Business Administration
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Browsing Business Administration by Author "Akyıldırım, E."
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Item Open Access The development of Bitcoin futures: exploring the interactions between cryptocurrency derivatives(Elsevier, 2020) Akyıldırım, E.; Corbet, S.; Katsiampa, P.; Kellard, N.; Şensoy, AhmetWe 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 effects sourced from both fraudulent and regulatory unease within the industry. While analysing breakpoints in efficiency, we verify the view that Bitcoin futures dominate price discovery relative to spot markets. However, we add to this research by finding that CBOE futures are found to be the leading source of informational flow when compared directly to their CME equivalent.Item Open Access The financial market effects of international aviation disasters(Elsevier, 2020) Akyıldırım, E.; Corbet, S.; Efthymiou, M.; Guiomard, C.; O'Connell, J. F.; Şensoy, AhmetThe 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 attributed to the incident, implicitly possessing the potential to generate significant financial market price volatility. In this paper, we investigate a number of stylised facts relating to the effects of airline disasters on aviation stocks, while considering contagion effects, information flows and the sources of price discovery within the broad sector. Results indicate a substantially elevated levels of share price volatility in the aftermath of aviation disasters, while cumulative abnormal returns present sharp under-performance of the analysed companies relative to international exchanges. When considering an EGARCH analysis, we observe that share price volatility appears to be significantly influenced by the scale of the disaster in terms of the fatalities generated. Significant contagion effects upon the broad aviation index along with substantial changes in traditional price discovery channels are also identified. The role that the spread of information on social media, whether it be correct or of malicious origins, cannot be eliminated as an explanatory factor of these changing dynamics over time and region.Item Open Access Forecasting high-frequency excess stock returns via data analytics and machine learning(Wiley-Blackwell Publishing Ltd., 2021-11-23) Akyıldırım, E.; Nguyen, D. K.; Şensoy, Ahmet; Šikić, M.Borsa Istanbul introduced data analytics to present additional information about its market conditions. We examine whether this product can be utilized via various machine learning methods to predict intraday excess returns. Accordingly, these analytics provide significant prediction ratios above 50% with ideal profit ratios that can reach up to 33%. Among all the methods considered, XGBoost (logistic regression) performs better in predicting excess returns in the long-term analysis (short-term analysis). Results provide evidence for the benefits of both the analytics and the machine learning methods and raise further discussion on the semistrong market efficiency.Item Open Access Forecasting high-frequency stock returns: a comparison of alternative methods(Springer, 2022-06) Akyıldırım, E.; Bariviera, A.; Nguyen, D. K.; Şensoy, AhmetWe compare the performance of various advanced forecasting techniques, namely artificial neural networks, k-nearest neighbors, logistic regression, Naïve Bayes, random forest classifier, support vector machine, and extreme gradient boosting classifier to predict stock price movements based on past prices. We apply these methods with the high frequency data of 27 blue-chip stocks traded in the Istanbul Stock Exchange. Our findings reveal that among the selected methodologies, random forest and support vector machine are able to capture both future price directions and percentage changes at a satisfactory level. Moreover, consistent ranking of the methodologies across different time frequencies and train/test set partitions prove the robustness of our empirical findings.Item Open Access The impact of blockchain related name changes on corporate performance(Elsevier, 2020) Akyıldırım, E.; Corbet, S.; Şensoy, Ahmet; Yarovaya, L.This paper examines the impact of blockchain and crypto-related name changes on corporate and financial performance of the corporations. We document several pieces of evidence suggesting that companies who partake in such “crypto-exuberant” naming practices become more volatile and offer substantial and persistent stock market premiums as a reward for their corporate identity change. However, the retroactive name changes harm firm's short-term profitability and have a dampening effect on financial leverage of the company. This paper advances the Dotcom effect literature by providing novel results on the changing traditional pathways of price discovery and information flows after the announcement of corporate name changes to blockchain-related names. The identified contagion channels display that crypto-exuberant companies become more susceptible to cryptocurrency markets, which should interest regulators and investors.Item Open Access The influence of aviation disasters on engine manufacturers: An analysis of financial and reputational contagion risks(Elsevier BV, 2021-03) Akyıldırım, E.; Corbet, S.; O'Connell, J. F.; Şensoy, AhmetOne of the key sub-sectors in the aviation industry includes that of engine manufacturers, who have long led technological advancement and the battle to reduce airline carbon emissions. However, these same companies have been susceptible to a number of issues that have been central to international airlines due to higher costs and competition pressures. When an aviation disaster occurs, there is widespread allocation of blame and responsibility, which has left engine manufacturers exposed until the true cause is identified. This can generate many issues with regards to reputational damage and ability to generate finance. We set out to analyse such interactions over time and region. Our results indicate that engine manufacturers have had to contend with substantial income and financial leverage issues in the aftermath of a major aviation disaster, irrespective of whether they have been identified as a causation factor in the incident itself. Further, we clearly identify that there exists an average one day loss of 1.64% in the immediate aftermath of aviation incidents. Substantial corporate instability is found to persist without the company being in any way responsible for the incident. Shortly thereafter, contagion effects increase as speculation diminishes and more factual evidence arrives. The role of social media is examined as a potential contributory factor.Item Open Access Investor attention and idiosyncratic risk in cryptocurrency markets(Routledge, 2021-12-18) Yao, S.; Kong, X.; Şensoy, Ahmet; Akyıldırım, E.We explore the impact of investor attention on idiosyncratic risk in the cryptocurrency markets. Taking the Google Trends Index as the measure of investor attention, we find that investor attention can significantly reduce cryptocurrencies’ idiosyncratic risks by increasing the liquidity. We further study possible cross-sectional variations of the effect of investor attention on idiosyncratic risk. Evidence shows that the investor attention effect is more pronounced for smaller-cap and younger cryptocurrencies. Moreover, a relatively stable external market environment and rising market state are conducive to the further play of the attention effect.Item Open Access The relationship between implied volatility and cryptocurrency returns(Elsevier, 2020) Akyıldırım, E.; Corbet, S.; Lucey, B.; Şensoy, Ahmet; Yarovaya, L.We analyse the relationship between the price volatility of a broad range of cryptocurrencies and that of implied volatility of both United States and European financial markets as measured by the VIX and VSTOXX respectively. Overall, our results indicate the existence of time-varying positive interrelationships between the conditional correlations of cryptocurrencies and financial market stress. Further, these correlations are found to increase substantially during periods of high financial market stress, indicating that the contagion of significant financial market fear influences these new financial products.Item Open Access Riding the wave of crypto-exuberance: the potential misusage of corporate blockchain announcements(Elsevier, 2020) Akyıldırım, E.; Corbet, S.; Cumming, D.; Lucey, B.; Şensoy, AhmetCryptocurrencies have been broadly scrutinised in recent times for a host of concerning regulatory and cybercriminality issues. Although steps have been taken to promote regulatory sufficiency in the near future, we examine the avenues through which this extremely high-risk industry can derive potentially devastating contagion channels, influencing both unwilling and unsuspecting investors. We focus this research on the expressions of interest by publicly traded companies across the world to utilise cryptocurrency and blockchain projects. We find evidence that there exists a substantial stock price premium and sustained increase in volatility in the aftermath of blockchain announcements, with emphasis on highly-speculative motives such as coin creation and corporate name changes. Changes in price discovery and information flows are found to be largely determined from cryptocurrency-based pricing sources in the aftermath of speculative announcements. We discuss the inherent ethical and legal issues, considering as to whether such announcements are simply an attempt to artificially manipulate share prices and take part in the current phase of crypto-exuberance.Item Open Access Statistical arbitrage: factor investing approach(Springer Science and Business Media Deutschland GmbH, 2023-09-16) Akyıldırım, E.; Goncu, A.; Hekimoğlu, A.; Nguyen, D. K.; Şensoy, AhmetWe introduce a continuous time model for stock prices in a general factor representation with the noise driven by a geometric Brownian motion process. We derive the theoretical hitting probability distribution for the long-until-barrier strategies and the conditions for statistical arbitrage. We optimize our statistical arbitrage strategies with respect to the expected discounted returns and the Sharpe ratio. Bootstrapping results show that the theoretical hitting probability distribution is a realistic representation of the empirical hitting probabilities. We test the empirical performance of the long-until-barrier strategies using US equities and demonstrate that our trading rules can generate statistical arbitrage profits. © 2023, The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature.Item Open Access A tale of two risks in the EMU sovereign debt markets(Elsevier B.V., 2018-09) Akyıldırım, E.; Nguyen, D. K.; Şensoy, AhmetWe introduce time-varying systematic yield risk (SYR) and systematic liquidity risk (SLR) measures for sovereign bond markets of the major European Monetary Union (EMU) country members. Using daily sovereign bond data, our analysis shows that trend components of both types of risk are strongly positively correlated. Vector auto-regression and generalized impulse response analysis reveal that shocks to the SLR has significant impact on SYR lasting up to 5 days, whereas shocks to the SYR has no significant impact on SLR. Since mid-2015, both risks are gradually increasing and as of 2018, they are at their highest levels over the last five years.