işlem görmektedir, ancak bu varlıkların bir kısmı stratejik önem taşımaktadır. Altın, gümüş, platin ve paladyum gibi değerli metallerin yanında; Brent petrol ve doğal gaz gibi enerji... more
Uluslararası piyasalarda binlerce farklı emtia işlem görmektedir, ancak bu varlıkların bir kısmı stratejik önem taşımaktadır. Altın, gümüş, platin ve paladyum gibi değerli metallerin yanında; Brent petrol ve doğal gaz gibi enerji emtiaları endüstri ve finans piyasalarında sıklıkla ticaret konusu olmaktadır. Her iki emtia grubunun arasında son yıllarda özellikle sürdürebilirlik kavramı çerçevesinde artan önemi sebebiyle, yayılım etkisinin incelenmesi ihtiyacı oluşmuştur. Bu ihtiyaç doğrultusunda, iki aşamalı bir analiz kurgusu oluşturulmuştur. Öncelikle, Wavelet uyum analizi ile zaman-frekans uzayında getiri serilerinin birlikte hareket ettiği ya da etkileşim içinde olduğu tüm bölgelerin belirlenmiştir. Wavelet uyum analizi, iki farklı zaman serisinin kriz ve politika değişimi gibi dönemlerde bulaşıcılık ve/veya karşılıklı bağımlılık durumlarının tespiti için herhangi bir varsayım kullanmadan inceleme imkânı sunan bir ileri zaman serisi tekniğidir. Sonrasında ise, Wavelet analizinde ilişki tespit edilen yatırım döngülerine dinamik koşullu korelasyon yaklaşımı uygulanarak kısa ve uzun dönem koşullu korelasyon ve volatilite kalıcılığına kanıt üretilmesi amaçlanmıştır. Analizde kullanılacak veri seti için mümkün olan en uzun günlük gözlem dönemi aranmış ve 2 Ekim 2012 – 4 Haziran 2024 günlük getiri periyodu tercih edilmiştir. Wavelet uyum analizi bulgularına göre, Brent petrol getirilerinden altın, gümüş ve platin getirilerine doğru uzun dönemli ve çoğunlukla pozitif; paladyum getirisinden doğal gaz getirilerine doğru uzun dönemli karşılıklı bağımlılık etkisi tespit edilmiştir. Belirlenen uzun dönemli yatırım döngüleri için uygulanan dinamik koşullu korelasyon analizlerinde ise, her bir yatırım döngüsü için koşullu korelasyon ve volatilite kalıcılığı bulgularına ulaşılmıştır. İki aşamalı analizler sonucunda, Brent petrol ile altın, gümüş ve platin getirileri arasında çoğunlukla finansal piyasa kaynaklı uzun dönemli bağımlılığın yanında korelasyon ve volatilite yayılımı düşüncesi güçlenmiştir. Paladyum ile doğal gaz getirileri arasındaki uzun dönemli bağımlılık, korelasyon ve volatilite yayılımı ilişkinin ise çoğunlukla endüstriyel üretim, arz ve talep kaynaklı olduğu düşüncesi güçlenmiştir. Elde edilen bulgular, özellikle uzun vadeli yatırım ufkuna sahip yatırımcılar için önem arz etmektedir. Portföylerine enerji ve kıymetli metal varlıklarını dahil etmek isteyen yatırımcıların, uzun vadeli yatırım ufkunda ilgili varlıklar arasındaki bağımlılık ve yayılım etkileri açsından ilişki yönünü dikkate almasın faydalı olacağı kanaatine ulaşılmıştır.
Research Interests:
Finansal piyasalarda her zaman çözülmeyi bekleyen belirsizlik problemi, piyasaların olağanüstü olaylarla karşılaşması durumunda riskin beklenenden yüksek olmasına sebep olmaktadır. Yatırımcılar, belirsizlik ortamında risk algılarına göre... more
Finansal piyasalarda her zaman çözülmeyi bekleyen belirsizlik problemi, piyasaların olağanüstü olaylarla karşılaşması durumunda riskin beklenenden yüksek olmasına sebep olmaktadır. Yatırımcılar, belirsizlik ortamında risk algılarına göre yatırım yönetimi için yarım yüzyıldan uzun bir süredir Markowitz (1952) tarafından önerilen ortalama-varyans yöntemini kullanmaktadır. Ancak yöntem kullanımda olduğu süre boyunca önemli eleştirilerle karşılaşmıştır. Bu eleştirilerden en dikkat çekeni de konsantrasyon problemidir. Bir optimizasyon metodu olan bu yöntem, yatırım setindeki sınırlı sayıda varlığa yatırım yapılmasını önermektedir. Bu öneri olağanüstü piyasa koşullarında ciddi kayıplara neden olabilmektedir. Sorunun çözümü için De Prado 2016 yılında bir makine öğrenmesi metodu olan “Hiyerarşik Risk Paritesi”ni önermiştir. Yöntem konsantrasyon problemi için başarı sağlamasına rağmen, faklı piyasa koşullarında ortalama-varyans metoduna karşı sınırlı başarı elde edebilmiştir. Bu çalışma Hiyerarşik Risk Paritesi yöntemini, fraktal piyasa hipotezi çerçevesinde, hibrit makine öğrenmesi mantığı ile geliştirmekte ve FRAKTAL-HRP yöntemini önermektedir. Önerilen yöntemin başarısını test etmek amacıyla çalışmada, Frankfurt Borsası’nda uygulama gerçekleştirilmiştir. Elde edilen bulgulara göre FRAKTAL-HRP, minimum varyans portföyüne göre 172 günlük yatırım döngülerinde üstün performans sergilemektedir. Bulgular, yöntemin yatırımcıların kullanımına sunulabileceğini ve olağanüstü piyasa koşullarında konsantrasyon problemini çözebileceğini işaret etmektedir.
Research Interests:
Portföy optimizasyonu yarım yüzyılı aşkın süredir birçok araştırmacının ve yatırımcının test ettiği ve kullandığı bir teoridir. Ancak konu üzerine yapılan bazı çalışmalarda teoriye bir takım eleştiriler de getirilmektedir. Bu... more
Portföy optimizasyonu yarım yüzyılı aşkın süredir birçok araştırmacının ve yatırımcının test ettiği ve kullandığı bir teoridir. Ancak konu üzerine yapılan bazı çalışmalarda teoriye bir takım eleştiriler de getirilmektedir. Bu eleştirilerden bir tanesi de konsantrasyon problemidir. Temelinde çeşitlendirme olan bir teori ile elde edilen optimum portföylerin yatırım olanakları kümesindeki az sayıda varlığa yatırım yapılmasını önermesi önemli bir eleştiri noktasını oluşturmaktadır. Bu problemin çözümü üzerinde çalışan araştırmacılardan birisi olan Prado (2016; 2018), geliştirdiği Hiyerarşik Risk Paritesi (HRP) metodu ile makine öğrenmesi kullanılarak portföy optimizasyonu yapılabileceğini ifade etmektedir. Bu çalışmanın amacı HRP metodu kullanılarak BIST, FTSE ve DAX piyasalarında Temmuz 2005-Haziran 2017 aralığında makine öğrenmesi algoritmalarının portföy performanslarını incelemektir. Analizler sonucunda, HRP metodunun BIST, FTSE piyasalarında başarılı olmamasına rağmen DAX piyasalarında başarılı performans sergilediğine ulaşılmıştır. ------------------------------------Portfolio management is a theory used by researchers and investors more than half of the century. Although it is a commonly used theory, several studies are criticizing the theory. One of these criticisms is the concentration problem. The theory is a diversification base method. However, when you calculate the optimal portfolios, you usually get a few assets to invest. Prado (2016; 2018) searches the solution of that problem and he suggests Hierarchical Risk Parity (HRP) approach. HRP applies machine-learning techniques to build diversified portfolios based on the information contained in the covariance matrix. The aim of this study is to investigate the performance of HRP in BIST, FTSE, and DAX for the period July 2005-June 2017. The results show that the performance of HRP in BIST and FTSE is not successful; on the other hand, it has a successful performance in DAX.
Research Interests:
The efficient market hypothesis proposed by Eugene Fama in 1970 states that a market in which prices always fully reflect available information is called efficient. It was a utopia that to call a financial market as efficient. However,... more
The efficient market hypothesis proposed by Eugene Fama in 1970 states that a market in which prices always fully reflect available information is called efficient. It was a utopia that to call a financial market as efficient. However, the reflection of information to prices is possible in our era, thanks to technological developments. As smartphones become prevalent, they provided many possibilities for investors. Notably, the applications of social media (e.g., Twitter) present a source of the news about all companies. Investors can use social media information for their investment decisions. In this study, we aim to investigate whether there is a relationship between the number of tweets and stock returns of four favorite companies in the technology sector of S&P500 (AAPL, GOOGL, AMZN, MSFT) or not. The hourly data contain the stock returns and three different tweet sentiments which called total, positive, and negative score categories from May 7, 2018, to November 12, 2018. It was gathered from Bloomberg Professional Terminal News & Social Sentiment Database. We examined symmetric and asymmetric casual relationships via Granger and Asymmetric Causality test approaches, respectively. The results of Granger causality test indicate that there is an impact of negative tweet sentiments on AAPL, AMZN, MSFT stock returns, but not for GOOGL. According to the asymmetric causality test results, there are causality relationships between positive/negative shocks of tweet sentiments and stock returns.
Research Interests:
Bireysel ve kurumsal yatırımcıların finansal piyasalarda yatırım kararları alırken sıklıkla kullandıkları analizler temel analiz ve teknik analiz şeklinde ikiye ayrılmaktadır. Temel analiz; makroekonomik gidişatı, sektörel gelişmeleri ve... more
Bireysel ve kurumsal yatırımcıların finansal piyasalarda yatırım kararları alırken sıklıkla kullandıkları analizler temel analiz ve teknik analiz şeklinde ikiye ayrılmaktadır. Temel analiz; makroekonomik gidişatı, sektörel gelişmeleri ve spesifik olarak yatırım yapılacak varlığın finansal göstergelerini dikkate alırken, teknik analiz; finansal varlıkların geçmiş fiyat hareketlerinden yola çıkarak bu finansal varlığın gelecekteki fiyat hareketlerini tahminlemeye çalışmaktadır. Teorik altyapısı Dow Teorisine dayanan ve “finansal varlığın geçmiş fiyat hareketleri zamanla tekrarlanacaktır” gibi bir takım varsayımlar barındıran teknik analiz yöntemine göre yatırım kararı alınırken çeşitli indikatörler, osilatörler ve formasyonlar kullanılmaktadır. Bu göstergelerden Hareketli Ortalamaların Yakınsaması/Iraksaması, Bollinger Bant, Göreceli Güç Endeksi yatırımcıların sıklıkla kullandıkları göstergeler arasındadır. Bu çalışmada 2014-2018 Bitcoin ve Ethereum günlük fiyat verileri kullanılarak belirtilen göstergeler test edilmiş, Bitcoin ve Ethereum Al/Sat kararları tahmin edilmeye çalışılmıştır. Çıkan sonuçlar neticesinde kripto paraların yatırımcılara sağlayacağı getiriler hesaplanmıştır. Finansal piyasalarda en fazla işlem gören kripto paraların analiz edildiği çalışmada, yatırım kararlarında teknik analizin ne derece etkili olduğu ve bu yatırımlardan teknik analiz kullanılarak herhangi bir getiri sağlanıp sağlanamayacağı irdelenmiştir. Analizlerden elde edilen bulgular Etkin Piyasalar Hipotezi çerçevesinde değerlendirilmiştir.
-
Analyzes that are frequently used by individual and institutional investors when making investment decisions in financial markets are divided into fundamental analysis and technical analysis. While fundamental analysis evaluating financial instruments based on macroeconomic factors, sectoral developments, and financial data of the instruments, technical analysis; tries to forecast the future price of this financial instrument using its historical price movements. The theoretical background of the technical analysis is based on the Dow Theory and there are some assumptions such as “historical price movements of financial assets will be repeated over time”. There are also some indicators such as Moving Average Convergence Divergence, Bollinger Band, and the Relative Strength Index frequently used by investors. In this study, the indicators tested using 2014-2018 Bitcoin, Ethereum daily price data. Bitcoin and Ethereum Buy / Sell decisions have been tried to be estimated and the return of the cryptocurrencies to investors has been calculated. Analyzing the most frequently traded cryptocurrencies in financial markets, it has been examined how effective the technical analysis is in investment decisions and whether any returns can be obtained by using technical analysis from these investments. The findings from analyzes were evaluated within the framework of Effective Market Hypothesis.
-
Analyzes that are frequently used by individual and institutional investors when making investment decisions in financial markets are divided into fundamental analysis and technical analysis. While fundamental analysis evaluating financial instruments based on macroeconomic factors, sectoral developments, and financial data of the instruments, technical analysis; tries to forecast the future price of this financial instrument using its historical price movements. The theoretical background of the technical analysis is based on the Dow Theory and there are some assumptions such as “historical price movements of financial assets will be repeated over time”. There are also some indicators such as Moving Average Convergence Divergence, Bollinger Band, and the Relative Strength Index frequently used by investors. In this study, the indicators tested using 2014-2018 Bitcoin, Ethereum daily price data. Bitcoin and Ethereum Buy / Sell decisions have been tried to be estimated and the return of the cryptocurrencies to investors has been calculated. Analyzing the most frequently traded cryptocurrencies in financial markets, it has been examined how effective the technical analysis is in investment decisions and whether any returns can be obtained by using technical analysis from these investments. The findings from analyzes were evaluated within the framework of Effective Market Hypothesis.
Research Interests:
The structure of operating costs of Turkish manufacturing firms between years 1995 and 2014 is tested in terms of their “rigidity” in this paper. Rigidity is defined as the proportion of fixed costs to variable costs in cost structures.... more
The structure of operating costs of Turkish manufacturing firms between years 1995 and 2014 is tested in terms of their “rigidity” in this paper. Rigidity is defined as the proportion of fixed costs to variable costs in cost structures. Additionally, the effect of demand uncertainty as measured by the standard deviation of net sales on the cost structure of operating costs is also tested. Results support that higher levels of demand uncertainty are associated with higher portions of fixed costs in the cost structure.
Research Interests:
Estimating the relationship between risk factors and portfolio returns has been a critical issue since CAPM was proposed by William Sharpe in 1964. The pioneer researchers, Fama and French, have important studies to investigate these... more
Estimating the relationship between risk factors and portfolio returns has been a critical issue since CAPM was proposed by William Sharpe in 1964. The pioneer researchers, Fama and French, have important studies to investigate these relationships such as free-factor asset pricing model. These models are commonly used to explain the cross-sectional variation in average stock returns over various times. Recently, Fama and French propose a new five-factor asset pricing model that captures size, value, profitability and investment patterns (FF, 2015;2016;2017). Although their five-factor model performs better in capturing the size, value, profitability, and investment patterns than the other FF models, they emphasized that the addition of profitability and investment factors is redundant for describing average returns. Most of the existing studies, including the FF, have used ordinary least square method to estimate the models. However, there are plenty of studies which indicate the relationship between risk factors and average returns might be different. On this perspective, the motivation of this study is to investigate whether the five-factor model is really redundant or not by using a different approach. For this purpose, the different approach which proposed by In and Kim (2013) is used. The approach is based on the wavelet multi-scaling method that decomposes a given time series on a scale-by-scale basis. Every scale represents a proxy of various investment horizons for investors. The data gathered from Kenneth French’s website. Left-hand-side (LHS) of monthly data contains 18 average value weighted portfolios formed on the ratio of book equity to market equity, operating profitability and investment. Right-hand-side (RHS) of monthly data contains five factors which are (Rmt-Rft), SMBt, HMLt, RMWt, CMAt. The first empirical GRS test results reveal that significance levels of intercept estimates change based on the different scales (investment horizons). Moreover, while the original model’s GRS test statistics easily rejects the five-factor model directed at capturing patterns, the GRS test statistics were calculated based on decomposed series cannot reject. On the other hand, the impact of profitability and investment factors on average returns differ in not only various formed portfolios but also the scale-by-scale basis. According to the initial results of our study, it is hard to say that the five-factor model is redundant for all type of investment horizons.
Research Interests:
Investors get risks while they are managing their investments. Systematic risk is a major risk for all investors and it is measuring with the financial beta coefficient. In finance literature, there are lots of studies against to... more
Investors get risks while they are managing their investments. Systematic risk is a major risk for all investors and it is measuring with the financial beta coefficient. In finance literature, there are lots of studies against to calculate the financial beta with Market Model by Sharpe (1963). Marshall Blume (1975) emphasizes in his research that the financial beta coefficient is differing based on investment horizon and it needs to be corrected. In this study, the Multi-Scaling technique based upon Wavelet Analysis is used. The aim of the study to investigate the systematic risk dynamics between the market return and the stock return in the different investment horizons for 111 stocks which have been trading continuously in the Borsa Istanbul between 1997 and 2017. The results show that the estimated financial beta coefficients on six different scales are close to 1 (one) and also the explanatory power of market models on six different scales are increasing with the expansion of the investment horizon. As a conclusion, the stock returns are converging to the market return for long investment horizon. These results are in parallel with the findings of Blume (1971; 1975) in terms of a different technique.
Research Interests:
Çalışmanın amacı, 2011-2015 dönemi için Borsa İstanbul Tüm Endeksi’nde faaliyet gösteren 195 firmanın sermaye yapısı bileşenlerini hem toplam borç hem de uzun vadeli borç yapısını dikkate alarak toplamsal kantil regresyon yaklaşımı ile... more
Çalışmanın amacı, 2011-2015 dönemi için Borsa İstanbul Tüm Endeksi’nde faaliyet gösteren 195 firmanın sermaye yapısı bileşenlerini hem toplam borç hem de uzun vadeli borç yapısını dikkate alarak toplamsal kantil regresyon yaklaşımı ile incelemektir.
Research Interests:
Çalışmanın amacı, 2011-2016 dönemlerinde Borsa İstanbul Ulusal-100 endeksinde kesintisiz faaliyet gösteren hisse senetlerine ait getirilerin birbirleriyle olan ilişkilerini Bayes ağlar kullanarak analiz etmek ve yatırımcıların portföy... more
Çalışmanın amacı, 2011-2016 dönemlerinde Borsa İstanbul Ulusal-100 endeksinde kesintisiz faaliyet gösteren hisse senetlerine ait getirilerin birbirleriyle olan ilişkilerini Bayes ağlar kullanarak analiz etmek ve yatırımcıların portföy seçimlerinde kullanabilecekleri nitel ve nicel bilgileri oluşturmaktır.
Research Interests:
In this paper, it is aimed to find out the impact size of financial information on the firms’ Return on Equities (ROE). To conduct the analysis, 54 firms traded in Borsa Istanbul are selected from several sectors such as metal, textile... more
In this paper, it is aimed to find out the impact size of financial information on the firms’ Return on Equities (ROE). To conduct the analysis, 54 firms traded in Borsa Istanbul are selected from several sectors such as metal, textile and cement industries. The dispersion of the firms are as follows; 16 from metal, 12 from textile and 26 from cement industry. The data used in analysis gathered from Bloomberg Terminal Database for the period 2012-2016, annually. To determine the impact size of financial information on ROE financial ratios of Dupont Analysis; Profit Margin, Asset Turnover and Financial Multiplier, i.e. Financial Leverage; are used as the input variables whereas ROE is considered as the output variable. In accordance with the purpose of study, Support Vector Machine (SVM) methodology is applied to the data. SVM regression models have been employed for modeling nonlinear dynamics for various purposes successfully due to their peculiar properties namely high generalization capability and the assurance of global minimum. Based on the Statistical Learning theory and the Structural Risk Minimization principle, SVM approaches solve any regression problems by transforming the regression problem into a quadratic programming problem. Recently, SVM-based algorithms have been developed very rapidly and have been applied to many areas. The results of the analysis show that the impact size of Profit Margin, Asset Turnover and Financial Multiplier variables differs sector-by-sector. Such that Financial Multiplier has the highest impact size on ROE in metal industry whereas Asset Turnover has the highest impact size on ROE in both textile and cement industries. The outcomes of the study can help to shape strategic plans (such as capital structure, capital budgeting decisions) of policy makers from different sectors.
Research Interests:
The individual pension funds not only complementary to public pension systems, but also an important tool in order to meet the long-term funding needs of economies. Although not having a long history, the individual pension fund system,... more
The individual pension funds not only complementary to public pension systems, but also an important tool in order to meet the long-term funding needs of economies. Although not having a long history, the individual pension fund system, which has been practiced in various countries around the world for many years, has become one of the important elements of the economy in Turkey since October 27, 2003. The individual pension fund system is managed by private insurance companies and monitored by government authorities in Turkey. Therefore, these funds must be well managed and their performances should be closely monitored by either investors or governments in terms of contribution to economic progress.
In this paper, the performance ratios of each individual pension funds and the pension fund companies’ performances were analyzed for 2010-2016 period. Due to the new individual pension funds are comprised by different research periods, we create 4 different research sample windows (2010-2016; 2011-2016; 2012-2016; 2013-2016), in order to understand the performance of the funds. In the analyses, Sharpe, Sortino ratios, Treynor, Jensen indexes, and M2 performance measure are calculated for each individual pension fund based on research sample windows. Afterwards, each performance ratio measurement is averaged to understand the financial performances of 11 different private pension fund companies. Within the scope of this study, 146 individual pension funds held by 11 pension fund companies were used and the pension funds daily return data gathered from The Capital Markets Board’s database. The daily risk-free rate and market return data obtained from Bloomberg data terminal.
The conclusion of the study reveals that, all performance indicators, except Jensen index, illustrate the same results in terms of ranking the private pension fund companies for each research sample window. However, as the research sample window varies, the rankings of the private pension fund companies also differ. For instance, when we focus on the 2010-2016 research sample window; Vakıf Emeklilik has the highest average performance ratio, whereas in 2013-2016 research sample window, it is being ranked as the third highest performance.
In this paper, the performance ratios of each individual pension funds and the pension fund companies’ performances were analyzed for 2010-2016 period. Due to the new individual pension funds are comprised by different research periods, we create 4 different research sample windows (2010-2016; 2011-2016; 2012-2016; 2013-2016), in order to understand the performance of the funds. In the analyses, Sharpe, Sortino ratios, Treynor, Jensen indexes, and M2 performance measure are calculated for each individual pension fund based on research sample windows. Afterwards, each performance ratio measurement is averaged to understand the financial performances of 11 different private pension fund companies. Within the scope of this study, 146 individual pension funds held by 11 pension fund companies were used and the pension funds daily return data gathered from The Capital Markets Board’s database. The daily risk-free rate and market return data obtained from Bloomberg data terminal.
The conclusion of the study reveals that, all performance indicators, except Jensen index, illustrate the same results in terms of ranking the private pension fund companies for each research sample window. However, as the research sample window varies, the rankings of the private pension fund companies also differ. For instance, when we focus on the 2010-2016 research sample window; Vakıf Emeklilik has the highest average performance ratio, whereas in 2013-2016 research sample window, it is being ranked as the third highest performance.
Research Interests:
In Turkey, there are two types of pension fund systems. One of them is general social security system which the fund is managed by formal government institutions. The other one is individual pension fund system that the fund is managed by... more
In Turkey, there are two types of pension fund systems. One of them is general social security system which the fund is managed by formal government institutions. The other one is individual pension fund system that the fund is managed by private insurance companies. Individual pension fund system in Turkey, not only serves to social security reform but also has an important role in the development of the financial system since October 27, 2003. Every private insurance company has their own pension fund types that investors may choose them and create their portfolios. Although there are many studies to measure the performances of the pension funds in the literature, such as Sharpe Ratio, Treyner Ratio, etc. It is well known that those performance ratios focus on the risk-free rates and the market indexes as a benchmark to measure the performance of funds as well as pension fund companies. In this study, we propose a new approach to measure pension fund companies’ performances by presenting a new benchmark namely the efficient frontier generated by all individual pension funds. In this paper, to measure the performance of pension fund companies, all individual pension funds are grouped in terms of their own companies and created optimal portfolios for different levels of risks i.e. efficient frontiers. Then efficient frontier of each company is compared to the benchmark efficient frontier. According to the comparison of efficient frontiers, the companies’ performances are discussed from the closest to the most distant. Within the scope of this study, 176 individual pension funds from 16 pension fund companies were used and the pension funds daily return data gathered from The Capital Markets Board’s database for the period of 2006 – 2016. The analyses based on seven research sample windows which contains different time periods for comparing the efficient frontiers (2006-2016; 2007-2016; 2008-2016; 2009-2016; 2011-2016; 2012-2016; 2013-2016). It is concluded that according to the widest three sample windows, Anadolu Hayat Emeklilik portfolio has the closest efficient frontier to benchmark efficient frontier (2006-2016; 2007-2016; 2008-2016). On the other hand, while sample windows narrowed, Avivasa Emeklilik ve Hayat portfolio and Allianz Hayat ve Emeklilik portfolio have the closest to the benchmark efficient frontier (2009-2016; 2011-2016; 2012-2016; 2013-2016). As a result, considering the over eight years’ performances, Anadolu Hayat Emeklilik portfolio has the highest returns. On the other hand, according to the less than eight years’ performances, Avivasa Emeklilik ve Hayat and Allianz Hayat ve Emeklilik portfolios have the highest returns.
Research Interests:
Piyasa Modeli uzun yıllar boyunca finans teorisinde önemli bir rol oynamış, özellikle finansal beta katsayısının tahmini amacıyla birçok araştırmacı tarafından analizlerde sıklıkla kullanılmıştır. Modelin tahmininde En Küçük Kareler... more
Piyasa Modeli uzun yıllar boyunca finans teorisinde önemli bir rol oynamış, özellikle finansal beta katsayısının tahmini amacıyla birçok araştırmacı tarafından analizlerde sıklıkla kullanılmıştır. Modelin tahmininde En Küçük Kareler Yöntemi’nin (EKK) kullanılmasının bir takım sakıncaları bulunmaktadır. EKK tahmincisi ile elde edilen sonuçlarda dağılımın sadece orta noktası için katsayılar hesaplanabilmekte ve uç değerleri dikkate almamaktadır. Bu nedenle, modelin kantil regresyon yaklaşımı ile tahmin edilmesi uç değerlerin de dikkate alındığı daha detaylı bir raporlama sağlamaktadır. Çalışmanın amacı, Kantil Regresyon tekniğini panel veriye uygulayarak, 2011-2015 dönemi için Borsa İstanbul ve New York Borsası’nda işlem görmüş hisselerin günlük getirileri ile dağılımın farklı noktaları için finansal beta katsayısında meydana gelen değişimleri araştırmaktadır. Bu amaçla yapılan analizler sonucunda, finansal beta katsayısının her iki piyasada da farklı hisse senedi getiri noktalarında değiştiği tespit edilmiştir. Yatırımcıların farklılaşan beta katsayılarını dikkate alarak yapacakları yatırımların stratejik hataların önüne geçeceği öngörülmüştür. Ayrıca, bulgularda yatırımcı psikolojisi hakkında da bir takım çıkarımlar yapılmıştır.
Research Interests:
In financial theory, the cost of equity is defined as a return that stockholders require for a company. It has a vital importance for corporations in an evaluation of investment opportunities. There are several methods to calculate the... more
In financial theory, the cost of equity is defined as a return that stockholders require for a company. It has a vital importance for corporations in an evaluation of investment opportunities. There are several methods to calculate the cost of equity including Capital Asset Pricing Model (CAPM). The CAPM is a commonly used method but it has a major restriction. It can be used only for publicly traded corporations not for non-public corporations because it requires stock return data to estimate Financial Beta. When the stock price is not available for a firm, finance literature suggests that Accounting Beta can be used as a proxy of financial beta to estimate the cost of equity. Most of the researchers have aimed to find a relationship between financial beta and accounting variables. However, they used correlation or regression-based approaches. In this study, the accounting information is represented by current ratio, quick ratio, net profit margin, asset turnover, return on assets, return on equity, financial leverage and logarithmic total assets over the 2005-2014 period. In addition to that, financial betas of cement firms traded in Borsa Istanbul (BIST) are calculated for each year. The result of the study illustrates that financial leverage, the size, and asset turnover have the highest impact on financial beta, respectively.
Research Interests:
Çalışmanın amacı 2002-2013 dönemi için Türkiye’deki ticari bankaların karlılıklarının bankaya özgü değişkenler ile makroekonomik değişkenlerden nasıl etkilendiğini yarıparametrik regresyon analizi ile incelemektir. Literatürdeki diğer... more
Çalışmanın amacı 2002-2013 dönemi için Türkiye’deki ticari bankaların karlılıklarının bankaya özgü değişkenler ile makroekonomik değişkenlerden nasıl etkilendiğini yarıparametrik regresyon analizi ile incelemektir. Literatürdeki diğer çalışmalardan farklı olarak ilişkilerin incelenmesinde yarı parametrik regresyon modelinin kullanılmasının nedeni, açıklayıcı değişkenlerden bir kısmının banka karlılığı ile doğrusal ilişkiliyken, bir kısmının doğrusal olmayan bir şekilde ilişkili olabilmesidir. Bu durumda, banka karlılığı ile söz konusu tüm açıklayıcı değişkenler arasındaki ilişkileri doğrusal kabul etmek model kurma hatasına neden olabilecektir. Bu nedenle, açıklayıcı değişkenlerden bir kısmının modelde parametrik formda diğer kısmının ise non-parametrik formda yer almasına izin veren yarı-parametrik regresyon modeli tahmin edilmiştir.
Research Interests:
Nowadays, information symmetry have importance on financial markets. Investors who are rational persons need detailed information for their portfolios. For this necessity, they have to make calculations and analysis with financial data.... more
Nowadays, information symmetry have importance on financial markets. Investors who are rational persons need detailed information for their portfolios. For this necessity, they have to make calculations and analysis with financial data. There are many analysis about investment management and performance metrics, such as Efficient Frontier, Sharpe ratio, Jensen’s Alpha, Treynor ratio, Sortino ratio, etc. Maximum Drawdown (MDD) is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. It is possible to calculate analytically the Expected Maximum Drawdown (EMDD) for a geometric Brownian motion.
In this paper, firstly, MDDs are calculated with 2015 daily returns for IBEX35 and BIST30. Secondly, EMDDs are estimated for next 30-60-90 days and portfolio weights are computed using EMDDs for risk seeking and averse investors. Finally, the portfolio performances which are consisted by IBEX35 and BIST30 stocks are examined about the next 30-60-90 days. As a conclusion, the aim of this paper is to give another perspective to investors based on risk and suggest a different variable for portfolio weights.
In this paper, firstly, MDDs are calculated with 2015 daily returns for IBEX35 and BIST30. Secondly, EMDDs are estimated for next 30-60-90 days and portfolio weights are computed using EMDDs for risk seeking and averse investors. Finally, the portfolio performances which are consisted by IBEX35 and BIST30 stocks are examined about the next 30-60-90 days. As a conclusion, the aim of this paper is to give another perspective to investors based on risk and suggest a different variable for portfolio weights.
Research Interests:
In literature, financial development and economic growth relationship topic has been researched by many researchers. Most of thes e researches are focused on time-series methods and findings has shown that financial development effects... more
In literature, financial development and economic growth relationship topic has been researched by many researchers. Most of thes e researches are focused on time-series methods and findings has shown that financial development effects economic growth. The main purpose of this paper is investigation of these relationships for different quantiles via using panel quantile regression method. The data is including 30 OECD countries in 1999-2011 periods. The financial development indicators are international debt issues to gross domestic product (GDP), total factoring volume to GDP, life insurance premium volume to GDP, stock market capitalization to GDP, stock market total value traded to GDP and banking crisis dummy. In conclusion, the effects of financial indicator variables are changing on economic growth for different quantiles (τ = 0.10;0.25;0.50;0.75;0.90). As the results are analyzed in detail, the negative effect of debt issues to GDP and life insurance premium volume to GDP variables on economic growth is rising at high quantiles. In contrast, the negative effect of banking crisis dummy variable on economic growth is more strong at low quantiles. While the positive effect of stock market capitalization to GDP on economic growth is decreasing at high quantiles, the positive effect of total factoring volume to GDP is increasing. Finally, the negative effect of stock market total value traded to GDP is falling at high quantiles.
Research Interests:
Nowadays computers and internet systems become not only useful things but also a requirement. Companies can declare their financial documents through the internet. Especially, Extensible Business Reporting Language - XBRL which is... more
Nowadays computers and internet systems become not only useful things but also a requirement. Companies can declare their financial documents through the internet. Especially, Extensible Business Reporting Language - XBRL which is developing rapidly in the last decades create a continuous data generating process and a paperless system. But there a problem about declaring the financial documents through the internet. First of all the internet is a public network and it is completely indefensible. It is clearly that this situation is dangerous for companies and XBRL users. The software companies found a way for solve this security problem: Extensible Assurance Reporting Language – XARL. With a suitable base, XARL system can secure all the XBRL documents for any hacker attack and also it can encrypt the documents with a private key for unique user. In this paper, we show that how to XARL systems secure the financial documents and users’ information.
In the study, the effect of fraud and errors representing, the reliability of financial statements described in the public notices of companies, on the stock returns of companies was identified as the subject of research. 2005 - 2010... more
In the study, the effect of fraud and errors representing, the reliability of financial statements described in the public notices of companies, on the stock returns of companies was identified as the subject of research. 2005 - 2010 period, published in the weekly bulletins of the Capital Markets Board examined the detected error and fraud and how it affects investors on stock returns of firms did not then give rise to a change with the help of econometric techniques were determined. First, the companies daily closing data which has made errors and fraud in the financial statements, published bulletins of the Capital Markets Board and the ISE-100 index information obtained from the Istanbul Stock Exchange and the Capital Markets Board web pages. In the second stage these data analyzed with a dummy variable approach and error / fraud notices, described in the bulletins of the Capital Markets Board, had no effect on stock returns of companies has been concluded.
Research Interests:
Hisse senedi piyasalarını modelleme çalışmaları uzun yıllardır finans literatürünün önemli çalışma alanlarındandır. 1960’lı yıllarda William Sharpe (1964) tarafından geliştirilen Finansal Varlıkları Fiyatlama Modeli (CAPM), bu... more
Hisse senedi piyasalarını modelleme çalışmaları uzun yıllardır finans literatürünün önemli çalışma alanlarındandır. 1960’lı yıllarda William Sharpe (1964) tarafından geliştirilen Finansal Varlıkları Fiyatlama Modeli (CAPM), bu çalışmaların temelini oluşturmaktadır. Sharpe ilk kez kaotik bir ortam olan hisse senedi piyasalarını, risksiz varlıkların ve endeks getirilerinin yer aldığı ekonometrik bir modelle açıklamıştır. Sonraki yıllarda Stephen Ross (1976) tarafından geliştirilen Arbitraj Fiyatlama Modeli ile hisse senedi getirilerinin makroekonomik değişkenlerle de açıklanabildiğini sonucuna ulaşılmıştır. Sharpe ve Ross’un çalışmalarından yola çıkarak yapılan bu çalışmada, İstanbul Menkul Kıymetler Borsası kimya sektöründe faaliyet gösteren 14 firmanın 1992-2009 yılları arasındaki yıllık hisse senedi getirileri ile aynı dönemlere ait endeks ve ham petrol getirileri arasındaki ilişki panel veri analizi ile incelenmiştir. Elde edilen sonuçlar Finansal Varlıkları Fiyatlama Modeli ve Arbitraj Fiyatlama Modeli’ne uygun olarak, endeks getirilerinin hisse senedi getirilerini pozitif yönde ve ham petrol getirilerinin ise negatif yönde etkilediğini göstermektedir. Buna göre, çalışma hisse senedi getirilerinin tahmininde, sektörlere özgü değişkenlerin de ekonometrik modellere dahil edilebileceğini göstermiştir.
Research Interests:
The computer technologies were developed with an unexpected speed in the last age. Today computers become not only a useful device but also a requirement. We can call all these developments Information Technologies which can provide to... more
The computer technologies were developed with an unexpected speed in the last age. Today computers become not only a useful device but also a requirement. We can call all these developments Information Technologies which can provide to communication with customers, to sell goods and services, to give information about financial activity from the corporation to partners, investors, researchers.
All these developments influence the accounting system certainly. Especially, Extensible Business Reporting Language - XBRL which is developing rapidly in the last decades create a continuous data generating process and a paperless system. It showed us that all documents about accounting are completely paperless and digital in the future. Basically, XBRL is created with Extensible Markup Language (XML). But there is a discussion about the development of XBRL that companies prefer XBRL which is designed packaged software or Customized XML which is designed unique software for each company. In this paper, we discuss advantages and disadvantages about using XBRL or Customized XML.
All these developments influence the accounting system certainly. Especially, Extensible Business Reporting Language - XBRL which is developing rapidly in the last decades create a continuous data generating process and a paperless system. It showed us that all documents about accounting are completely paperless and digital in the future. Basically, XBRL is created with Extensible Markup Language (XML). But there is a discussion about the development of XBRL that companies prefer XBRL which is designed packaged software or Customized XML which is designed unique software for each company. In this paper, we discuss advantages and disadvantages about using XBRL or Customized XML.
Research Interests: XML Databases and Xbrl
Bu kitabın öncelikli amacı, panel veri analizi konusunu İİBF ve mühendislik öğrencileri, akademisyenler ve sektör uygulamacıları için uygulanabilir bir temelde öğretmektir. Kitap, panel veri analizi konusunu, okuyucuyu sıkmadan hem teorik... more
Bu kitabın öncelikli amacı, panel veri analizi konusunu İİBF ve mühendislik öğrencileri, akademisyenler ve sektör uygulamacıları için uygulanabilir bir temelde öğretmektir. Kitap, panel veri analizi konusunu, okuyucuyu sıkmadan hem teorik temellere oturtmakta hem de her konu başlığını aynı işletme üzerinden örneklendirerek öğrenmeyi kolaylaştırmaktadır. Kitap içeriğinde, son yıllarda artan önemi sebebiyle Python; Panel veri analizi konusunda geniş altyapısı sebebiyle de R olmak üzere iki farklı programlama dili tercih edilmiştir.
Kitap projemizin piyasada yer alan diğer panel veri analizi kitaplarından ayıran temel unsur, bu projenin hem bir ekonometrist hem de bir işletmeci bakış açısı ile ele alınmış olmasıdır. Panel veri analizi kitaplarının neredeyse tamamı konuyu ekonometri açısından ele almakta ve okuyucunun uygulamaya geçmesini kolaylaştırıcı bir yapıya kavuşmamaktadır. Bu kitapta ise, konular ekonometri temellerine dayanarak, bir lisans/lisansüstü öğrencinin veya işletme yöneticisinin anlayabileceği düzeyde açıklanmış ve uygulama için motivasyon sağlanmıştır.
Öğrencilerimize, çalışma arkadaşlarımıza ve bu konuda piyasada aktif olarak çalışan tüm paydaşlarımıza faydalı olması dileklerimizle...
Kitap projemizin piyasada yer alan diğer panel veri analizi kitaplarından ayıran temel unsur, bu projenin hem bir ekonometrist hem de bir işletmeci bakış açısı ile ele alınmış olmasıdır. Panel veri analizi kitaplarının neredeyse tamamı konuyu ekonometri açısından ele almakta ve okuyucunun uygulamaya geçmesini kolaylaştırıcı bir yapıya kavuşmamaktadır. Bu kitapta ise, konular ekonometri temellerine dayanarak, bir lisans/lisansüstü öğrencinin veya işletme yöneticisinin anlayabileceği düzeyde açıklanmış ve uygulama için motivasyon sağlanmıştır.
Öğrencilerimize, çalışma arkadaşlarımıza ve bu konuda piyasada aktif olarak çalışan tüm paydaşlarımıza faydalı olması dileklerimizle...
Research Interests:
Çalışmada, üst ve üst-orta gelir grubu ülkelerin hisse senedi piyasaları ve altın piyasası arasındaki dinamik ilişkiler farklı yatırım ufukları (kısa-orta-uzun dönem) dikkate alınarak wavelet'e dayalı DCC-GARCH yaklaşımı ile... more
Çalışmada, üst ve üst-orta gelir grubu ülkelerin hisse senedi piyasaları ve altın piyasası arasındaki dinamik ilişkiler farklı yatırım ufukları (kısa-orta-uzun dönem) dikkate alınarak wavelet'e dayalı DCC-GARCH yaklaşımı ile incelenmiştir. Analizler, 31.08.2000-31.12.2020 dönemi için günlük veri setine dayalı olarak yapılmıştır. Çalışma bulgularına göre, yatırımcıların portföy çeşitlendirmesinden elde edecekleri faydayı arttırabilmeleri için orta ve uzun dönemi tanımlayan zaman ölçeklerinde finansal varlık olarak altını portföylerine dahil etmeleri önerilmektedir. Kısa vadeli yatırım ufkunda ise üst-orta gelir grubu ülkelerin hisse senedi piyasalarına odaklanarak portföy riskini daha iyi yönetebilecekleri gözlemlenmiştir. Analizler sonucunda, portföy riskinin en yüksek olduğu zaman ölçeği tüm hisse senedi piyasaları ile altın piyasası arasındaki dinamik ilişkilerin güçlü olması nedeniyle, D2 zaman ölçeğine ait 4-8 günlük döngü süresi olarak belirlenmiştir.
Research Interests:
Gelişmekte olan ülkeler açısından ekonomik istikrarın sağlanabilmesi için yerel para biriminin değerinin de istikrarının sağlanması önem arz etmektedir. Ancak ekonomik veya siyasi birçok durumdan etkilenen döviz kuru dalgalanmalarının,... more
Gelişmekte olan ülkeler açısından ekonomik istikrarın sağlanabilmesi için yerel para biriminin değerinin de istikrarının sağlanması önem arz etmektedir. Ancak ekonomik veya siyasi birçok durumdan etkilenen döviz kuru dalgalanmalarının, önceden tahmin edilebilmesi oldukça zordur. Literatürde Shannon Entropi kullanarak döviz kuru belirsizliğinin ölçümünü gerçekleştirmiş çalışmalara rastlanmaktadır. Bir termodinamik terimi olan entropi, bir sistemdeki belirsizliğin ölçüsü olarak tanımlanmaktadır. Ekonomik piyasaların da birer sistem olması sebebiyle, belirsizlik ölçütü olarak entropi kullanılması mümkündür. Bu çalışma, Türk Lirası değerindeki dalgalanmaları bir belirsizlik ölçütü olarak kullanılabilen entropi kullanarak açıklamayı amaçlamaktadır. Bu doğrultuda, Türk Lirası belirsizlik serisi hesaplanmış ve majör ile kırılgan beşli para birimleri kullanılarak Granger ve Asimetrik Nedensellik testleri uygulanmıştır. Analizler sonucunda, Türk Lirasındaki belirsizliğin, küresel döviz kurlarından etkilendiği, ancak asıl belirsizlik kaynağının küresel olmadığı ortaya konulmuştur. Ayrıca, Shannon Entropi kullanılarak oluşturulan belirsizlik göstergesi entropi serisi incelendiğinde, Türk Lirasında yüksek dalgalanma dönemleri öncesinde belirsizliğin arttığı bulgusu elde edilmiştir. ______________________________ Nowadays, it is important to ensure the stabilization of the value of the local currency especially for developing economies. However, it is not easy to estimate the components of currency volatilization due to economic and political effects. There are studies that have performed the measurement of exchange rate uncertainty using Shannon Entropy. Entropy is a thermodynamics term which is defined as the measure of uncertainty in a system. Hence markets are also systems, entropy might be used as an uncertainty measure in the economy. The aim of the study is to investigate the uncertainties of Turkish Lira with entropy. For this purpose, the Granger Causality and Asymmetric Causality test are used for the entropy series of Turkish Lira and fragile five currencies. The results indicate that although Turkish Lira is effected by international currencies, the main reasons for uncertainty are domestic. Moreover, the uncertainty of the Turkish Lira is increasing just before the crisis, when the entropy series examined.
Research Interests:
The Probability of Informed Trading (PIN) term refers to the possibility of any transaction decision made by investors who have special information about any specific share. In this chapter, twelve bank stocks of BIST are analyzed... more
The Probability of Informed Trading (PIN) term refers to the possibility of any transaction decision made by investors who have special information about any specific share. In this chapter, twelve bank stocks of BIST are analyzed regarding PIN framework. Also, linear models are run between macroeconomic variables and stocks’ PIN values. The results show the dynamic relation of buy-sell decisions for investors in BIST.