Browsing by Author "Orhan, Mehmet"
Now showing 1 - 4 of 4
- Results Per Page
- Sort Options
Item Open Access Comparison of several estimators for the covariance of the coefficient matrix(1995) Orhan, MehmetThe standard regression analysis assumes that the variances of the disturbance terms are constant, and the ordinary least squares (OLS) method employs this very crucial assumption to estimate the covariance of the disturbance terms perfectly, but OLS fails to estimate well when the variance of the disturbance terms vary across the observations. A very good method suggested by Eicker and improved by White to estimate the covariance matrix of the disturbance terms in case of heteroskedeisticity was proved to be biased. This paper evaluates the performance of White’s method as well as the OLS method in several different settings of regression. Furthermore, bootstrapping, a new method which very heavily depends on computer simulation is included. Several types of this method are used in several cases of homoskedastic, heteroskedastic, balanced, and unbalanced regressions.Item Open Access Impact of macroeconomic indicators on short selling: evidence from the Tokyo stock exchange(Elsevier Inc., 2012) Solakoğlu, M. Nihat; Orhan, Mehmet; Gregoriou, G. N.This chapter examines the existence of cointegration between short selling volume and the Nikkei 225 Index to investigate the permanent relation between the two. For this purpose, the Japanese financial markets with monthly data from November 2005 to October 2009 were examined to document if a causality relation exists between short selling volume and macroeconomic variables, such as GDP, bond yield, and exchange rate, as well as the Nikkei 225 Index. Given the characteristics of Japanese short sellers, it is expected that a causal relationship exists between macroeconomic variables and short selling volume, which indicates that Japanese short sellers are informed traders. Based on this finding, it can also be assumed indirectly that the tipping hypothesis does not apply to Japanese short sellers. In addition, the existence of cointegration between short selling volume and the Nikkei 225 Index are investigated to determine whether a long run relationship exists between the two. The study found that the short selling volume, the Nikkei 225 Index, and the exchange rate have unit roots and are thus nonstationary; however, the bond yield rate is stationary. Using the Granger causality test, it also showed bidirectional causality between short selling volume and the Nikkei 225 Index. However, there is no causality between short selling volume and GDP, as well as bond yield rate. The findings also document that exchange rate Granger causes a short selling volume, but short selling volume does not Granger cause exchange rate. These findings thus indicate that the short sellers' information set contains the Nikkei 225 Index and exchange rate movements, but not macro fundamentals. The results also document the permanent long run relationship between short selling volume and the Nikkei 225 Index. © 2012 Elsevier Inc. All rights reserved.Item Open Access Robust regression, HCCM estimators, and an Empirical Bayes application(1999) Orhan, MehmetThis Ph.D. thesis includes three topics of econometrics where the chapters of the whole study are devoted to robust regression analysis, research on the estimators for the covariance matrix of a heteroskedastic regression and finally an application of the Empirical Bayes method to some real data from Istanbul Stock Exchange. Some robust regression techniques are applied to some data sets to show how outliers of a data set may lead to wrong inferences. The results reveal that the former studies have gone through some wrong results with the effect of the outliers that were not detected. Second chapter makes a thorough evaluation of the existing heteroskedasticity consistent covariance matrix estimators where the Maximum Likelyhood estimator recently promoted to the literature by Zaman is also taken into consideration. Finally, some empirical study is carried out in the last part of the thesis. The firms of ISE are categorized into sectors and some estimation is done over an equation which is very common and simple in the finance literature.Item Open Access The role of macro and country-specific factors on the use of credit derivatives: sovereign credit default swap market(McGraw-Hill, 2008) Orhan, Mehmet; Solakoğlu, Mehmet Nihat; Gregoriou, G. N.; Ali, P. U.