Now showing items 1-7 of 7

    • Are stock prices too volatile to be justified by the dividend discount model? 

      Akdeniz, L.; Salih, A. A.; Ok, S. T. (Elsevier, 2007)
      This study investigates excess stock price volatility using the variance bound framework of LeRoy and Porter [The present-value relation: tests based on implied variance bounds, Econometrica 49 (1981) 555-574] and of Shiller ...
    • The Behavior of stock returns in Turkey: 1986-1988 

      Başçı, Erdem (Bilkent University, 1989)
      This study investigates distributional and time series behavior of common stock returns in Istanbul Stock Exchange (ISE) for the period 1986-1988. The distributions of weekly price returns deviate from normality with ...
    • Bidding structure, market efficiency and persistence in a multi-time tariff setting 

      Avci-Surucu, E.; Aydogan, A. K.; Akgul, D. (Elsevier, 2016)
      The purpose of this study is to examine the fractal dynamics of day ahead electricity prices by using parametric and semi parametric approaches for each time zone in a multi-time tariff setting in the framework of bidding ...
    • Data analytics in stock markets 

      Salari, Hajar Novin (Bilkent University, 2019-07)
      One of the important strategies that is employed in finance is data analytics. Data Analytics is the science of investigating raw data with intention of drawing meaningful information and useful conclusions. Recently, ...
    • Generalized Hurst exponent approach to efficiency in MENA markets 

      Sensoy, A. (Elsevir BV, 2013)
      We study the time-varying efficiency of 15 Middle East and North African (MENA) stock markets by generalized Hurst exponent analysis of daily data with a rolling window technique. The study covers a time period of six years ...
    • An investigation of anomalies at Istanbul Securities Exchange: size and E/P effects 

      Civelekoğlu, Hakan (Bilkent University, 1993)
      This study investigates the presence of 'sizeeffect' and 'E/P effect' at Istanbul Securities Exchange for the period January 1990-December 1992. 24 months of monthly return data prior to test year are used to ...
    • Time-varying long range dependence in market returns of FEAS members 

      Sensoy, A. (Elsevier, 2013)
      We study the time-varying efficiency of nineteen members of the Federation of Euro-Asian Stock Exchanges (FEAS - an international organization comprising the main stock exchanges in Eastern Europe, the Middle East and ...