Browsing by Subject "Stock price"

Now showing 1 - 5 of 5

Open Access
Efficiency of the Turkish stock exchange with respect to monetary variables: a cointegration analysis
(Elsevier BV, 1996) Muradoglu, Y. G.; Metin, K.
In this study, we test the semistrong form of the efficient market hypothesis in Turkey by using the recently developed techniques in time series econometrics, namely unit roots and cointegration. The long run relationship between stock prices and inflation is investigated by assuming the possible existence of a proxy effect. Conclusions are made as to the efficiency of the Turkish Stock Exchange and its possible implications for investors. To our knowledge, this is among the pioneering studies conducted in an emerging market that uses an updated econometric methodology to allow for an analysis of long run steady state properties together with short run dynamics.
Open Access
Evaluating probabilistic forecasts of stock prices in a developing stock market
(Elsevier, 1994) Önkal D.; Muradoğlu, G.
Recent literature on the accuracy of forecasting in financial markets reveals contradictory results. These discrepancies can be attributed to the differences in forecasting environments as well as the differences in forecaster expertise that are employed by the researchers. Since the use of point and interval predictions by themselves do not aid in explaining the various aspects of forecaster performance, probabilistic forecasting provides a better alternative that can be used to gain insight into forecasting accuracy in such settings. This study aims to test the effects of forecaster expertise and forecasting environment on forecasting accuracy. Accordingly, various aspects of forecasting performance are studied in a developing stock-market framework.
Open Access
Feedback-labelling synergies in judgmental stock price forecasting
(Elsevier, 2004) Goodwin, P.; Önkal-Atay, D.; Thomson, M. E.; Pollock, A. C.; Macaulay, A.
Research has suggested that outcome feedback is less effective than other forms of feedback in promoting learning by users of decision support systems. However, if circumstances can be identified where the effectiveness of outcome feedback can be improved, this offers considerable advantages, given its lower computational demands, ease of understanding and immediacy. An experiment in stock price forecasting was used to compare the effectiveness of outcome and performance feedback: (i) when different forms of probability forecast were required, and (ii) with and without the presence of contextual information provided as labels. For interval forecasts, the effectiveness of outcome feedback came close to that of performance feedback, as long as labels were provided. For directional probability forecasts, outcome feedback was not effective, even if labels were supplied. Implications are discussed and future research directions are suggested.
Open Access
Gain-loss pricing under ambiguity of measure
(E D P Sciences, 2010) Pınar, M. Ç.
Motivated by the observation that the gain-loss criterion, while offering economically meaningful prices of contingent claims, is sensitive to the reference measure governing the underlying stock price process (a situation referred to as ambiguity of measure), we propose a gain-loss pricing model robust to shifts in the reference measure. Using a dual representation property of polyhedral risk measures we obtain a one-step, gain-loss criterion based theorem of asset pricing under ambiguity of measure, and illustrate its use.
Open Access
Match-fixing in Turkish football super league: Fenerbahçe case
(İAD, 2018) Sultanoğlu, Banu; Küçükkocaoğlu, G.; Sezgin-Alp, Ö.
Turkish football was hit hard by a sudden match-fixing scandal of Fenerbahçe during the 2010–2011 season with a 19.3% slump on a day in the Istanbul Stock Exchange (currently known as Borsa Istanbul). This paper aims to asses the impact of news about the event of match-fixing that is claimed to have taken place in Fenerbahçe on its stock return volatility. To do this, all publicly available match-fixing announcements are collected and classified into five different news types to capture their individual effects on the volatility of Fenerbahçe’s stock return by using GARCH model. Our results show that any positive or negative announcement released from Turkish court, Turkish Football Federation, the UEFA and/or the Court of Arbitration for Sport about Fenerbahçe and also any news about club executives allegedly involved in the event of match-fixing and the match results have significant positive effects on the Fenerbahçe’s stock return volatility.