Browsing by Subject "Volatility"
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Item Open Access Day of the week effect on foreign exchange market volatility: evidence from Turkey(Elsevier Inc., 2007) Berument, Hakan; Coskun, M. N.; Sahin, A.This paper assesses the day of the week effect of the daily depreciation of the Turkish lira (TL) against the US dollar (USD) and its volatility. The empirical evidence from Turkey presented here suggests that Thursdays are associated with higher and Mondays with lower depreciation rates compared to those of Wednesdays. Moreover, Mondays and Tuesdays are associated with higher volatility than Wednesdays. © 2006 Elsevier B.V. All rights reserved.Item Open Access The day of the week effect on stock market volatility and volume: international evidence(John Wiley & Sons Ltd., 2003) Kiymaz, H.; Berument, HakanThis study investigates the day of the week effect on the volatility of major stock market indexes for the period of 1988 through 2002. Using a conditional variance framework, we find that the day of the week effect is present in both return and volatility equations. The highest volatility occurs on Mondays for Germany and Japan, on Fridays for Canada and the United States, and on Thursdays for the United Kingdom. For most of the markets, the days with the highest volatility also coincide with that market's lowest trading volume. Thus, this paper supports the argument made by Foster and Viswanathan [Rev. Financ. Stud. 3 (1990) 593] that high volatility would be accompanied by low trading volume because of the unwillingness of liquidity traders to trade in periods of high stock market volatility. © 2003 Published by Elsevier Inc.Item Open Access The day-of-the-week effect on stock-market volatility and return: Evidence from emerging markets(2006) Yalcin, Y.; Yucel, E.M.This study investigates day-of-the-week (DOW) anomalies in the stock markets of twenty emerging economies. The authors use a modified exponential generalized autoregressive conditional heteroskedasticity in-mean (EGARCH-M) modeling strategy that allows for the simultaneous examination of DOW effects on market return and variability. The effects on both are limited in the authors' sample. To summarize, DOW effects are present in market returns for only three countries, in market volatility for only five countries, and they are present in both for only one country, when the estimates are evaluated at the 1 percent significance level. Despite this, at lower levels of significance the common qualitative patterns in the estimates are extracted such that the higher returns are concentrated around Fridays, whereas volatility is highest on Mondays and lowest on Tuesdays and Fridays.Item Open Access Determinants of the slope of S&P 500 index options : a joint analysis of macroeconomic announcements and private information(2014) Yaşar, BurzeThis thesis analyzes the possible determinants of the observed implied volatility skew of S&P 500 index options. The thesis will also examine the high frequency changes in VIX in response to macroeconomic announcements. Finally the effect of presidential announcements on stock market volatility will be investigated.Item Open Access The development of Bitcoin futures: exploring the interactions between cryptocurrency derivatives(Elsevier, 2020) Akyıldırım, E.; Corbet, S.; Katsiampa, P.; Kellard, N.; Şensoy, AhmetWe utilise a high-frequency analysis to investigate the period surrounding the establishment of two new futures contracts based on the performance of Bitcoin. Our analysis shows that there have been significant pricing effects sourced from both fraudulent and regulatory unease within the industry. While analysing breakpoints in efficiency, we verify the view that Bitcoin futures dominate price discovery relative to spot markets. However, we add to this research by finding that CBOE futures are found to be the leading source of informational flow when compared directly to their CME equivalent.Item Open Access Exchange rate volatility response to macroeconomic news during the global financial crisis(Elsevier Inc., 2017) Ben Omrane, Walid; Savaşer, TanseliWe investigate the volatility reaction to macroeconomic news in major currency markets during the recent global financial crisis. We first present an alternative method for determining the changes in economic states by endogenously estimating crisis thresholds. Second, we assess which macroeconomic indicator gave the earliest warning signal for the upcoming contraction. Third, we investigate whether there is a systematic change in the volatility reaction of exchange rates to news during the crisis period. We find that the estimated logistic transition function based on the housing starts data exhibits the earliest warning signal compared to other indicators. Our results suggest that although volatility response to most news indicators is larger in expansion, currency market reaction to new home sales and Fed funds rate news is larger in the crisis period. We attribute this finding to the context-specific relevance of the housing and credit sectors in the evolution of the global financial crisis.Item Open Access Financial earthquakes, aftershocks and scaling in emerging stock markets(Elsevier BV, 2004) Selçuk, F.This paper provides evidence for scaling laws in emerging stock markets. Estimated parameters using different definitions of volatility show that the empirical scaling law in every stock market is a power law. This power law holds from 2 to 240 business days (almost 1 year). The scaling parameter in these economies changes after a change in the definition of volatility. This finding indicates that the stock returns may have a multifractal nature. Another scaling property of stock returns is examined by relating the time after a main shock to the number of aftershocks per unit time. The empirical findings show that after a major fall in the stock returns, the stock market volatility above a certain threshold shows a power law decay, described by Omori's law. © 2003 Elsevier B.V. All rights reserved.Item 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, AhmetThe 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.Item Open Access Fitting vast dimensional time-varying covariance models(Taylor and Francis, 2021) Pakel, Cavit; Shephard, N; Sheppard, K.; Engle, R. F.Estimation of time-varying covariances is a key input in risk management and asset allocation. ARCH-type multivariate models are used widely for this purpose. Estimation of such models is computationally costly and parameter estimates are meaningfully biased when applied to a moderately large number of assets. Here, we propose a novel estimation approach that suffers from neither of these issues, even when the number of assets is in the hundreds. The theory of this new method is developed in some detail. The performance of the proposed method is investigated using extensive simulation studies and empirical examples. Supplementary materials for this article are available online.Item Open Access Information and volatility: evidence from an emerging market(Routledge, 2002) Güner, N.; Önder, Z.This study examines the volatility of daily stock returns and the volatility of returns during trading and non-trading hours for securities trading on the Istanbul Stock Exchange. Some unique characteristics of this exchange enable us to examine the reasons for the high volatility during trading hours. First, the price-determination procedure at the opening is the same as the pricing mechanism used during the rest of the day. Second, there is no specialist or market maker who sets prices. Third, there is a two-hour day break in trading during a business day. The volatility of daily return calculated from opening prices is found to be significantly higher than those calculated from closing prices in this market setting as well. Volatility of returns during trading periods is found to be higher than those during non-trading periods. Furthermore, per-hour volatility during the day break is higher than per-hour volatility during the night break. Findings of this study have some implications for the role of market maker and the impact of timing and length of a break in trading on the volatility of security returns. © 2002 M.E. Sharpe, Inc. All rights reserved.Item Open Access The relationship between implied volatility and cryptocurrency returns(Elsevier, 2020) Akyıldırım, E.; Corbet, S.; Lucey, B.; Şensoy, Ahmet; Yarovaya, L.We analyse the relationship between the price volatility of a broad range of cryptocurrencies and that of implied volatility of both United States and European financial markets as measured by the VIX and VSTOXX respectively. Overall, our results indicate the existence of time-varying positive interrelationships between the conditional correlations of cryptocurrencies and financial market stress. Further, these correlations are found to increase substantially during periods of high financial market stress, indicating that the contagion of significant financial market fear influences these new financial products.Item Open Access Riding the wave of crypto-exuberance: the potential misusage of corporate blockchain announcements(Elsevier, 2020) Akyıldırım, E.; Corbet, S.; Cumming, D.; Lucey, B.; Şensoy, AhmetCryptocurrencies have been broadly scrutinised in recent times for a host of concerning regulatory and cybercriminality issues. Although steps have been taken to promote regulatory sufficiency in the near future, we examine the avenues through which this extremely high-risk industry can derive potentially devastating contagion channels, influencing both unwilling and unsuspecting investors. We focus this research on the expressions of interest by publicly traded companies across the world to utilise cryptocurrency and blockchain projects. We find evidence that there exists a substantial stock price premium and sustained increase in volatility in the aftermath of blockchain announcements, with emphasis on highly-speculative motives such as coin creation and corporate name changes. Changes in price discovery and information flows are found to be largely determined from cryptocurrency-based pricing sources in the aftermath of speculative announcements. We discuss the inherent ethical and legal issues, considering as to whether such announcements are simply an attempt to artificially manipulate share prices and take part in the current phase of crypto-exuberance.Item Open Access A survey of multivariate GARCH models(2008) Taş, Mustafa AnılThis paper reviews the recent developments in the multivariate GARCH literature. Most common multivariate GARCH models and their properties are briefly presented.Item Open Access Two essays on the Turkish economy(2005) İnamlık, AliThis thesis comprise of two essays on Turkish Economy. Chapter 1 investigates the relationship between inflation and growth in Turkey. Historical data and statistical analysis suggest a negative relationship rather than a positive relationship. This outcome is completely the reverse of what Philips Curve oriented theories tell. The underlying reason behind this relationship is analyzed and a third variable is suspected to be the reason. Vector Autoregressive (VAR) analysis suggest that this variable could be real exchange rate. Generalized Impulse Response analysis is used with various exogenous variables, which makes the analysis robust. Chapter 2 investigates the day of the week effect on return and volatility for Istanbul Stock Exchange (ISE) through the period 1986 and 2003. Using generalized autoregressive conditional heteroskedasticity (GARCH) model, we find statistically significant evidence to report that there is the day of the week effect. Friday has the highest effect on return with 0,015 while Monday has the lowest return with-0,003 compared to return on Wednesday. When volatility of return is concerned, Monday has the highest volatility with 0,933 and Tuesday has the lowest volatility with –0,716 compared to return on Wednesday.