Browsing by Subject "Financial markets"

Now showing 1 - 12 of 12

Open Access
Asymmetric effects of U.S. monetary policy on stock market volatility: an analysis using asymmetric GARCH model
(2024-08) Rehman, Ubaid Ur
This thesis examines the asymmetric effects of U.S. monetary policy and interest rates on the volatility of returns in the stock market of emerging countries using an asymmetric generalized autoregressive conditional heteroscedasticity model. The model incorporates the interest rate movements in the U.S. in the conditional variance equation and uses a dummy to explicate the asymmetric response of the volatility of the returns. Using daily returns data of 14 indices from a selection of countries and creating a dummy variable for the daily federal funds rate, the results show that the response of volatility to the contractionary movement in interest rate is significantly higher than the expansionary movement. The results also the differences in the response across the countries given the heterogeneity in global trade integration, financial structure, and financial developments. Moreover, the high-frequency identification of monetary policy surprises is also used for the analyses of the response of monetary policy. This exercise shows that the markets perceive the contractionary policy differently and differentiate between growth shocks and pure monetary policy shocks as well as the information effect of the FOMC decisions on the meeting dates.
Open Access
Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications
(Elsevier B.V., 2017) Mensi, W.; Hammoudeh, S.; Al-Jarrah, I. M. W.; Sensoy A.; Kang, S. H.
This paper investigates the time-varying equicorrelations and risk spillovers between crude oil, gold and the Dow Jones conventional, sustainability and Islamic stock index aggregates and 10 associated disaggregated Islamic sector stock indexes (basic materials, consumer services, consumer goods, energy, financials, health care, technology, industrials, telecommunications and utilities), using the multivariate DECO-FIAPARCH model and the spillover index of Diebold and Yilmaz (2012). We also conduct a risk management analysis at the sector level for commodity-Islamic stock sector index portfolios, using different risk exposure measures. For comparison purposes, we add the aggregate conventional Dow Jones global index and the Dow Jones sustainability world index. The results show evidence of time-varying risk spillovers between these markets. Moreover, there are increases in the correlations among the markets in the aftermath of the 2008–2009 GFC. Further, the oil, gold, energy, financial, technology and telecommunications sectors are net receivers of risk spillovers, while the sustainability and conventional aggregate DJIM indexes as well as the remaining Islamic stock sectors are net contributors of risk spillovers. Finally, we provide evidence that gold offers better portfolio diversification benefits and downside risk reductions than oil. © 2017 Elsevier B.V.
Open Access
Emeklilik fon yöneticilerinin yatırım inançları üzerine yazın taraması
(Bursa Uludağ Üniversitesi, 2020) Önkal, Dilek; Jansson, M; Eryılmaz, F.; Sonsino, D
Son yıllarda emeklilik fonlarının yönetimine ilişkin yaklaşımda büyük bir değişim yaşanmaktadır. Yaşanan bu değişimin emeklilik fonlarının işletme modellerini ve yatırım işlevlerini nasıl tasarlamaları gerektiği konusunda derin etkileri olmuştur. Bu noktada emeklilik fonlarının sermaye piyasalarının işleyişini nasıl algıladığı ve emeklilik fonu kuruluşlarının bu görüşleri ile müşterilerine nasıl bir değer katabilecekleri konusunda yatırım inaçlarını formüle etmeleri gerektiği anlaşılmıştır. Yatırım inançları temelde bir emeklilik fonunun gelecekteki performansını etkileyen yatırım felsefesi ve yatırım sürecindeki stratejik seçimlerini ele almaktadır. Bir diğer deyişle emeklilik kurumunun temel hedeflerinin ne olduğunu ve söz konusu temel hedeflere nasıl ulaşmayı hedeflediklerini göstermektedir. Bu bağlamda bu çalışmada ilk olarak emeklilik fonlarına ait yatırım inançlarının neler olduğu ele alınacak ve ardından konu ile ilgili yapılan ampirik çalışmalara yer verilerek bu konuda gelecek çalışmalara önerilerde bulunulacaktır.
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, Ahmet
The 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.
Open Access
Financial valuation of supply chain contracts
(John Wiley & Sons, 2011) Pınar, Mustafa Ç.; Şen, Alper; Erön, A. G.; Kouvelis, P.; Dong, L.; Boyabatli, O.; Li, R.
This chapter focuses on a single buyer‐single supplier multiple period quantity flexibility contract in which the buyer has options to order additional quantities of goods in case of a higher than expected demand in addition to the committed purchases at the beginning of each period of the contract. It takes the buyer’s point of view and finds the maximum value of the contract for the buyer by analyzing the financial and real markets simultaneously. The chapter assumes both markets evolve as discrete scenario trees. Under the assumption that the demand of the item is perfectly positively correlated with the price of a risky security traded in the financial market, the chapter presents a model to find the buyer’s maximum acceptable price of the contract. Applying duality theory of linear programming, the chapter obtains a martingale expression for the value of the contract.
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, Ahmet
One 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.
Open Access
News releases and stock market volatility: intraday evidence from borsa Istanbul
(Elsevier Inc., 2015) Solakoglu, M. N.; Demir, N.
In this study, we investigate the effect of public information arrival on return volatility for Borsa Istanbul (BIST) using intraday, 60-min returns between October 3, 2013 and March 31, 2014. Stock return and return volatility is expected to react to news arrival if such news causes market participants to adjust their portfolios. To measure new information arrival, we count the number of daily news headlines for Turkey, the United States, and a sample of European countries with close trading ties with Turkey. Furthermore, we focus on economic news and particularly on news on real economy and inflation. In addition, along with the BIST100 index, which is the most commonly used market portfolio index, we also utilize Second National Market (SNM) index. Our results show that news arrival influences return volatility negatively, and it has no significant effect on index returns. Moreover, return volatility responds significantly to negative surprises in GDP and inflation announcements. Finally, we do not provide evidence that indicates differences in the usage of information that arrives to the market between BIST100 and SNM investors. © 2015 Elsevier Inc. All rights reserved.
Open Access
Organization and functioning of liberalized electricity markets: An overview of the Dutch market
(Elsevier Ltd, 2015) Tanrisever, F.; Derinkuyu, K.; Jongen, G.
Abstract In this paper, we examine the organization and the functioning of the Dutch electricity market. First we describe the organization of the Dutch electricity supply chain and the role of the main market participants including the transmission system operator, distribution system operators, program responsible parties and metering companies. We then describe the organization of financial trading and clearing mechanism of electricity through the organized futures exchange (The European Energy Derivatives Exchange), and the spot market (Amsterdam Power Exchange) which includes the day-ahead market and intra-day markets. We also detail the functioning of the imbalance market and reserve capacity management in the Netherlands. Through a set of numerical analysis, we provide an exploratory analysis of the APX day-ahead spot prices and the real-time imbalance prices using electricity price data from 2002 to 2013. We observe the price spikes both in the day-ahead and imbalance markets usually occur around 6-10 AM and 5-7 PM. We also observe that in the imbalance market system overages happen significantly more often than shortages pointing out that the market tends to buy more than what is demanded. This could be explained by the risk attitude of the market participants in the imbalance market.
Open Access
Quality versus quantity the limited impact of compulsory schooling laws on household financial behavior
(2020-08) Leka, Marie
The low level of household financial market participation is one of the important puzzles remaining to be solved in modern economics. Yet, we have still to understand its determinants. We exploit the exogenous variation induced by a change in compulsory schooling laws in Turkey to estimate the impact of compulsory schooling laws on household borrowing and saving decisions. Using Reduced Form regressions, we find that the education reform increased the schooling level of household heads and had a positive impact on households’ propensity to hold savings in bank accounts. However, we do not observe such a relationship in the remaining measures of saving and borrowing. These results point to a limitation of the impact of policies that only increase the years of schooling on financial market participation, and highlight the importance of the inclusion of financial training in early education curriculums.
Open Access
Research handbook of financial markets
(Edward Elgar Publishing, 2023-05-18) Gürkaynak, Refet; Wright, Jonathan
The Research Handbook of Financial Markets carefully discusses the histories and current states of the most important financial markets and institutions, as well as explicitly underscoring open questions that need study. By describing the institutional structure of different markets and highlighting recent changes within them, it accurately highlights their evolving nature.
Open Access
Simulation of benefits and risks after the planned privatization of the pension system in Turkey
(Routledge, 2002) Teksoz, A. T.; Sayan, S.
The recently started process of social security reform in Turkey is widely argued to have a significant potential to affect the direction of further development of financial markets in the country in the years ahead, particularly through the planned introduction of privately managed defined-contribution (or money purchase) retirement plans. This paper aims to evaluate the prospects for the emergence and growth of a demand for these plans by analyzing investment risks and associated benefits facing employees purchasing them and to assess the effectiveness of various risk-reduction strategies that might be pursued by individuals as well as the government. Within this framework, a money purchase pension plan, supplementary to the basic state scheme, is considered. Possible variations in a member's pension income, arising due to stochastic increases in salary earnings and investment returns under alternative portfolios, are captured using an actuarial simulation model designed for this purpose. The cost to the government of providing guarantees on minimum pension incomes and the effects of changes in individuals' investment strategies, retirement ages, and career patterns on the retirement benefits obtained are investigated, and the results are related to various aspects of social security reform-financial market interaction in Turkey. © 2002 M.E. Sharpe, Inc. All rights reserved.
Open Access
Türkiye'de para politikasının aktarımı: para politikasının mali piyasalara etkisi
(BİLGESEL Yayıncılık San. ve Tic. Ltd. Şti., 2009) Aktaş, Z.; Alp, H.; Gürkaynak, R.; Kesriyeli, M.; Orak, M.
In this paper the effects of Central Bank of Turkey's interest rate decisions on relatively longer-term interest rates in financial markets and risk premia as well as on returns of the ISE-100, ISE-Financial indexes and exchange rates are studied by separating the anticipated component of monetary policy from that unexpected by financial markets. The results show that policy rate changes have significant effects on financial markets, especially on bond yields. Equity returns are not significantly driven by monetary policy surprises, whereas the responses of exchange rates are small. Thus, it appears that the transmission of monetary policy in Turkey is mainly through its effects on longer-term interest rates.