Now showing items 1-12 of 12

    • Are the European markets integrated? Evidence from French stocks cross-listed on the German market 

      Bayar, A.; Önder, Z. (2000)
      This study examines the behaviour of French stocks that are cross-listed on Xetra for the period between May 1998 and November 1999. It is found that after French stocks are cross-listed in the German market, their ...
    • Asymmetric stochastic volatility in emerging stock markets 

      Selçuk, F. (Routledge, 2005)
      Daily stock market volatility in a sample of emerging market economies is investigated utilizing an asymmetric stochastic volatility (ASV) model which is estimated with Markov Chain Monte Carlo (MCMC) method. The results ...
    • The day of the week effect on stock market volatility 

      Berument, H.; Kiymaz, H. (Springer New York LLC, 2001)
      This study tests the presence of the day of the week effect on stock market volatility by using the S&P 500 market index during the period of January 1973 and October 1997. The findings show that the day of the week effect ...
    • Econometric tests of asset price bubbles: taking stock 

      Gürkaynak, R. S. (Wiley-Blackwell Publishing Ltd., 2008)
      Can asset price bubbles be detected? This survey of econometric tests of asset price bubbles shows that, despite recent advances, econometric detection of asset price bubbles cannot be achieved with a satisfactory degree ...
    • Effective transfer entropy approach to information flow between exchange rates and stock markets 

      Sensoy, A.; Sobaci, C.; Sensoy, S.; Alali, F. (Elsevier Ltd, 2014)
      We investigate the strength and direction of information flow between exchange rates and stock prices in several emerging countries by the novel concept of effective transfer entropy (an alternative non-linear causality ...
    • Essays on financial development and economic growth 

      Yüncü, İlkay Şendeniz (Bilkent University, 2007)
      The relationship between nancial development and economic growth is analyzed in this dissertation. The rst essay investigates the roles of banking sector development and stock market development in economic growth and ...
    • Financial earthquakes, aftershocks and scaling in emerging stock markets 

      Selçuk, F. (Elsevier BV, 2004)
      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 ...
    • Foreign equity trading and average stock-return volatility 

      Umutlu, M.; Akdeniz, L.; Altay-Salih, A. (Wiley-Blackwell Publishing, 2013)
      We examine whether there is a relationship between foreign equity trading and average total volatility, measured as the value-weighted average of stock-return variance in the Istanbul Stock Exchange. We employ foreign ...
    • Liquidity and price volatility of cross-listed French stocks 

      Bayar, A.; Önder, Z. (2005)
      The changes in the volatility and liquidity of French stocks are examined before and after their cross-listing on the German electronic market, the Xetra. The results are mixed in terms of the change in liquidity and ...
    • Performance of soccer on the stock market: evidence from Turkey 

      Berument, H.; Ceylan, N. B.; Gozpinar, E. (Pergamon Press, 2006)
      This paper assesses the effect of soccer success on stock market returns for three major Turkish teams (Besiktas, Fenerbahce and Galatasaray) after certain characteristics of the stock market are controlled for. The empirical ...
    • The power of signaling: presidential leadership and rhetoric over 20 years 

      Kiessling, T.; Martin, T. M.; Yasar, B. (Emerald Group Publishing Ltd., 2017)
      Purpose: The purpose of this paper is to explore the power of leadership rhetoric with a theoretical foundation of signaling theory. Past research mostly focus on followers and not other stakeholders and the authors attempt ...
    • Sources of volatility in stock returns in emerging markets 

      Caner, S.; Önder, Z. (Routledge, 2005)
      In this study, the short-term fluctuations in the monthly returns on composite indexes of 17 emerging markets affected by the financial crises in the late 1990s and 2000 are decomposed with vector autoregressive estimates. ...