18 results on '"Demirer, Riza"'
Search Results
2. An Investigation of the Day-of-the-Week Effect on Stock Returns in Turkey
- Author
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Demirer, Riza and Karan, M. Baha
- Published
- 2002
3. Oil Price Uncertainty Shocks and Global Equity Markets: Evidence from a GVAR Model.
- Author
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Salisu, Afees A., Gupta, Rangan, and Demirer, Riza
- Subjects
PETROLEUM sales & prices ,EXPORT marketing ,PORTFOLIO diversification ,ECONOMIC uncertainty ,EMERGING markets ,STOCK exchanges ,VALUATION of corporations - Abstract
This paper examines the propagation of oil price uncertainty shocks to real equity prices using a large-scale Global Vector Autoregressive (GVAR) model of 26 advanced and emerging stock markets. The GVAR framework allows us to capture the transmission of local and global shocks, while simultaneously accounting for individual-country peculiarities. Utilising a recently developed model-free, robust estimate of oil price uncertainty, we document a statistically significant and negative effect of uncertainty shocks emanating from oil prices on the large majority of global stock markets, with the adverse effect of oil price uncertainty shocks found to be stronger for emerging economies as well as net oil-exporting nations. Interestingly, however, global stock markets exhibit a great deal of heterogeneity in their recovery following oil uncertainty shocks as some experience rapid corrections in stock valuations while others suffer from extended slumps. While the results are sensitive to the oil uncertainty measure utilised, they suggest that country diversification in the face of rising oil market uncertainty can still be beneficial for global investors as global stock markets exhibit a rather heterogeneous pattern in their recovery rates against oil market shocks. [ABSTRACT FROM AUTHOR]
- Published
- 2022
- Full Text
- View/download PDF
4. Forecasting stock market (realized) volatility in the United Kingdom: Is there a role of inequality?
- Author
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Hassani, Hossein, Yeganegi, Mohammad Reza, Gupta, Rangan, and Demirer, Riza
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STOCK exchanges ,MARKET volatility ,VOLATILITY (Securities) ,INCOME inequality ,RATE of return on stocks ,CONSUMPTION (Economics) - Abstract
In this paper, we analyze the potential role of growth in inequality for forecasting realized volatility of the stock market of the UK. In our forecasting exercise, we use linear and nonlinear models as well as measures of absolute and relative consumption and income inequalities at quarterly frequency over the period of 1975 to 2016. Our results indicate that, while linear models incorporating the information of growth in inequality does produce lower forecast errors, these models do not necessarily outperform the univariate linear and nonlinear models based on formal statistical forecast comparison tests, especially in short‐ to medium runs. However, at a one‐year‐ahead horizon, absolute measure of consumption inequality results in significant statistical gains for stock market volatility predictions – possibly due to consumption inequality translating into both political and social uncertainty in the long run. [ABSTRACT FROM AUTHOR]
- Published
- 2022
- Full Text
- View/download PDF
5. On the hedging benefits of REITs: The role of risk aversion and market states.
- Author
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Demirer, Riza, Yuksel, Asli, and Yuksel, Aydin
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REAL estate investment trusts ,MARKET volatility ,RISK aversion ,HEDGING (Finance) ,STOCK exchanges - Abstract
We propose a dynamic, forward-looking hedging strategy to manage stock market risks via positions in REITs, conditional on the level of risk aversion. Our findings show that risk aversion can predict transitions to the high volatility regime in REIT markets when these markets are relatively calm. Accordingly, a hedge on/hedge off strategy based on the level of risk aversion with positions in REITs offer significant risk reduction for passive investors with the greatest benefits observed for the U.S. followed by the U.K. Our findings highlight the role of time-varying risk aversion as a predictor of REIT market volatility and the value of REIT investments as a hedge against stock market fluctuations. [ABSTRACT FROM AUTHOR]
- Published
- 2021
- Full Text
- View/download PDF
6. The U.S. term structure and return volatility in emerging stock markets.
- Author
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Demirer, Riza, Yuksel, Asli, and Yuksel, Aydin
- Subjects
STOCK exchanges ,EMERGING markets ,YIELD curve (Finance) ,FINANCIAL crises ,INTEREST rates - Abstract
This paper examines the predictive power of the U.S. term structure over return volatility in emerging stock markets. Decomposing the term structure of U.S. Treasury yields into two components, the expectations factor and the maturity premium, we show that the U.S. term structure indeed contains predictive information over emerging stock market volatility, even after controlling for country specific factors including turnover and market size. While we observe heterogeneous patterns across emerging markets in terms of their predictability with respect to the U.S. term structure, we find that the market's expectation of future short term rates, implied by the expectations factor, serves as a stronger predictor of stock market volatility compared to the maturity premium component of the yield spread. We also find that the U.S. term structure has gained further predictive value following the global financial crisis, particularly for the BRICS nations of China, Russia, and S. Africa. Overall, our findings suggest that policymakers and investors can utilize interest rate signals from the U.S. Treasury yields to make projections over stock market volatility in their local markets, however, distinguishing between the two components of the yield curve could provide additional forecasting power depending on the country of focus. [ABSTRACT FROM AUTHOR]
- Published
- 2020
- Full Text
- View/download PDF
7. The effect of global and regional stock market shocks on safe haven assets.
- Author
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Balcilar, Mehmet, Demirer, Riza, Gupta, Rangan, and Wohar, Mark E.
- Subjects
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STOCK exchanges , *JAPANESE yen , *SWISS franc , *PRECIOUS metals , *RISK exposure - Abstract
• We examines fundamental linkages between stock markets and safe haven assets. • We develop a two-factor, regime-based volatility spillover model • The risk exposures of safe havens with respect to global and regional stock market shocks display significant time variation • Precious metals exhibit positive risk exposures regional and global stock market shocks during high volatility periods This paper examines the fundamental linkages between stock markets and safe haven assets by developing a two-factor, regime-based volatility spillover model with global and regional stock market shocks as risk factors. The risk exposures of safe havens with respect to global and regional stock market shocks are found to display significant time variation and regime-specific features, with the exception of VIX for which consistent negative risk exposures are observed with respect to both global and regional stock market shocks. While traditional safe havens like precious metals exhibit positive risk exposures to both regional and global stock market shocks during high volatility periods, Swiss Franc, Japanese Yen and U.S. Treasuries are found to display either insignificant or negative risk exposures during market stress periods to equity market shocks, implying these assets would serve as more effective hedges (or safe havens) for equity investors. Our findings highlight the importance of dynamic models in assessing the linkages between safe haven assets and stock returns as static models would introduce large biases in diversification measures and optimal hedge ratios. [ABSTRACT FROM AUTHOR]
- Published
- 2020
- Full Text
- View/download PDF
8. Predicting firm-level volatility in the United States: The role of monetary policy uncertainty.
- Author
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Clance, Matthew W., Demirer, Riza, Gupta, Rangan, and Kyei, Clement Kweku
- Subjects
UNCERTAINTY ,MONETARY policy ,FORECASTING ,STOCK exchanges ,MARKET volatility - Abstract
This paper provides novel evidence for the predictive power of monetary policy uncertainty (MPU) over stock return volatility at the firm level based on a dataset constructed from 9,458 U.S. firms. Our findings show that monetary policy uncertainty contains significant predictive information over realized and implied volatilities at both the firm- and industry-level, with higher policy uncertainty predicting higher volatility in subsequent periods. While the strongest possible volatility effect is observed in the case of Retail Trade, we observe opposite results for Mining with high policy uncertainty predicting lower volatility in this sector. We argue that the dual nature of the underlying commodity for Mining companies, both as a consumption and investment asset, drives the negative effect of policy uncertainty on volatility in this sector. Nevertheless, the findings highlight the predictive information captured by monetary policy actions on the idiosyncratic component of equity market volatility. [ABSTRACT FROM AUTHOR]
- Published
- 2020
- Full Text
- View/download PDF
9. The predictability of stock market volatility in emerging economies: Relative roles of local, regional, and global business cycles.
- Author
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Bouri, Elie, Demirer, Riza, Gupta, Rangan, and Sun, Xiaojin
- Subjects
EMERGING markets ,STOCK exchanges ,BUSINESS cycles ,DEVELOPING countries ,FINANCIAL crises - Abstract
This paper explores the role of business cycle proxies, measured by the output gap at the global, regional, and local levels, as potential predictors of stock market volatility in the emerging BRICS nations. We observe that the emerging BRICS nations display a rather heterogeneous pattern when it comes to the relative role of idiosyncratic factors as a predictor of stock market volatility. While domestic output gap is found to capture significant predictive information for India and China particularly, the business cycles associated with emerging economies and the world in general are strongly important for the BRIC countries and weakly for South Africa, especially in the postglobal financial crisis era. The findings suggest that despite the increase in the financial integration of world capital markets, emerging economies can still bear significant exposures to idiosyncratic risk factors, an issue of high importance for the profitability of global diversification strategies. [ABSTRACT FROM AUTHOR]
- Published
- 2020
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10. Volatility forecasting with bivariate multifractal models.
- Author
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Ruipeng Liu, Demirer, Riza, Gupta, Rangan, and Wohar, Mark
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MULTIFRACTALS ,FOREIGN exchange market ,ARCH model (Econometrics) ,HETEROSCEDASTICITY ,DEVELOPING countries ,EMERGING markets ,STOCK exchanges - Abstract
This paper examines volatility linkages and forecasting for stock and foreign exchange markets from a novel perspective by utilizing a bivariate Markov-switching multifractal model that accounts for possible interactions between stock and foreign exchange markets. Examining daily data from major advanced and emerging nations, we show that generalized autoregressive conditional heteroskedasticity models generally offer superior volatility forecasts for short horizons, particularly for foreign exchange returns in advanced markets. Multifractal models, on the other hand, offer significant improvements for longer horizons, consistently across most markets. Finally, the bivariate multifractal model provides superior forecasts compared to the univariate alternative in most advanced markets and more consistently for currency returns, while its benefits are limited in the case of emerging markets. [ABSTRACT FROM AUTHOR]
- Published
- 2020
- Full Text
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11. The effect of global crises on stock market correlations: Evidence from scalar regressions via functional data analysis.
- Author
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Das, Sonali, Demirer, Riza, Gupta, Rangan, and Mangisa, Siphumlile
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STOCK exchanges , *FUNCTIONAL analysis , *DATA analysis ,DEVELOPED countries ,GROUP of Seven countries - Abstract
• Historical correlation between US and the remaining G6 stock market returns analysed. • Correlations are explained with global crises measures. • Mixed frequency approach is used based on functional data analysis. • Some diversification benefits are observed during the early 20th century. • In the wake of crises, evidence of diversification benefits is non-existent post 1950. This paper presents a novel, mixed-frequency based regression approach, derived from functional data analysis (FDA), to analyze the effect of global crises on stock market correlations, using a long span of data, dating as far back as early 1800s, thus covering a wide range of global crises that have not yet been examined in the literature in this context. Focusing on the advanced nations in the G7 group, we observe heterogeneous effects of global crises on the convergence patterns across developed stock markets. While the post World War II period experienced a general rise in the level of correlations among developed stock market returns, we find that global crises in general have led to a stronger association of stock market returns in the US, UK and Canada, whereas the opposite holds when it comes to how European and Japanese stock markets co-move with the US. Overall, our results suggest that crises that are global in nature generally contribute to the convergence of global stock markets, while the effect largely depends on the context and nature of the crises that possibly drive the perception of risk and/or contagion in financial markets. From an investment perspective, our findings suggest that, in the wake of global crises, diversification benefits will be limited by moving funds across the US and UK stock markets whereas possible diversification benefits would have been possible during the crises-ridden period of the early twentieth century by holding positions in equities in the remaining G7 nations to supplement positions in the US. However, these diversification benefits seem to have frittered away in the post World War II period, highlighting the role of emerging markets and alternative assets to improve diversification benefits in the modern era. [ABSTRACT FROM AUTHOR]
- Published
- 2019
- Full Text
- View/download PDF
12. Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note.
- Author
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Bouri, Elie, Demirer, Riza, Gupta, Rangan, and Marfatia, Hardik A.
- Subjects
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STOCK exchanges , *BOND market , *GEOPOLITICS , *MARKET volatility , *ISLAMIC bonds - Abstract
This study applies a non-parametric causality-in-quantiles test to examine the causal effect of geopolitical risks on return and volatility dynamics of Islamic equity and bond markets. Geopolitical risks are generally found to impact Islamic equity market volatility measures, rather than returns. However, geopolitical risks tend to predict both returns and volatility measures of Islamic bonds. Interestingly, causality, when it exists for returns and/or volatility of Islamic equities and bonds, is found to hold over entire conditional distributions of returns and volatilities, barring the extreme ends of the same. [ABSTRACT FROM AUTHOR]
- Published
- 2019
- Full Text
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13. The predictive power of industrial electricity usage revisited: evidence from non‐parametric causality tests.
- Author
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Bonato, Matteo, Demirer, Riza, and Gupta, Rangan
- Subjects
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ENERGY consumption , *GROWTH rate , *STOCK exchanges , *MARKET volatility , *ENERGY economics - Abstract
Abstract: Recent research shows that the industrial electricity usage growth rate carries predictive ability over stock market returns up to 1 year. Using the recently developed non‐parametric causality tests we show that the predictive power of industrial electricity usage can be explained by an ‘industry effect’ that is transmitted via the volatility channel. We argue that the countercyclical premium associated with industrial electricity usage growth is driven by the industry components that drive stock reversals, thus resulting in the negative relationship between today's industrial electricity usage and stock market returns in the future. The findings are in line with the notion that the returns on industry portfolios are informative about macroeconomic fundamentals and suggest that the informational value of industrial electricity usage as a business cycle variable may be an artefact of return reversals driven by past industry performance. [ABSTRACT FROM AUTHOR]
- Published
- 2018
- Full Text
- View/download PDF
14. Differences of opinion and stock market volatility: evidence from a nonparametric causality-in-quantiles approach.
- Author
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Balcilar, Mehmet, Demirer, Riza, Gupta, Rangan, and Wohar, Mark E.
- Subjects
STOCK exchanges ,RATE of return on stocks ,MARKET volatility ,INVESTORS ,NONPARAMETRIC estimation - Abstract
This paper examines whether the differences of opinion across active money managers relates to stock market volatility via the recently proposed nonparametric causality-in-quantiles test. Using the dispersion in equity market exposures of active managers as a proxy for differences in opinion, we analyze the predictability of (realized) volatility of the S&P500 for the period July, 2006-August, 2016. Unlike the result of no predictability obtained under the misspecified linear set-up, our nonparametric causality-in-quantiles test indicates that dispersion in active managers’ risk exposures to the stock market can predict volatility over the range of quantiles that correspond to moderately high levels of market volatility. Our findings are in line with the previous literature that relates divergent beliefs across investors to subsequent stock returns and suggest that the effect on subsequent returns is likely to be transmitted via the volatility channel. Our results highlight the importance of detecting and modeling nonlinearity when analyzing the information content of divergent beliefs across market participants. [ABSTRACT FROM AUTHOR]
- Published
- 2018
- Full Text
- View/download PDF
15. Is there a role for Islamic bonds in global diversification strategies?
- Author
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Balcilar, Mehmet, Cerci, Gozde, and Demirer, Riza
- Subjects
ISLAMIC bonds ,PORTFOLIO diversification ,STOCK exchanges ,MARKET volatility ,PORTFOLIO performance ,COMMERCE ,LAW - Abstract
Purpose – The purpose of this paper is to examine the international diversification benefits of Islamic bonds (Sukuk) for equity investors in conventional stock markets. The authors compare the diversification benefits of these securities with their conventional alternatives from advanced and emerging markets. Compared to conventional bonds, Sukuk are backed by tangible assets and carry both bond and stock-like features. Furthermore, the Sharia-based limitations limit the risk in these securities as a result of ethical investing rules. The regime-based model provides insight to possible segmentation (or integration) of these securities from global markets during different market states. Design/methodology/approach – Risk spillover effects across conventional and Islamic stock and bond markets are examined using a Markov regime-switching GARCH model with dynamic conditional correlations (MS-DCC-GARCH). Weekly return series for conventional (advanced and emerging) and Islamic stock and bond indices are examined within a regime-dependent specification that takes into account low, high, and extreme volatility states. The DCC are then used to establish alternative diversified portfolios formed by supplementing conventional and Islamic equities with conventional and Islamic bonds one at a time. Findings – Asymmetric shocks are observed from conventional stocks and bonds into Islamic bonds (Sukuk). Compared to emerging market bonds, Sukuk are found to display a different pattern in the transmission of global market shocks. The analysis of dynamic correlations suggests a low degree of association between Islamic bonds and global stock markets with episodes of negative correlations observed, particularly during market crisis periods. Portfolio performance analysis suggests that Islamic bonds provide valuable diversification benefits that are not possible to obtain from conventional bonds. Originality/value – This study provides comprehensive analysis of volatility interactions and dynamic correlations across Islamic and conventional markets within a regime-based framework and provides insight to whether these securities could serve as safe havens or diversifiers for global investors. The findings have significant implications for global diversification strategies, particularly during market crisis periods. [ABSTRACT FROM AUTHOR]
- Published
- 2016
- Full Text
- View/download PDF
16. Do investors herd in emerging stock markets?: Evidence from the Taiwanese market
- Author
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Demirer, Riza, Kutan, Ali M., and Chen, Chun-Da
- Subjects
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INVESTORS , *STOCK exchanges , *STOCKS (Finance) , *RATE of return , *EMERGING markets , *STANDARD deviations , *FINANCIAL risk - Abstract
Abstract: This paper has three main contributions to the literature on investor herds. First, it extends investor herding studies to an emerging yet relatively sophisticated Taiwanese stock market at the sector level by using firm level data. Second, it employs different methodologies designed to test the existence of investor herds to better understand the sources of herd behavior. Third, it discusses the implications of different herding measures for investors exposed to systematic and unsystematic risks. We find that the linear model based on the cross-sectional standard deviation (CSSD) testing methodology yields no significant evidence of herding. However, the non-linear model proposed by and the state space based models of lead to consistent results indicating strong evidence of herd formation in all sectors. We also find that the herding effect is more prominent during periods of market losses. Our results suggest limited diversification opportunities for investors in this market, especially during periods of market losses when diversification is most needed. Further research is necessary to see whether similar findings hold for other emerging markets. [ABSTRACT FROM AUTHOR]
- Published
- 2010
- Full Text
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17. Firm-level return dispersion and correlation asymmetry: challenges for portfolio diversification 1.
- Author
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Demirer, Riza and Lien, Donald
- Subjects
RATE of return ,STOCK exchanges ,PORTFOLIO management (Investments) ,BEAR markets ,FINANCIAL markets - Abstract
The main purpose of this article is to study whether firm-level return dispersions might have any significance in explaining asymmetric return correlations observed in equity market returns. Correlation asymmetry, in particular increased return correlations conditional on downside moves, implies that portfolio diversification will not be as successful during bear markets--periods during which portfolio diversification will be most needed. Similarly, low firm-level return dispersion imply that stocks within the portfolio behave the same way, making diversification harder. It is found that asymmetric correlations are associated with asymmetric firm-level return dispersions. The results indicate that portfolio managers need to not only take into account the asymmetry in return correlations but also be aware of how firm-level return dispersions behave during such periods when they need diversification most. [ABSTRACT FROM AUTHOR]
- Published
- 2004
- Full Text
- View/download PDF
18. COVID-19 Pandemic and Investor Herding in International Stock Markets.
- Author
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Bouri, Elie, Demirer, Riza, Gupta, Rangan, and Nel, Jacobus
- Subjects
COVID-19 pandemic ,STOCK exchanges ,INTERNATIONAL markets ,INVESTMENT risk ,EXPORT marketing ,PORTFOLIO diversification ,VALUATION - Abstract
The aim of this study is to understand the effect of the recent novel coronavirus pandemic on investor herding behavior in global stock markets. Utilizing a daily newspaper-based index of financial uncertainty associated with infectious diseases, we examine the association between pandemic-induced market uncertainty and herding behavior in a set of 49 global stock markets. More specifically, we study the pattern of cross-sectional market behavior and examine whether the pandemic-induced uncertainty drives directional similarity across the global stock markets that cannot be explained by the standard asset pricing models. Utilizing a time-varying variation of the static herding model, we first identify periods during which herding is detected. We then employ probit models to examine the possible association between pandemic-induced uncertainty and the formation of herding. Our findings show a strong association between herd formation in stock markets and COVID-19 induced market uncertainty. The herding effect of COVID-19 induced market uncertainty is particularly strong for emerging stock markets as well as European PIIGS stock markets that include some of the hardest hit economies in Europe by the pandemic. The findings establish a direct link between the recent pandemic and herd formation among market participants in global financial markets. Considering the evidence that herding behavior can drive security prices away from equilibrium values supported by fundamentals and further contribute to price fluctuations in financial markets, our findings have significant implications for policy makers and investors in their efforts to monitor investor sentiment and mitigate mis-valuations that might occur as a result. Furthermore, the evidence on the behavioral pattern of stock investors in relation to infectious diseases uncertainty can be useful in studying price discovery in stock markets and might help market participants in forming hedging strategies to mitigate downside risk in their investment portfolios. [ABSTRACT FROM AUTHOR]
- Published
- 2021
- Full Text
- View/download PDF
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