Browsing by Subject "Liquidity"

Now showing 1 - 12 of 12

Open Access
Convergence and anchoring of yield curves in the euro area
(M I T Press, 2011) Ehrmann, M.; Fratzscher, M.; Gürkaynak, R. S.; Swanson, E. T.
We study the convergence of European bond markets and the anchoring of inflation expectations in the euro area from 1993 to 2008, using high-frequency bond yield data for France, Germany, Italy, and Spain; some smaller euro-area countries; and a control group comprising the United Kingdom, Denmark, and Sweden. We find that Economic and Monetary Union (EMU) led to substantial convergence in euro-area sovereign bond markets in terms of interest rate levels, unconditional daily fluctuations, and conditional responses to major macroeconomic announcements. Our findings also suggest a substantial increase in the anchoring of long-term inflation expectations since EMU, particularly for Italy and Spain. Finally, we present evidence that the elimination of exchange rate risk and the adoption of a common monetary policy were the primary drivers of bond market convergence in the euro area, as opposed to fiscal policy and the loose exchange rate peg of the 1990s.
Open Access
Dynamic interaction between liquidity and sovereign credit risk : evidence from Turkey
(2017-06) Ahçı, Mustafa
In this thesis, the dynamic interaction between liquidity and credit risk for Turkey, which highly needs capital inflow to finance its current account deficit, is examined. A firm/country defaults when it is unable to pay the lender (buyer of its bond) expected cash flows it committed to pay. Bond holders expect to be compensated by a premium in exchange for bearing default risk. Liquidity, on the other hand, is basically defined as the ease of trading a security, especially in large quantities quickly, at low cost and without moving the price. The investors require a premium for a possible difficulty in selling the securities in question. Although, there is a vast literature on the question of how to measure liquidity and default (credit) risk and the pricing impact of these two risk factors on financial assets, the dynamic interaction between these two has received very little attention, especially for sovereign (government) securities. If it turns out that credit (liquidity) risk affects liquidity (credit) risk, then any (precautionary) measures to improve one of these risks may alleviate the severe implication of the other. To this end, we used a model proposed in the literature to observe the dynamic interaction between liquidity and credit risk for Turkey. Using sovereign bond market data of Turkey, we build three different measures for liquidity and exploit sovereign Credit Default Swap (CDS) spreads to proxy credit risk in order to observe lead-lag relation between these two risk factors in a Vector Auto Regressive (VAR) setting. We find significant evidence of Granger-causality in both daily and monthly terms.
Open Access
Essays in asset pricing
(2022-01) Özdamar, Melisa
This thesis is composed of four essays exploring the pricing behavior of different ﬁnancial markets. In the ﬁrst essay, we investigate the explanatory power of CAPM beta on cross-section of expected stock returns by allowing beta to vary according to the ﬂuctuations in the business cycle. This study contributes to the empirical literature on time-varying beta by documenting that there exists a signiﬁcant relationship between risk and return when ever we control for the output level. In the second essay, we analyze whether and how investors price the introduction of a regulation that provides a deduction for equity ﬁnancing of Turkish ﬁrms listed on Borsa Istanbul. We ﬁnd that investors react positively to the introduction of Allowance for Corporate Equity (ACE) regulation and the companies which the market ex-ante prices to beneﬁt the most from the tax shield do ex-post raise more equity relative to companies which the market expects to beneﬁt the least. Alongside of the stock markets, the cryptocurrency markets appeal high attention by the recent empirical studies since it presents a unique feature for ﬁnancial investment. In the third essay, we explore the signiﬁcance of maximum daily return (MAX) in the cross-sectional pricing of expected future returns in the cryptocurrency market. Our ﬁndings provide evidence for a positive and statistically signiﬁcant relationship between extreme positive returns and subsequent cryptocurrency returns. Results are robust to controls for size, price, momentum, short-term reversal, liquidity, volatility, skewness, and investor attention. The ﬁnal chapter focuses on how retail investor attention and institutional investor attention affect returns, idiosyncratic risk and volatility in the cryptocurrency market. We report that there exists a contrary impact of retail and institutional investor attention on cryptocurrency returns and idiosyncratic volatility, however, we show that both have an boosting effect on liquidity of the cryptocurrency market.
Open Access
Factoring as a complement to modern banking system: Turkish case
(1993) Muratoğlu, Cem
This study is to present factoring as a financing technique and to search its contributions to the bankiiig industry. For this reason a detailed research is done by analyzing the implementation of factoring all around the world. In addition, a real life case is studied in order to show that firms which have working capital deficits can overcome their problems when they cooperate with factoring firms and banks together. FACTORING IS A COMPLEMENT TO MODERN BANKING SYSTEM : The firm's (which incurred the problem of working capital in the real life case) financial structure and ongoing projects were analyzed in terms of liquidity, profitability, and eff iciency. Finally, it is concluded that the utilization of factoring only, may not be sufficient to solve the financial problems of the firms but instead it is a complemantary to the banking system as a valuable instrument.
Open Access
Factoring as a financing alternative: Turkish case
(1991) Ataman, Sedef
This study attempts to find out the common aspects of the firms that have preferred factoring as a financing alternative, checking out their financial structures and performances together with an overview of factoring. The financial statements of the companies were analyzed from the perspectives of liquidity, financial stability, profitability, efficiency and financial structure. Comparisons were made over time and with industry averages. The analysis showed that the majority of the firms are smal1-to-medium sized firms that are growing fast, are in need of cash due to overtrading with an inadequate financial base and have undertaken high liabilities with high financial risks- Their sales are mostly on credit and receivables collection periods and cash conversion periods are quite long for the majority of the firms. As a result, the majority of the sample are possible beneficiaries of factoring to improve their cash flows, liquidity and profitability levels.
Open Access
Financial constraints and propagation of shocks in production networks
(MIT Press, 2024-03-19) Demir, Banu; Javorcik, Beata; Michalski, Tomasz K.; Ors, Evren
We examine the propagation of a small unexpected supply shock through a production network and the role financial constraints play in its transmission. Using data on almost all Turkish supplier-customer links, we exploit the heterogeneous impact of an unexpected import-tax increase for identification. We find that this relatively minor shock had a nontrivial economic impact on exposed firms and propagated downstream through affected suppliers. Importantly, we show that low-liquidity firms amplified its transmission.
Open Access
Financial performance of the Turkish textile & ready to wear industry for the period between 1986-1994
(1996) Güçbilmez, Didem
The Textile & Ready to Wear Industry, with its share of 31.8% among all Turkish Consumption Goods Production and approximately 40% of share among all Turkish Exports clearly plays an important role in the overall Turkish Economy. Therefore the financial performance of such an important industry is worth investigation. Apart from the total industry, analyzing the financial performance of the sectors within the industry is as important in order to understand sector differences. The aim of this study is to analyze the financial performance of the Turkish Textile and Ready to Wear Industry and compare the financial performances of the Textile and Ready to Wear Sectors within the industry for the period between 1986 and 1994. The method that will be used is Ratio Analysis based on four criteria which are leverage, liquidity, profitability and market value.
Open Access
Investor attention and cryptocurrency market liquidity: A double-edged sword
(Springer, 2022-09) Yao, S.; Şensoy, Ahmet; Nguyen, D. K.; Li, T.
This paper explores the double-edged sword effect of investor attention on market liquidity. Based on the analysis on 597 cryptocurrencies from 2014 to 2020, our findings show that static investor attention improves cryptocurrency market liquidity over the next three months by attracting more investors into the market and stimulating buy and sell transactions. By contrast, abnormal attention persistently and negatively affects the liquidity and leads to excessive net buying pressure in the market and a crowded buyers’ market, resulting in a sharp deterioration of liquidity. Moreover, these effects intensify during low global economic policy uncertainty periods and for cryptocurrencies with small market capitalization and low idiosyncratic volatility. Overall, our results have important implications for investors, portfolio managers, and policymakers.
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.
Open Access
Retail vs institutional investor attention in the cryptocurrency market
(Elsevier BV, 2022-10-10) Özdamar, Melisa; Şensoy, Ahmet; Akdeniz, L.
We investigate the impact of retail vs institutional investor attention on returns, idiosyncratic risk and liquidity of the cryptocurrency market. Accordingly, retail (institutional) investor attention has a negative (positive) effect on cryptocurrency returns. Moreover, retail (institutional) investor attention aggravates (constrains) the idiosyncratic risk whereas both type of attention boost liquidity of the cryptocurrency market. However, only retail investor attention exacerbates idiosyncratic volatility in unstable market conditions whereas it has a constructive effect on liquidity in low global economic policy uncertainty. Furthermore, institutional investor attention has a constructive impact on both idiosyncratic risk and liquidity within relatively stable and rising external market environment.
Open Access
A tale of two risks in the EMU sovereign debt markets
(Elsevier B.V., 2018-09) Akyıldırım, E.; Nguyen, D. K.; Şensoy, Ahmet
We 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.
Open Access
The TIPS yield curve and inflation compensation
(American Economic Association, 2010) Gürkaynak, R. S.; Sack, B.; Wright, J. H.
For over ten years, the Treasury has issued index-linked debt. This paper describes the methodology for fitting a smoothed yield curve to these securities that is used at the Federal Reserve Board every day, and makes the estimates public. Comparison with the corresponding nominal yield curve allows measures of inflation compensation to be computed. We discuss the interpretation of inflation compensation, and provide evidence that it is not a pure measure of inflation expectations being distorted by inflation risk premium and liquidity premium components. We attempt to estimate the TIPS liquidity premium and to extract underlying inflation expectations. (JEL E31, E43, H63)