Department of Management

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  • ItemEmbargo
    News media and attention spillover across energy markets: a powerful predictor of crude oil futures prices
    (International Association for Energy Economics, 2022) Cepni, Oğuzhan; Nguyen, Duc Khuong; Şensoy, Ahmet; Şensoy, Ahmet
    We develop two news-based investor attention measures from the news trends function of the Bloomberg terminal and investigate their predictive power for returns on crude oil futures contracts with various maturities. Our main results after controlling for relevant macroeconomic variables show that the Oil-based Institutional Attention Index is useful in predicting oil futures returns, especially during price downturn periods, while the forecasting accuracy is further improved when the Commodity Market Institutional Attention Index is used. This forecasting accuracy decreases, however, with the maturity of oil futures contracts. Moreover, we find some evidence of Granger-causality and regime-dependent interactions between investor attention measures and oil futures returns. Finally, variable selection algorithms matter before making predictions since they create the best forecasting results in many cases considered. These findings are important for in-formed traders and policymakers to better understand the price dynamics of the oil markets. © 2022 by the IAEE. All rights reserved.
  • ItemOpen Access
    For generation Z: What is the underlying reason between emotional intelligence and depression relationship?
    (Sosyoekonomi Society, 2022-07-29) İnanç, Ebru Evrensel; Aydoğmuş, Ceren; Camgöz, Selin Metin; Özdilek, Elif; İnanç, Ebru Evrensel; Aydoğmuş, Ceren; Özdilek, Elif
    Exploring the individual characteristics of Generation Z becomes crucial with this generation's increasing number and significance in business life. This study investigates the mediating role of life satisfaction on emotional intelligence and depression linkage. It examines whether the mediating role is contingent upon Generation Z’s majors (STEM/non-STEM) and gender. The universe was Generation Z university senior students. Data were gathered via an online survey (emotional intelligence, life satisfaction, depression scales) from 844 university students. Findings reveal that emotional intelligence decreases depression via life satisfaction. Gender moderated this relationship so that the mediating role of life satisfaction was more pronounced in female Generation Z.
  • ItemOpen Access
    Network structure of Turkish interbank market
    (Elsevier B.V., 2022-12-01) Sümer, Tuba Pelin; Özyıldırım, Süheyla; Özyıldırım, Süheyla
    Global financial crisis has shown the importance of understanding the structure of interbank relations. In this study, we investigate the network relations based on interbank exposures in Türkiye. We estimate several network statistics and document how the network relations have changed over the time period of 2002–2021. We find that the network structures vary substantially by financial instruments such as repo, deposit, loan, security issuances, derivatives and other off-balance sheet items showing the significance of covering all type of exposures in network analysis. Using network statistics, we show that Turkish interbank network structure shows a core-periphery structure which is found to be more resilient during stress times in the literature. Finally, we find that larger banks are characterized as having higher network centrality measures as degree, clustering coefficient and closeness centrality showing the importance of these banks in terms of intermediation and substitutability.
  • ItemOpen Access
    Determinants of ICO success and post-ICO performance
    (Borsa Istanbul Anonim Sirketi, 2022-10-20) Aslan, Aylin; Ahmet, Şensoy; Akdeniz, Levent; Şensoy, Ahmet; Akdeniz, Levent
    Initial coin offerings (ICOs) have emerged as an alternative way of raising funds for entrepreneurial ventures to develop a new project or product. In this study, a comprehensive analysis is conducted on the determinants of ICO success and aftermarket performance of ICOs. Our evidence suggests that ICOs with higher ratings, shorter planned token sale duration, smaller share for token sale, larger number of experts and more members in the developing team have a greater likelihood of success and raising more funds. We also show that offer price and market sentiment play a major role in explaining longer term post-ICO performance. Yet, key to a successful ICO and post-ICO performance differ between boom vs bust periods in the cryptocurrency markets.
  • ItemOpen Access
    Order imbalance and commonality: Evidence from the options market
    (Borsa Istanbul Anonim Sirketi, 2022-01) Omole, John; Şensoy, Ahmet; Gulay, Guzhan; Omole, John; Şensoy, Ahmet
    Using a market model and principal component analysis, we investigate the existence of common effects in order imbalance in the Borsa Istanbul's option market. Accordingly, we find the presence of commonality in order imbalance for call options and an even more dominant presence in put options. We investigate the impact of this commonality on the underlying equity market's price discovery; however, the results indicate no significant impact. Our results suggest that, from the order imbalance perspective, equity order imbalance contributes more than options to explaining stock return variations. © 2021 The Authors
  • ItemOpen Access
    Decision-making under extreme uncertainty: Eristic rather than heuristic
    (Emerald Publishing Limited, 2023-01-02) Kurdoğlu, Rasim Serdar; Ateş, Y. N.; Lerner, D. A.; Kurdoğlu, Rasim Serdar
    Purpose – This paper aims to introduce eristic decision-making in entrepreneurship. A decision is eristically made when it utilizes eristics, which are action-triggering short-cuts that draw on hedonic urges (e.g. sensationseeking). Unlike heuristics, eristic decision-making is not intendedly rational as eristics lead to decision-making without calculating or even considering the consequences of actions. Eristics are adaptive when uncertainty is extreme. Completely novel strategies, nascent venturing, corporate venturing for radical innovation and adapting to shocks (e.g. pandemic) are typically subject to extreme uncertainties. Design/methodology/approach – In light of the relevant debates in entrepreneurship, psychology and decision sciences, the paper builds new conceptual links to establish its theoretical claims through secondary research. Findings – The paper posits that people adapt to extreme uncertainty by using eristic reasoning rather than heuristic reasoning. Heuristic reasoning allows boundedly rational decision-makers to use qualitative cues to estimate the consequences of actions and to make reasoned decisions. By contrast, eristic reasoning ignores realistic calculations and considerations about the future consequences of actions and produces decisions guided by hedonic urges. Originality/value – Current entrepreneurial research on uncertainty usually focuses on moderate levels of uncertainty where heuristics and other intendedly rational decision-making approaches pay off. By contrast, this paper focuses on extreme uncertainty where eristics are adaptive. While not intendedly rational, the adaptiveness of eristic reasoning offers theoretically and psychologically grounded new explanations about action under extreme uncertainty.
  • ItemOpen Access
    Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment
    (Elsevier, 2022-12) Banerjee, Ameet Kumar; Akhtaruzzaman, Md; Dionisio, Andreia; Almeida, Dora; Sensoy, Ahmet; Sensoy, Ahmet
    The paper examines how various COVID-19 news sentiments differentially impact the behaviour of cryptocurrency returns. We used a nonlinear technique of transfer entropy to investigate the relationship between the top 30 cryptocurrencies by market capitalisation and COVID-19 news sentiment. Results show that COVID-19 news sentiment influences cryptocurrency returns. The nexus is unidirectional from news sentiment to cryptocurrency returns, in contrast to past findings. These results have practical implications for policymakers and market participants in understanding cryptocurrency market dynamics under extremely stressful market conditions.
  • ItemOpen Access
    Time-varying economic consequences of terrorism in the USA: Evidence from tvp-svar model
    (Bucharest University of Economic Studies, 2022) Aydın, Halil İbrahim; Yalçınkaya, Ömer; Bulut, Emre; Bulut, Emre
    This study aims to examine the economic consequences of terrorism (the effects on economic growth and its components) in the U.S. as it suffers from the 9/11 attacks, which is a milestone of literature on the economic consequences of terrorism. We analyze the time-varying effects of terrorism on economic growth and its components in the U.S. for the period of 1970:Q1-2020:Q4 with the nonlinear Time-Varying Parameter Structural Vector Autoregression (TVP-SVAR) model. We construct an index over the values of all measurable dimensions (the number of terrorist incidents, the number of deaths, and the number of injured) of the terrorist acts carried out in the USA. The results show that the time factor is important in revealing the economic consequences of terrorism in the USA. In addition, the effects of terrorism on economic growth and its components have changed significantly in the periods before/after 11/9 and in the short/long term. These results point out the importance of designing security policies that limit the effects of insecurity and uncertainty created by terrorism on the spending decisions of economic actors. © 2022, Bucharest University of Economic Studies. All rights reserved.
  • ItemOpen Access
    A serial inventory system with lead-time-dependent backordering: A reduced-state approximation
    (Taylor & Francis Inc., 2022-05-04) Berk, Emre; Toy, Ö. A.; Berk, Emre
    We study a serial inventory system where the external customers may have a maximum time that they would be willing to wait for delivery in cases of stock-out and the demand would be lost if the remaining delivery lead time of the next available item is longer. This lead-time-dependent backordering behavior subsumes the models of partial backordering regardless of the wait that a customer would experience. In the inventory literature, this behavior has only been analyzed in single-location settings. We study this behavior in a multi-stage setting. We consider continuous review (S−1,S) policies at all stages facing external Poisson demands. Using the method of supplementary variables, we define the stochastic process representing the inventory system and obtain the expressions for the operating characteristics of the inventory system. Based on the solution structures for the special cases, we propose an approximate solution which rests on replacing the state-dependent purchasing decision of the customer with an averaged-out purchase probability computed using only the age of the oldest item. An extensive numerical study indicates that the proposed approximation performs very well. Our numerical study provides additional insights about the sensitivity and allocation of stock levels across stages.
  • ItemOpen Access
    Investor reactions to major events in the sub-prime mortgage crisis
    (Elsevier, 2022-06) Günsür, Başak Tanyeri; Günsür, Başak Tanyeri
    We investigate how investor perceptions about the financial health of twenty-seven bank holding companies that controlled eighty percent of US banking assets at year-end 2006 changed during major events leading to the collapse of Lehman Brothers. We use the event study method to investigate whether and to what extent investors priced major events before the Lehman bankruptcy. Abnormal returns on the event days range from -9.25 to 4.80%. When the Federal Reserve Bank of New York is authorized to lend to Fannie Mae and Freddie Mac on 13 July 2008, sample bank holding companies average the lowest abnormal returns of -9.25. When the Federal Housing Agency places Fannie Mae and Freddie Mac under government conservatorship on 7 September 2008, abnormal returns average the highest at 4.80. The significant abnormal returns indicate that investors price the information released in the pre-crisis events.
  • ItemOpen Access
    Crowdfunding as gambling: evidence from repeated natural experiments
    (Elsevier, 2021-02-26) Demir, Tolga; Mohammadi, A.; Shafi, K.; Demir, Tolga
    Lenders in Prosper, one of the largest lending markets in the U.S., reduce their activity when playing multistate Powerball or Mega Millions lottery jackpot becomes attractive. This finding suggests that the desire for sensation seeking is an underlying motivation for participating in peer-to-peer crowdfunding markets; the thrill of winning a large lottery jackpot fulfills some lenders' desire for novelty and sensation seeking, thus decreasing their lending activity. We discuss our findings' implications for lenders, borrowers, platform organizers, and policymakers. © 2021 Elsevier B.V.
  • ItemOpen Access
    Pricing efficiency and asymmetric multifractality of major asset classes before and during COVID-19 crisis
    (Elsevier, 2022-11-10) Mensi, Walid; Sensoy, Ahmet; Vo, Xuan Vinh; Kang, Sang Hoon; Sensoy, Ahmet
    We examine the impact of COVID-19 pandemic crisis on the pricing efficiency and asymmetric multifractality of major asset classes (S&P500, US Treasury bond, US dollar index, Bitcoin, Brent oil, and gold) within a dynamic framework. Applying permutation entropy on intraday data that covers between April 30, 2019 and May 13, 2020, we show that efficiency of all sample asset classes is deteriorated with the outbreak, and in most cases this deterioration is significant. Results are found to be robust under different analysis schemes. Brent oil is the highest efficient market before and during crisis. The degree of efficiency is heterogeneous among all markets. The analysis by an asymmetric multifractal detrended fluctuation analysis (A-MF-DFA) approach shows evidence of asymmetric multifractality in all markets which rise with the scales. The inefficiency is higher during downward trends before the pandemic crisis as well as during COVID-19 except for gold and Bitcoin. Moreover, the pandemic intensifies the inefficiency of all markets except Bitcoin. Findings reveal increased opportunities for price predictions and abnormal returns gains during the COVID-19 outbreak.
  • ItemOpen Access
    Building eco-friendly corporations: The role of minority shareholders
    (Springer, 2022-12-06) Yao, S.; Pan, Y.; Wang, L.; Şensoy, Ahmet; Cheng, F.; Şensoy, Ahmet
    Based on China’s mandatory requirement for listed firms to implement online voting in their annual general shareholder meetings, we investigate whether and how minority shareholders influence corporate environmental performance (CEP). We use the difference-in-difference approach and find that the implementation of online voting promotes minority shareholders’ participation in shareholder meetings, which, in turn, leads to improved CEP of listed firms. We discover that “local pollution” exposure and “the increasing awareness of listed firms’ environmental risks” are the main motives of minority shareholders concerning listed firms’ environmental performance. Furthermore, we find that the minority shareholders improve CEP of listed firms through influencing groups with greater bargaining power. © 2022, The Author(s), under exclusive licence to Springer Nature B.V.
  • ItemOpen Access
    Futures hedging in electricity retailing
    (Springer, 2022-09) Tanrısever, Fehmi; Büke, B.; Jongen, G.; Tanrısever, Fehmi
    This paper is concerned with the risk management practices of an electricity retailer motivated by the Dutch electricity market. We examine the effectiveness of the existing base- and peak-load futures contracts as a risk management tool for the electricity retailers. We analytically characterize the retailer’s optimal hedging policy as a function of the serial correlation of the prices and the demand profiles of its customers. We find that the retailer typically over-hedges in the futures market, and the over-hedging amount increases when both base- and peak-load contracts are used. Our findings indicate that although the existing contracts in the futures market are quite efficient to replicate the exposure from profiled customers, when industrial consumers and renewable generation are included to the retailer’s portfolio, the effectiveness of such contracts decreases substantially. In our motivating example, hedging the risk of the profiled customers with base-load contracts, the firm may reduce the variance of its cash flows by 85.9%. In addition to the base-load contracts, including peak-load contracts into the hedging portfolio of the retailer increases the efficiency of hedging to 89.3%. However, when we consider the aggregate portfolio of the retailer including profiled customers, industrial consumers and renewable contracts, the efficiency of hedging through the existing futures contracts goes down as low as 32.8% during certain periods. © 2022, The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature.
  • ItemOpen Access
    Statistical arbitrage in jump-diffusion models with compound poisson processes
    (Springer Nature, 2021-02-26) Akyildirim, E.; Fabozzi, J.F.; Goncu, A.; Sensoy, Ahmet; Sensoy, Ahmet
    We prove the existence of statistical arbitrage opportunities for jump-diffusion models of stock prices when the jump-size distribution is assumed to have finite moments. We show that to obtain statistical arbitrage, the risky asset holding must go to zero in time. Existence of statistical arbitrage is demonstrated via ‘buy-and-hold until barrier’ and ‘short until barrier’ strategies with both single and double barrier. In order to exploit statistical arbitrage opportunities, the investor needs to have a good approximation of the physical probability measure and the drift of the stochastic process for a given asset.
  • ItemOpen Access
    Investor attention and cryptocurrency market liquidity: A double-edged sword
    (Springer, 2022-09) Yao, S.; Şensoy, Ahmet; Nguyen, D. K.; Li, T.; Şensoy, Ahmet
    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.
  • ItemOpen Access
    Other people's money: A comparison of institutional investors
    (Elsevier, 2022-12) Eraslan, V.; Omole, John; Sensoy, Ahmet; Ozdamar, Melisa; Omole, John; Sensoy, Ahmet; Ozdamar, Melisa
    Using unique equity ownership data, we investigate the stock picking preferences and return forecasting performances of institutional investors that manage their own money against those that manage others’. We reveal that these investors’ preferences significantly differ in historical patterns, liquidity and prudence when picking stocks. In particular, ‘own money managers’ display a risk-seeking behaviour whereas “others’ money managers” exhibit risk-averse characteristics. However, our results indicate that both types of investors are well informed, albeit own money managers excel in the short-term while others’ money managers are successful in the long-term.
  • ItemOpen Access
    Forecasting high-frequency stock returns: a comparison of alternative methods
    (Springer, 2022-06) Akyıldırım, E.; Bariviera, A.; Nguyen, D. K.; Şensoy, Ahmet; Şensoy, Ahmet
    We compare the performance of various advanced forecasting techniques, namely artificial neural networks, k-nearest neighbors, logistic regression, Naïve Bayes, random forest classifier, support vector machine, and extreme gradient boosting classifier to predict stock price movements based on past prices. We apply these methods with the high frequency data of 27 blue-chip stocks traded in the Istanbul Stock Exchange. Our findings reveal that among the selected methodologies, random forest and support vector machine are able to capture both future price directions and percentage changes at a satisfactory level. Moreover, consistent ranking of the methodologies across different time frequencies and train/test set partitions prove the robustness of our empirical findings.
  • ItemOpen Access
    Managing disease containment measures during a pandemic
    (Wiley-Blackwell Publishing, Inc., 2022-01-11) Shahmanzari, Masoud; Tanrısever, Fehmi; Eryarsoy, Enes; Şensoy, Ahmet; Tanrısever, Fehmi
    Throughout the current COVID-19 pandemic, governments have implemented a variety of containment measures, ranging from hoping for herd immunity (which is essentially no containment) to mandating complete lockdown. On the one hand, containment measures reduce lives lost by limiting the disease spread and controlling the load on the healthcare system. On the other hand, such measures slow down economic activity, leading to lost jobs, economic stall, and societal disturbances, such as protests, civil disobedience, and increases in domestic violence. Hence, determining the right set of containment measures is a key social, economic, and political decision for policymakers. In this paper, we provide a model for dynamically managing the level of disease containment measures over the course of a pandemic. We determine the timing and level of containment measures to minimize the impact of a pandemic on economic activity and lives lost, subject to healthcare capacity and stochastic disease evolution dynamics. On the basis of practical evidence, we examine two common classes of containment policies—dynamic and static—and we find that dynamic policies are particularly valuable when the rate of disease spread is low, recovery takes longer, and the healthcare capacity is limited. Our work reveals a fundamental relationship between the structure of Pareto-efficient containment measures (in terms of lives lost and economic activity) and key disease and economic parameters such as disease infection rate, recovery rate, and healthcare capacity. We also analyze the impact of virus mutation and vaccination on containment decisions.
  • ItemEmbargo
    Retail vs institutional investor attention in the cryptocurrency market
    (Elsevier BV, 2022-10-10) Özdamar, Melisa; Şensoy, Ahmet; Akdeniz, L.; Özdamar, Melisa; Şensoy, Ahmet
    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.