Browsing by Subject "Emerging markets"
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Item Open Access An alternative look at balance-of-payments puzzle : structural decomposition of accounts of 16 emerging markets(Bilkent University, 2006) Şahbaz, Ahmet UssalThe empricial evidence on pro-growth effect of capital account liberalization is inconclusive. I argue that, after liberalization, the link between structural finance needs of developing countries and debt flows lost its importance. Instead, the flight of resident capital and unproductive reserve accumulation have created new financing needs, limiting the augmentation of saving pools of developing countries and hence growth. I build four new components from balance-of-payments account that make it possible to track the new financing patterns. I investigate relationship between these components for 15 emerging market countries. I also make a case study for Turkey using vector autoregression technique to establish a causality link between dynamics of the new structural aggregates.Item Open Access An alternative method to measure the likelihood of a financial crisis in an emerging market(Elsevier BV, 2007) Özlale, Ü.; Özcan, K. M.This paper utilizes an early warning system in order to measure the likelihood of a financial crisis in an emerging market economy. We introduce a methodology, where we can both obtain a likelihood series and analyze the time-varying effects of several macroeconomic variables on this likelihood. Since the issue is analyzed in a non-linear state space framework, the extended Kalman filter emerges as the optimal estimation algorithm. Taking the Turkish economy as our laboratory, the results indicate that both the derived likelihood measure and the estimated time-varying parameters are meaningful and can successfully explain the path that the Turkish economy had followed between 2000 and 2006. The estimated parameters also suggest that overvalued domestic currency, current account deficit and the increase in the default risk increase the likelihood of having an economic crisis in the economy. Overall, the findings in this paper suggest that the estimation methodology introduced in this paper can also be applied to other emerging market economies as well. © 2007 Elsevier B.V. All rights reserved.Item Open Access Assessing selectivity and market timing performance of mutual funds for an emerging market: the case of Turkey(Routledge, 2008) İmişiker, S.; Özlale, Ü.This paper derives and analyzes the selectivity and market timing performance of the mutual funds for the Turkish economy for the financial crisis period by employing high-frequency data. The determinants of these derived abilities are investigated within a regression analysis. The results suggest weak evidence about selection ability and some evidence about superior market timing quality. They also indicate that management fees are negatively correlated with the ability measure, which is quite surprising. Experience emerges as an important factor, especially for market timing ability. Copyright © 2008 M.E. Sharpe, Inc. All rights reserved.Item Open Access Competently ordinary: new middle class consumers in the emerging markets(American Marketing Association, 2014-07) Kravets, O.; Sandikci, O.Although the new middle classes in emerging markets are a matter of significant interest for marketing scholars and managers, there has been little systematic research on their values and preoccupations. This article focuses on new middle class consumers to identify the new, shared socio-ideological sensibilities informed by the recent neoliberal reforms in emerging markets and examines how these sensibilities are actualized in consumption. Through an ethnographic study of fashion consumption in Turkey, the authors explicate three salient new middle class sensibilities, which implicate the mastery of the ordinary in pursuit of connections with people, institutions, and contexts. These sensibilities crystallize into a particular mode of consumption-"formulaic creativity"-which addresses consumers' desire to align with the middle and helps them reconcile the disjuncture between the promises of neoliberalism and the realities of living in unstable societies. The article provides recommendations on product portfolio management, positioning strategies, and marketing mix adaptation decisions.Item Open Access Consumers' use of country-of-manufacture information: Turkey versus the U.S.A.(Allied Academies, 2016) Kurpis, L. V.; Helgeson, J. G.; Ekici, A.; Supphellen, M.Globalization and the growth of international trade increase the importance of strategic decisions involving the positioning of brands for successful entry into foreign markets. One of these marketing decisions concerns whether the use of the country-of-manufacture information should be emphasized or masked in brand positioning. Country-of-manufacture (the "made in") information has been shown to influence consumers' purchase decisions. However, a number of researchers have been recently questioning the universality of this impact by pointing out at the instances when consumers stated or demonstrated that the country-of-manufacture information did not significantly influence their purchase decisions. The purpose of this study is to expand our understanding of the boundary conditions for the country-of-manufacture (COM) effect. Specifically, this study examines whether the consumers from Turkey (an emerging market) or the U.S.A. (a developed market) differ in their reliance on the country-of-manufacture information. The study was conducted in non-laboratory setting, a condition that provides a more rigorous test for the study hypotheses since the influence of the country-of-manufacture information cue was examined in our study in the presence of many other information cues (product appearance, retailers' reputation, salespeople advice, etc.) that could have potentially weakened the country-of-manufacture influence on consumer decisions. The results indicate that consumers in Turkey rated the COM importance higher, were more aware of the country-of-manufacture of their recent purchases, and cited the "made in" information as a purchase-influencing factor more frequently than consumers in the U.S.A. The effects of country/culture was significant even when the data were adjusted for individual differences in consumer ethnocentrism, and the influence of income, age, and education were taken into account. Consumers' age, income, ethnocentrism and perceived importance of brands as sources of product quality information were positively related to COM importance in both countries while retailers' role as guarantors of product quality was negatively related to COM importance in the U.S.A only. This exploratory study has tested the differences between Turkish and American consumers' perceptions of the role of retailers as guarantors of product quality and their reliance on brands (ratings of brand importance). As expected, Turkish consumers gave higher ratings to brand importance and lower ratings to retailers' role as guarantors of product quality. Several possible explanations including cultural differences and stage of market development were discussed in this explanatory study.Item Open Access The degree of financial liberalization and aggregated stock-return volatility in emerging markets(Elsevier, 2010) Umutlu, M.; Akdeniz, L.; Altay-Salih, A.In this study, we address whether the degree of financial liberalization affects the aggregated total volatility of stock returns by considering the time-varying nature of financial liberalization. We also explore channels through which the degree of financial liberalization impacts aggregated total volatility. We document a negative relation to the degree of financial liberalization after controlling for size, liquidity, country, and crisis effects, especially for small and medium-sized markets. Moreover, the degree of financial liberalization transmits its negative impact on aggregated total volatility through aggregated idiosyncratic and local volatilities. Overall, our results provide evidence in favor of the view that the broadening of the investor base due to the increasing degree of financial liberalization causes a reduction in the total volatility of stock returns.Item Open Access Depositors' assessment of bank riskiness in the Russian Federation(Springer, 2008) Ungan, E.; Caner, S.; Özyıldırım, S.In the period after the crises in the late 1990s, the banking industries in most emerging markets have undergone significant restructuring consistent with the Basel II Accord. The Central Bank of Russia's efforts since 2000 have contributed to the consolidation and improvement of the banking industry. To measure the extent of market discipline in the Russian banking industry, we study the reaction of Russian depositors to excessive risk taking by large banks between 2000:1 and 2005:1. We find that during our analysis period, well-capitalized, more liquid banks significantly increase their deposits.Item Open Access Deviations from covered interest parity in the emerging markets after the global financial crisis(Elsevier, 2023-03-25) Geyikçi, U. B.; Özyıldırım, SüheylaIn this paper, we focus on six emerging market economies to study the magnitude of systemic and persistent deviations from covered interest parity (CIP) using daily data between January 2010 and July 2018. We show the significant role of local factors, particularly credit and liquidity risk, in explaining sustained CIP deviations in these markets. Our findings suggest that the impact of credit risk on CIP deviations in emerging market economies may take two forms. In low-carry currencies, the well-known mechanism for credit risk operates so that the increase in credit risk exacerbates CIP deviations. Conversely, in high-carry currencies, the high usage of foreign exchange swaps makes swap rates react more than domestic rates, which causes CIP to decrease. We also present evidence that cost of illiquidity is an important driver to explain CIP deviations. We demonstrate that increased liquidity in emerging market currencies is not as large to prevent CIP deviations.Item Open Access Does ADR listing affect the dynamics of volatility in emerging markets?(Univerzita Karlova v Praze, 2010) Umutlu, M.; Altay-Salih, A.; Akdeniz, L.This paper analyzes the time-series variation in the return volatility of non-US stocks from emerging markets that are cross-listed on US exchanges. Unlike previous studies in the cross-listing literature, return volatility is modeled using conditional heteroscedasticity models. We find that firms' exposure to risks such as local and global market betas remain unchanged after cross-listing. Moreover, we do not identify notable changes in the dynamics of the volatility of cross-listed stocks after cross-listing except for leverage effects. We further show that the mean level of conditional variance is not affected after cross-listing. Thus, our results provide counter-evidence to the belief that foreign investor participation drives volatility upward.Item Open Access Effect of S&P500's return on emerging markets: Turkish experience(Routledge, 2005) Berument, Hakan; Ince, O.This study assesses the effect of S&P500 return on the Istanbul Stock Exchange within a dynamic framework. In order to capture the effect, a block recursive VAR model is built, allowing that S&P500 affects the ISE returns with its current and lag values but not vice versa. The estimates from daily data suggest that returns on S&P500 affect ISE return positively up to four days.Item Open Access The effects of changes in the anticipated and unanticipated fed funds target rate on financial indicators: the case of an emerging market country-Turkey(European Journals Inc., 2007) Berument, Hakan; Ceylan, N. B.; Olgun, H.This paper puts forward the thesis that neither the changes in FED Funds anticipated target rate nor the FED Funds unanticipated target changes can be expected to affect the financial indicators of all emerging markets. The paper supports this thesis using the original framework developed by Kuttner (2001) for Turkey. Its basic argument is that FED’s decisions become relevant for an emerging market only after it becomes sufficiently open both on the capital and current account, has established the prerequisite institutional framework, its financial markets have been sufficiently developed and has established economic and political stability. Moreover, the paper shows that the unanticipated component of the FOMC decisions affect the financial indicators more than the anticipated component.Item Open Access Effects of macroeconomic dynamics on stock returns : case of Turkish stock exchange market(Bilkent University, 2003) Erdoğan, EsenIt has been widely accepted that the empirical validity of the efficient markets hypothesis significantly differ between developed and emerging markets. Macroeconomic factors are thought to play an important role in this context. Since the financial markets in developing countries can be characterized as not being deep and stable, changes in macroeconomic conditions can have important impacts on the performances of the stock exchange markets. The developments in ISE and other institutions combined with several structural breaks and financial crises surely change the dynamics of the relationship between these macroeconomic variables and ISE. Therefore, we take this discussion as our starting point and analyze the effects of several macroeconomic variables on ISE within a time-varying parameter models with GARCH specification. It is found that several financial crisis and unsuccessful stabilization attempts led to a structural break on the impact of macroeconomic developments on stock exchange performance. In the second part, we attempt to measure the stock exchange market volatility within the time varying parameter framework. The conditional variances exhibit information about the structural uncertainty in ISE. We report the series for this type of uncertainty in this section.Item Open Access Effects of macroeconomic dynamics on stuck returns: case of Turkish stock exchange market(Statistical Economic and Social Research and Training Centre for Islamic Countries, 2005) Erdoğan, E.; Özlale, Ü.This study analyses the effects of macroeconomic dynamics on the Turkish Stock Exchange Markets by using a time varying parameter model with GARCH specification.Item Open Access Effects of monetary policy on the long memory in interest rates: Evidence from an emerging market(Elsevier, 2013) Sensoy, A.We study the presence of long memory in a variety of interest rates in Turkey by time-varying generalized Hurst exponent. We reveal that adopting inflation targeting cause a sudden and considerable decrease in the long memory in interest rates. The improvement lasts till the collapse of Lehman Brothers in 2008 which is followed with an increased persistence in interest rates. Moreover, degree of long memory increases with maturity which is in contrast to economic theory.Item Open Access The effects of US stock markets on the Istanbul stock exchange and its components(International Academy of Business and Economics, 2011) Berument, Hakan; Denaux, Z. S.; Yalcin, Y.With increasing financial integration (globalization), the performance of the emerging financial market has been substantially affected by the performances of major developed financial markets. This study explores how one of the leading Emerging Markets (the Istanbul Stock Exchange; ISE hereafter) and various components of the ISE index are affected by various indices from the US stock markets. The empirical evidence reveals that unexpected shocks in the US stock markets have both contemporaneous and first period effects on the Turkish stock market. The co-movements among the markets are positive and significant. Moreover, importantly, the Turkish stock market closely follows the movements of the US stock exchange which has small-cap companies rather than of the stock exchanges which have similar sectoral weights as in the Istanbul Stock Exchange.Item Open Access Efficiency of the Turkish stock exchange with respect to monetary variables: a cointegration analysis(Elsevier BV, 1996) Muradoglu, Y. G.; Metin, K.In this study, we test the semistrong form of the efficient market hypothesis in Turkey by using the recently developed techniques in time series econometrics, namely unit roots and cointegration. The long run relationship between stock prices and inflation is investigated by assuming the possible existence of a proxy effect. Conclusions are made as to the efficiency of the Turkish Stock Exchange and its possible implications for investors. To our knowledge, this is among the pioneering studies conducted in an emerging market that uses an updated econometric methodology to allow for an analysis of long run steady state properties together with short run dynamics.Item Open Access Financial crisis and changes in determinants of risk and return: an empirical investigation of an emerging market (ISE)(Multinational Finance Society, 1999) Muradoglu, G.; Berument, Hakan; Metin, K.This paper examines how determinants of volatility and stock returns change with financial crisis. The contributions of the paper are twofold. First, using a GARCH-M framework, risk and return are jointly modeled by using macroeconomic variables both in the variance and the mean equations. The conditional variance equation is specified by including macro-economic variables, a relevant information set for emerging economies, that is often overlooked in various GARCH specifications. Second, determinants of risk and return are investigated before during and after a major financial crisis at ISE. We show that, both the determinants of risk and the risk-return relationship change as the economy switches from one regime to the other.Item Open Access Financial earthquakes, aftershocks and scaling in emerging stock markets(Elsevier BV, 2004) Selçuk, F.This paper provides evidence for scaling laws in emerging stock markets. Estimated parameters using different definitions of volatility show that the empirical scaling law in every stock market is a power law. This power law holds from 2 to 240 business days (almost 1 year). The scaling parameter in these economies changes after a change in the definition of volatility. This finding indicates that the stock returns may have a multifractal nature. Another scaling property of stock returns is examined by relating the time after a main shock to the number of aftershocks per unit time. The empirical findings show that after a major fall in the stock returns, the stock market volatility above a certain threshold shows a power law decay, described by Omori's law. © 2003 Elsevier B.V. All rights reserved.Item Open Access Financial liberalisation: from segmented to integrated economies(Elsevier Inc., 2003) Taskin, F.; Muradoglu, G.Capital market liberalisation transforms segmented stock markets into integrated ones. Further impact should be expected on the dynamics of the rest of the domestic economy. This study presents evidence to that effect. A significant change after liberalisation is the emergence of world returns as an influential factor on other economic fundamentals. The information content of world returns influences emerging market returns prior to capital market liberalisation and this relation continues after capital market liberalisation. What is new after liberalisation is the influence of world returns on the dynamics of the domestic economy as a whole and its relation to stock returns. © 2003 Elsevier Inc. All rights reserved.Item Open Access House prices and bank loan portfolios in an emerging market: The role of bank ownership(Elsevier, 2022-01) Ayberk, İdil; Önder, ZeynepEvidence from developed markets suggests that banks increase their mortgage loans with house price appreciation, but the findings for commercial and consumer loans are mixed. How do banks change their loan allocation with the appreciation of house prices in an emerging market? Do state-owned banks behave differently? We answer these questions using province-level data from Turkey over 2007Q4–2015Q2 and unavailable land share and mortgage rate as instruments for house price growth. We find that banks substitute away from commercial and industrial loans to mortgage, consumer, and construction loans as house prices appreciate. In addition, state-owned banks misallocate their loans by reducing their commercial and agricultural lending more than private banks. Our results imply that the policymakers should consider the adverse effects of house price appreciation due to the crowding-out of commercial loans, especially by state-owned banks