Browsing by Author "Şensoy, Ahmet"
Now showing items 1-20 of 63
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Applications of machine learning methods in complex economics and financial networks
(Hindawi Limited, 2020-04) -
Big data analytics, order imbalance and the predictability of stock returns
(Elsevier, 2021-09-24)Financial institutions have adopted big data to a considerable extent to provide better investment decisions. Consequently, high-frequency algorithmic traders use a vast amount of historical data with various statistical ... -
Building eco-friendly corporations: The role of minority shareholders
(Springer, 2022-12-06)Based on China’s mandatory requirement for listed firms to implement online voting in their annual general shareholder meetings, we investigate whether and how minority shareholders influence corporate environmental ... -
Can investors’ informed trading predict cryptocurrency returns? Evidence from machine learning
(Elsevier Inc., 2022-05-24)As an emerging asset, cryptocurrencies have attracted more and more attention from investors and researchers in recent years. With the gradual convergence of the investors in cryptocurrency and traditional financial markets, ... -
Commonality in ask-side vs. bid-side liquidity
(Elsevier, 2018)We decompose the cost of trading into buy-side and sell-side using the limit order book. By using various position sizes to trade, we look for commonality in liquidity on different sides and also at the different levels ... -
Commonality in FX liquidity: High-frequency evidence
(Elsevier, 2020-06)We test the existence and reveal the main properties of commonality in liquidity for the foreign exchange (FX) markets at the high-frequency level. Accordingly, commonality in FX liquidity exists even at the high-frequency ... -
Correction to: High frequency multiscale relationships among major cryptocurrencies: portfolio management implications
(SpringerOpen, 2021-10-29)This paper examines the high frequency multiscale relationships and nonlinear multiscale causality between Bitcoin, Ethereum, Monero, Dash, Ripple, and Litecoin. We apply nonlinear Granger causality and rolling window ... -
Covid-19 pandemic and tail-dependency networks of financial assets
(Elsevier, 2020-10)This study provides evidence on the frequency-based dependency networks of various financial assets in the tails of return distributions given the extreme price movements under the exceptional circumstance of the Covid-19 ... -
The dark side of marital leadership: Evidence from China
(Elsevier BV, 2021-10)Using a unique dataset of Chinese private firms, we find that marital leadership is associated with higher propensity for financial fraud. We examine the potential economic mechanisms that lead to this result, finding that ... -
The development of Bitcoin futures: exploring the interactions between cryptocurrency derivatives
(Elsevier, 2020)We utilise a high-frequency analysis to investigate the period surrounding the establishment of two new futures contracts based on the performance of Bitcoin. Our analysis shows that there have been significant pricing ... -
Does bitcoin co-move and share risk with Sukuk and world and regional Islamic stock markets? Evidence using a time-frequency approach
(Elsevier, 2020)This paper examines the co-movements between Bitcoin (BTC) and the Dow Jones World Stock Market Index, regional Islamic stock markets, and Sukuk markets. We apply cross wavelet transform and wavelet coherence analysis with ... -
Does short-term technical trading exist in the Vietnamese stock market?
(Elsevier, 2020-06-17)The Vietnamese stock market provides an interesting and enriching test field for the application of trading expert systems as its economy is opening up, has high growth rate and may offer risk diversification opportunities. ... -
Downside risk in Dow Jones Islamic equity indices: Precious metals and portfolio diversification before and after the COVID-19 bear market
(Elsevier, 2021-07-31)Besides great turmoil in financial markets, the COVID-19 pandemic also disrupted the global supply chain, putting the precious metal market into great uncertainty. In this study, we revisit the diversifying role of precious ... -
Dynamic integration and network structure of the EMU sovereign bond markets
(Springer, 2019)In this paper, we propose a novel concept of correlation-based stable networks to empirically investigate the dynamic integration and network structure of the European Monetary Union (EMU) sovereign bond markets. The ... -
Dynamics of return and liquidity (co) jumps in emerging foreign exchange markets
(Elsevier BV, 2021-07)We investigate the dynamics of return and liquidity (co) jumps for three of the most traded emerging market currencies vis-à-vis US dollar. Accordingly, an increase in the average bid-ask spread (realized volatility) ... -
Early warning systems for currency and systemic banking crises in Vietnam
(Routledge, 2021-08-20)This paper introduces a new early warning system (EWS) for cur rency and systemic banking crises in emerging and frontier emer ging markets, which combines the methods of Signal, Logit/Probit, BMA, and 2SLS. We apply this ... -
The effectiveness of technical trading rules in cryptocurrency markets
(Elsevier, 2019)We analyse various technical trading rules in the form of the moving average-oscillator and trading range break-out strategies to specifically test resistance and support levels and their trading performance using ... -
Energy, precious metals, and GCC stock markets: Is there any risk spillover?
(Elsevier, 2019)We analyze dynamic return and risk spillovers between commodity futures (energy & precious metals) and the Gulf Cooperation Council (GCC) stock markets. Utilizing dynamic equicorrelation (DECO) models and the spillover ... -
Financial contagion during COVID–19 crisis
(Elsevier, 2020-05)This study examines how financial contagion occurs through financial and nonfinancial firms between China and G7 countries during the COVID–19 period. The empirical results show that listed firms across these countries, ... -
The financial market effects of international aviation disasters
(Elsevier, 2020)The spread of misinformation with regards to aviation disasters continues to be a point of concern for aviation companies. Much of this information usually surrounds speculation based on the cause and responsibility ...
