Browsing by Author "Eraslan, V."

Now showing 1 - 3 of 3

Open Access
The effectiveness of technical trading rules in cryptocurrency markets
(Elsevier, 2019) Corbet, S.; Eraslan, V.; Lucey, B.; Şensoy, Ahmet
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 high-frequency Bitcoin returns. Overall, our results provide significant support for the moving average strategies. In particular, variable-length moving average rule performs the best with buy signals generating higher returns than sell signals.
Open Access
Other people's money: A comparison of institutional investors
(Elsevier, 2022-12) Eraslan, V.; Omole, John; Sensoy, Ahmet; Ozdamar, Melisa
Using unique equity ownership data, we investigate the stock picking preferences and return forecasting performances of institutional investors that manage their own money against those that manage others’. We reveal that these investors’ preferences significantly differ in historical patterns, liquidity and prudence when picking stocks. In particular, ‘own money managers’ display a risk-seeking behaviour whereas “others’ money managers” exhibit risk-averse characteristics. However, our results indicate that both types of investors are well informed, albeit own money managers excel in the short-term while others’ money managers are successful in the long-term.
Open Access
Sensitivity of US equity returns to economic policy uncertainty and investor sentiments
(Elsevier, 2021-02-24) Rehman, M. U.; Şensoy, Ahmet; Eraslan, V.; Shahzad, S. J. H.; Vo, X. V.
This paper examines the sensitivity of major US sectoral returns to economic policy uncertainty and investor sentiments. Our analysis is based on weekly frequency and ranges from January 1995 to December 2015 covering a span of 20 years. Considering existing, however limited evidence of non-linear structure exhibited by investor sentiments and economic policy uncertainty and on the basis of our non-linear diagnostics, we use novel technique of non-parametric causality in quantiles approach proposed by Balcilar, Gupta, and Pierdzioch (2016). Our results highlight that economic policy uncertainty and investor sentiments act as driving factors for US sectoral returns. The nature of relationship is reported as asymmetrical for stock returns and symmetrical for variance of returns with an exception of Healthcare sector for economic policy uncertainty and bullish market sentiments. Our study carries implications for portfolio diversification and policy makers for forecasting market efficiency and economic trends.