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This paper compares the performances of stock selection methods developed by artificial neural network (ANN), second order stochastic dominance (SSD), and Markowitz portfolio optimization by generating annual portfolios whose stocks are selected from several types of indexes traded in the Borsa Istanbul. Daily returns in SSD and Markowitz, and annual ratios in ANN models, are taken as inputs, with the following annual returns as outputs. By the perspective of stock selection literature, this study carries unique value for including comparisons of these methods with the purpose of generating portfolios with higher returns. Thus, two questions emerge: "Are these methods able to overcome losses during financial crises and bear or bull periods, and can they provide positive alpha?" Results indicate that average returns of portfolios generated by ANN are relatively higher than SSD and Markowitz, but all three models provide positive alpha over indexes. However, none of the models could overcome negative returns during economic crises.

This paper compares performances of bid-ask spread measures and analyzes bond-level characteristics' effects on the bid-ask spread for Turkish sovereign bonds traded in Borsa Istanbul. We use intraday order data to establish a relative quoted bid-ask spread as a benchmark and compare bid-ask spread measures' estimation performances. Results show that low-frequency spread measures are able to proxy spread dynamics, and one of the measures, Closing Percent Quoted Spread, dominates others. Additionally, we use panel data analysis to examine bond characteristics’ effects on the bid-ask spread. Panel regression analysis points out that bond characteristics have a significant relation with bond liquidity. Bonds with shorter time to maturity or higher trading volume have narrower spreads. Also, bond type significantly affects the bid-ask spread.

2008-2009 finansal krizinden sonra FED’in uyguladigi para politikalarinin ulusal ve uluslararasi olcekteki yayilma etkisi bircok bilimsel calismanin konusu haline gelmistir. Bu calismada, ABD gecelik Interbank borclanma faizleri, 10-yillik ABD ve Ingiltere tahvil faizi ve ABD reel doviz kuru arasindaki iliskiler Blanchard-Quah tipi yapisal VAR (SVAR) modeliyle incelenmistir. ABD’deki daraltici para politikasinin reel doviz kurunun deger kazanmasina neden olacagi bulgusuna ulasilmis, Mundell-Fleming modeli dogrultusundaki ilgili sonuc varyans ayristirmasi analiziyle de desteklenmistir. Calismanin bir diger bulgusu ise ABD’de uygulanacak daraltici para politikasinin ABD ekonomisine yonelik guveni arttiracagi ve kayda deger sermaye girislerine neden olacagidir. Calisma sonuclari ayrica ABD’deki para politikasindaki degisikliklerin Ingiltere merkez bankasi ve para piyasasi uzerinde yansima bulacagina isaret etmistir. SVAR modelimiz, para, mal ve doviz piyasasindaki dalgalanmalarin hafifletilmesinde ABD’deki kisa vadeli faizlerin rolunun altini cizmistir.

Purpose This paper aims to compare two groups of stocks to analyze the efficiency of an ethical portfolio in comparison with a conventional portfolio. Design/methodology/approach Efficiency test by second-order stochastic dominance (SSD) approach is applied on two groups, which consist of 12 stocks. Ethical portfolio is chosen from the stocks complying with the participation banking rules. Conventional portfolio is selected from Borsa Istanbul (BIST) with choosing the corresponding stocks for each ethical stock according to the sector and market capitalization. All the stocks of both groups are pairwise SSD compared. Findings Both groups of 12 stocks are inefficient portfolios; however, a group of 7 stocks constitute an efficient ethical portfolio with the total weight of 50.82 per cent among the set of 12 ethical stocks. On the other hand, a group of 6 stocks constitute an efficient conventional portfolio, with the total weight of 45.16 per cent among the set of 12 conventional stocks. By pairwise SSD comparison of corresponding stocks from both groups, despite none of the conventional stocks dominate ethical stocks, four ethical stocks dominated the conventional ones. Originality/value Back-testing and comparison with benchmark BIST 100 Index have been done for the selected portfolios. According to back-testing results, groups of SSD efficient stocks outperformed the groups, from which they were selected. Furthermore, both SSD efficient portfolios have higher returns than benchmark index, BIST 100.

Purpose- The purpose of the study is to examine the dynamics linking broad money (M3) growth and crude oil volatility, euro/dollar volatility, commodity option volatility for the case of the US. Methodology- Causality analysis depending on Vector Error Correction (VEC) models is employed to estimate the relationship between broad money (M3) growth and crude oil volatility, euro/dollar volatility, commodity option volatility for the case of the US. Findings- Causality analysis results stresses that the balance sheet size of FED increase the uncertainties commodity and currency markets and thus volatility in euro/dollar and spot oil price and commodity options can be raised in the long-term. Both instantaneous causality and Granger causality indicate that money demand behavior of US economic agents are not affected from the commodity option, euro/dollar and crude oil volatilities both in short- and long-run. Conclusion- Our empirical analysis implies that monetary aggregate targeting policy of FED can not be negatively mitigated by commodity option volatility, euro/dollar volatility, crude oil volatility indices. For further studies and analysis, we suggest the clarification of channels between monetary policy stance and financial instruments traded in commodity and currency markets.

Purpose- The aim of this paper is to observe whether generating a portfolio having return more than index by investigating the return performance of index’s stocks and capital structure of firms in index in a certain period. The second aim of this paper is to provide portfolio diversification by using the method of this study. In this paper, firms and stocks on BIST-100 index are referenced for empirical study. Method- Stocks are chosen from BIST-100 index with regard to certain capital structure of firms in stocks, and second orderly stochastic dominance test is implemented on these stocks. Dominant stocks are defined to generate a portfolio after stochastic test and this portfolio’s return performance is compared to the index’-s return. Findings- The portfolio, whose stocks are filtered by a certain capital structure and then chosen by second orderly stochastic dominance test, has return performance better than index’s return. Conclusion- This paper is indicating that second orderly stochastic dominance method and capital structure is an important investigation to generate a portfolio having higher returns more than index’s.

BIST-100 Endeksi referans alinarak yapilan yatirimlar veya endekse bagli vadeli opsiyon araclari, endeksin dususe gectigi donemlerde yatirimcilar icin negatif getiriye yani zarara sebep olur. Yatirim sirketleri, olusturduklari fonlar ve yatirim araclari icin, endeksin negatif hareketinden korunmak amaciyla bazi modeller gelistirirler. Normal dagilma sarti arayan, varyans maksimizasyonu yonteminin zayifliklarini bertaraf eden, ikinci dereceden stokastik baskinlik yontemi endeksin negatif hareketlerinden korunmak icin gelistirilen modellerden bir tanesidir. Bu uygulamada gecmis BIST-100 Endeksi verileri Ikinci Dereceden Stokastik Baskinlik yontemi ile test edilmis ve ortaya cikan baskin hisse senetlerinden olusturulan portfoyun getirisi ile BIST-100 Endeksi’nin ayni donem icindeki getirisi karsilastirilmistir

In the wake of the financial liberalization phenomena, the activities of firms can generate signals for financial and macroeconomic situation and the relationship between financial and macroeconomic variables can be captured by firm-based empirical evidence. In this respect, we employ Panel Vector Autoregression (PVAR) modeling to analyze the interactions between the balance sheets accounts of firms in US telecommunications and transportation sectors. Our results expose that investments, gross fixed capital formation and output in US telecommunications and transportation sectors can be highly dependent on the level of money capital and thus it is important for the firms in these sectors to maximize their output under the financing constraint. It is also revealed that increases in total assets and property may lead to a rise in economic value added, the profitability of a firm which in turn lowers the current liabilities. According to our estimations, we suggest that an optimal empirical framework should be derived to capture the microeconomic origins of macroeconomic developments in terms of effects of total productivity shocks in US telecommunications and transportation sectors.

After the period of financial liberalization, the activities of firms can create signals for financial and macroeconomic environment and the relationship between financial and macroeconomic variables can be captured by firm-based empirical evidence. From this point of, we employ panel least squares method to investigate the interactions between the balance sheets accounts of US firms in biotechnology, telecommunications and transportation sectors. Our results expose that the technology level is not sufficient to promote the activity of firms and their liquidity. It is also revealed that the number of employee positively affects the cash account whereas the property account does not have a significant impact on cash. According to our estimations, we suggest that an optimal empirical framework should be derived to capture the microeconomic origins of macroeconomic developments in terms of effects of total productivity shocks in those sectors.