Search

Although fossil energy sources are easily accessible and storable, their unsustainability and negative impacts such as increased greenhouse gas emissions have led to an increased interest in alternative and clean energy sources to meet the increase in global energy demand. Regardless of the source, fluctuations in energy prices affect financial markets through different transmission mechanisms. This study aims to investigate the asymmetric relationship and volatility interaction between fossil energy prices and the stock prices of clean energy companies and the BIST 100 and BIST electricity indices using the asymmetric BEKK-GARCH model. According to the results of the analysis, there is a unidirectional volatility spillover from the natural gas price to the BIST 100 index and a bidirectional volatility spillover between the ERIX index and the BIST 100 index. In addition, there is a bidirectional shock transmission between SPGCE, ECO and NEX indices and BIST electricity index. It is concluded that there is a bidirectional volatility interaction between BIST electricity index and ERIX and NEX indices and volatility interaction from ECO index to BIST electricity index. It is concluded that oil price and heating oil have no effect on BIST. [ABSTRACT FROM AUTHOR]

Copyright of BES Journal: International Journal of Business & Economic Studies is the property of BES Journal - International Journal of Business & Economic Studies and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Varlık getirilerinin istatistiki dağılımını modellemek özellikle finansal portföylerin oluşturulmasında çok önemlidir. Varlık getirilerinin dağılımının doğru ve zamanlı modellenmesi, bu dağılımlar yardımıyla oluşturulan portföylerin de piyasa endeksi gibi geleneksel finansal varlıklara göre daha yüksek getiri/oynaklık performansı sağlamasının önünü açacaktır. Bu makalede, 2000-2019 döneminde S&P 500 Endeks getirilerinin ortalaması ve oynaklığı arasındaki kaldıraç ilişkisi de ele alınarak bir modelleme yoluna gidilmiştir. Bu yapılırken de özellikle beklenen getiri ve oynaklık arasındaki asimetrik ilişki dikkate alınmıştır. Bu ilişkilerin hem zamanlamasının hem de asimetrik yapısının uygun bir şekilde ele alınması varlık dağılımının ve bu dağılımın volatilitesinin çok daha iyi tahmin edilmesini sağlamaktadır. Modelin başarısı, bu modelden yola çıkarak oluşturulan gerçek zamanlı tahminleri kullanarak yatırım yapan bir temsili yatırımcı gözüyle değerlendirilmiştir. Bu yatırımcı her zaman periyodunda beklenen getiri oynaklık arasındaki ilişkiyi bütünüyle ele alan ekonometrik model yardımıyla portföy ağırlıklarını belirlemektedir. Bu ağırlıklar sonucunda gerçekleşen portföy getirisinin temsili yatırımcıda yarattığı ortalama fayda modellerin başarı ölçütü olarak kullanılmıştır. Sonuçlar beklenen değer ve oynaklık arasındaki ilişkinin ekonomik değerinin oldukça yüksek olduğunu göstermiştir. Bu sonuçlar birçok farklı etmene karşı geçerliliğini korumaktadır. Dolayısıyla finansal portföy oluşumunda sadece getiri ve oynaklık değil, bu ikisi arasındaki ilişkinin de modellenmesi önerilmektedir.

Copyright of Journal of Economic Policy Researches / İktisat Politikası Araştırmaları Dergisi is the property of Journal of Economic Policy Researches / Iktisat Politikasi Arastirmalari Dergisi and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Journal of Social Sciences Institute / Sosyal Bilimler Enstitüsü Dergisi is the property of Bingol University / Rectorate and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Journal of Economic Policy Researches / İktisat Politikası Araştırmaları Dergisi is the property of Journal of Economic Policy Researches / Iktisat Politikasi Arastirmalari Dergisi and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Bilecik Seyh Edebali University Journal of Social Sciences is the property of Bilecik Seyh Edebali University Journal of Social Sciences and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Bursa Uludağ Journal of Economy & Society / Bursa Uludağ Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi is the property of Uludag Universitesi Iktisadi ve Idari Bilimler Fakultesi Dergisi and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

The volatility observed in securities markets has an important influence on the decision making processes of stock market stakeholders. In this study, the volatilities in BIST100 index which represents Borsa Istanbul was analyzed. For this purpose, BIST100 index closing data for the period of 03.01.1988-20.04.2018 was used in the study. The BIST100 index was analyzed by Markov regime switching GARCH (MS-GARCH) with three regimes, standard, high and low volatility regimes. As a result of the triple regime MS-GARCH intensive analysis, the existence of endogenous regimens was determined, in which the regime coefficients considered for the index were statistically significant. When the possibilities of regime transitions are analyzed, it is determined that the probability of continuing the standard volatility regime is 0.62, the probability of transition to low volatility regime is 0.23 and the probability of transition to high volatility regime is 0.145. Moreover, it was determined that the possibilities of regime passage in 5 and 20 days are very close to each other.

A new type of coronavirus disease (COVID-19), known as SARS-CoV-2 is not only an unprecedented health crisis but it is also expected to become one of the most costly pandemics affecting the global economy in recent history. Recent studies (Apergis and Apergis (2020), Baig vd. (2021), Rai ve Garg (2021), Mazur ve Vega (2021)) show that the contagious effect of the COVID-19 outbreak increases the volatility of financial markets. This paper aims to examine the impact of the COVID-19 outbreak on the volatility of S&P 500 stock market returns using daily data over the period from January 21, 2020 to April 09, 2021. To this end, the volatility of stock returns is analyzed by using a GARCH-X model. The GARCH-X model allows us to include COVID-19 factor as an exogenous variable in the mean and conditional variance equations. The findings indicate that daily reported COVID-19 cases in the USA have statistically insignificant effect on stock returns in short-term. However, as the results indicate, the COVID-19 outbreak has a positive and statistically significant impact on the volatility of these stock returns. [ABSTRACT FROM AUTHOR]

Copyright of Akademik Hassasiyetler is the property of Huzeyfe Suleyman Arslan and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Erciyes Akademi is the property of Erciyes Universitesi Sosyal Bilimler Dergisi and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Atatürk University Journal of Agricultural Faculty is the property of Ataturk University Coordinatorship of Scientific Journals and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Kredi türev ürünleri, kredi riskini minimize etmek için 1990’lı yıllarda finans piyasalarında kullanılmaya başlanmış ve kredi olaylarından kaynaklanan zararlara karşı sigorta sağlayarak, kredi riskine maruz kalmayı azaltmak veya ortadan kaldırmak için oluşturulmuş finansal sözleşmelerdir. En çok kullanılan kredi türev ürünlerinden biri olan kredi temerrüt takasının (CDS) temel işlevi kredi riskini dağıtmaktır. Bu çalışmanın amacı; CDS prim oynaklığını, normal, student-t, GED ve skewed-t dağılımları kullanarak simetrik ve asimetrik etkileri dikkate alan GARCH modelleri ile tahminlemek ve öngörü performanslarını karşılaştırmaktır. Bu amaç doğrultusunda 01 Ocak 2010 ile 30 Ekim 2019 tarihleri arasındaki günlük CDS risk primleri kullanılmıştır. Elde edilen sonuçlar asimetrik etkiyi dikkate alan modellerin ve kalın kuyruklu dağılımların daha iyi sonuçlar ortaya koyduğunu göstermektedir.

This article provides results on the volatility spread for Borsa İstanbul and Turkey. Volatility contains unpredictability, uncertainty, and also risk. Volatility in finance generally refers to the rate of a financial variable such as stock price moving up or down over time. Volatility spreading is a shock in a financial market that increases volatility in other markets or is the risk spread between different financial markets. This study aims to analyze volatility spreads from developed and emerging markets to Borsa İstanbul within the scope of EGARCH models, which take into account the asymmetric effects using daily stock returns for the period of January 2008 - April 2020. The asymmetric effect parameter (Θ) appears to be negative and significantly significant at 1%. This indicates that the asymmetric effect, ie the leverage effect, is valid for Borsa İstanbul. Volatility spreads from Dow Jones Stock Exchange to Istanbul Stock Exchange. In addition, the USD / TRL exchange rate and TLLIBOR variables have an impact on the volatility of Borsa Istanbul. These results clearly reveal the effect of volatility on investor behavior and decision. [ABSTRACT FROM AUTHOR]

Copyright of Journal of Emerging Economies & Policy is the property of JOEEP: Journal of Emerging Economies & Policy and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Journal of Finance Letters / Maliye Finans Yazıları Dergisi is the property of Maliye Finans Yazilari Yayimcilik Ltd. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Boğaziçi Journal: Review of Social, Economic & Administrative Studies is the property of Bogazici University, Faculty of Economics & Administrative Sciences and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

The purpose of this study is to investigate the effects of geopolitical risks on foreign exchange markets. For this purpose, the analyses were carried out with the nonparametric causality-in-quantiles test, which demonstrates nonlinear causality in both return rates and volatility, developed by Balcilar et al. (2016, 2017) using monthly data between July 2005 to February 2020 of the Geopolitical Risk Indexes developed by Caldara, Iacoviello and Markiewitz of BRICS-T countries and their US Dollar based local currencies. As a result of the analyses, it was determined that the geopolitical risks affected both the return rate and volatility of the exchange rates, and thus have significant effects on the foreign exchange markets. Another important result achieved is that geopolitical risks should be viewed by investors, central banks, policymakers and businesses as a risk factor that should be evaluated for the foreign exchange markets. [ABSTRACT FROM AUTHOR]

Stock prices which are quoted on stock exchanges may show volatility for many reasons including economic, financial, political and social reasons. The volatility in share prices indicates that there are risks related with shares. These volatilities in share markets are closely related to stock investors, capital mobility between the markets, policy makers and who want to improve their capital markets. In this study, 38 country samples were investigated between the period of 1999-2016, which economic and financial country risk factors affecting the stock price volatilities. According to the results of the panel data analysis, it was seen that financial risk factors consisting of debt service / export, exchange rate stability and external debt / GDP variables and economic risk factors consisting of inflation and economic growth increased the volatility of share prices. [ABSTRACT FROM AUTHOR]

Copyright of Erciyes Universitesi Sosyal Bilimler Dergisi is the property of Erciyes Universitesi Sosyal Bilimler Dergisi and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

In this study, transactions of carbon spot and future prices on the European Energy Market (EEX) and Intercontinental Futures Exchange (ICE Futures), causality analysis of changes in mean and variance of Brent oil prices and EUR/USD exchange rate, are analyzed with three different econometric tests. According to the results, which analyzed 80 months between January 2012 and August 2018, the symmetrical causality was found to be unidirectional at the 1% significance level from shocks in the spot price to shocks in the future price, and the 5% significance level from shocks in the oil price to shocks in the future price. According to the asymmetric causality test results, asymmetric causality in mean at different significance levels was detected among almost all variables. Therefore, it is concluded that there are nonlinear relationships between variables. In the variance causality analysis, a strong causality was found at 1% significance levels from the variance in the future price of carbon to the spot price variance. Thus, it has been revealed that volatility in future prices is an important reason for the volatility in spot prices. A volatility relationship could not be determined among other variables. [ABSTRACT FROM AUTHOR]

Copyright of Omer Halisdemir Universitesi Iktisadi ve Idari Bilimler Fakültesi Dergisi is the property of Omer Halisdemir University, Faculty of Economics & Admistrative Sciene and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Itobiad: Journal of the Human & Social Science Researches / İnsan ve Toplum Bilimleri Araştırmaları Dergisi is the property of Itobiad: Journal of the Human & Social Science Researches and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Bu makale, ilgili literatürün gözden geçirilmesini takiben ve çeşitlendirme, nedenleri ve beklenen etkileri içeren teorik bir arka plan ortaya koyarak, hisse senedi fiyatlarındaki oynaklık ile Borsa İstanbul'da (BIST) ve BIST Holding ve Yatırım Şirketleri endeksinde işlem gören firmaların faaliyet alanlarının çeşitlendirilmesi arasındaki ilişkiyi ortaya koymayı amaçlamaktadır. 2009-2016 yılları arasında 29 farklı şirket için yıllık konsolide finansal tablolar kullanılmaktadır. Sonuçlara göre, faaliyet alanlarının sayısı ile hisse senedi değerlerinin yıllık ortalama oynaklığı arasında negatif bir ilişki gözlemlenmiştir. Türkiye gibi gelişmekte olan piyasalarda görece yüksek piyasa riskleri göz önüne alındığında, çeşitliliğin oynaklığın azaltılmasında yararlı bir araç olmaya devam edeceği söylenebilir.

In this study, impact of the real effective exchange rate (REER) and its volatility (REERV) on Turkey's agricultural foreign trade was investigated. 25importantcountries in agricultural trade of Turkey and 1990-2012 periods were examined, and panel data analysis was used in this research. IGARCH model was applied to obtain for the REERV. Influence of the REER and REERV on Turkey's agricultural trade was analyzed whit FMOLS model both individual country and groups panel. According to the results of FMOLS model; It was determined that Turkey agricultural import (7.61%) and export (2.24%) were increased when the REER was risen about 1%. The agricultural import was decreased 18.83% in case the REERV was increased 1%. On the other hand, when the REERV was increased around 1%, there was no significantly relationship between agricultural export and REERV. As a result, it can be stated that REER and REERV were caused an imbalance on Turkey's agricultural foreign trade. Agricultural producers and industrialists are often adversely affected by the REERV. For these reasons, it is important to take protective measures for them.

Due to the free movement of capital and advancing technology, the interaction between markets increase day by day. While analysing markets; the interaction direct to companies, individual and institutional investors and policymakers to considering different markets as well as domestic news. One of the most important among these markets is the oil market. The oil market has significant impacts on macroeconomic indicators (inflation, interest rates and unemployment, etc.) and production costs, sales revenues and cash flows of firms. According to this, the aim of the study is to reveal the relationship between emerging stock markets and oil market. For this purpose, WTI crude oil price and MSCI Emerging Market Index were analysed by Moon and Yu (2010) approach in the period span from 2012 to 2018. As a result of the analysis ; there is a return spill over from crude oil markets to emerging stock markets. In case of opposite direction, volatility spill over was determined. The findings will contribute to the decision-making process of investors, policymaker and researchers for the analysed period. [ABSTRACT FROM AUTHOR]

Globalleşen dünyada finansal sınırların kalkmasıyla birlikte uluslararası yatırımlar artmış ve dünya piyasaları birbirlerini hem etkilemiş hem de birbirlerinden etkilenmişlerdir. Bu da hisse senedi piyasalarında getiri ve volatilite oynaklığına sebep olmuş dolayısıyla yatırımcıların alacakları kararlar üzerinde önemli bir etkiye sahip olmuştur. Bu çalışmada yatırımcılar açısından son derece önemli olan getiri ve volatilite yayılımı üzerine yapılan çalışmalar 1996 yılından itibaren bir araya toplanarak finans bilgisi kullanıcılarına yol gösterilmeye çalışılmıştır.

Globalleşen dünyada finansal sınırların kalkmasıyla birlikte uluslararası yatırımlar artmış ve dünya piyasaları birbirlerini hem etkilemiş hem de birbirlerinden etkilenmişlerdir. Bu da hisse senedi piyasalarında getiri ve volatilite oynaklığına sebep olmuş dolayısıyla yatırımcıların alacakları kararlar üzerinde önemli bir etkiye sahip olmuştur. Bu çalışmada yatırımcılar açısından son derece önemli olan getiri ve volatilite yayılımı üzerine yapılan çalışmalar 1996 yılından itibaren bir araya toplanarak finans bilgisi kullanıcılarına yol gösterilmeye çalışılmıştır.

Copyright of Journal of Financial Politic & Economic Reviews / Finans Politik & Ekonomik Yorumlar is the property of Journal of Financial Politic & Economic Reviews / Finans Politik & Ekomomik Yorumlar and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Journal of Financial Politic & Economic Reviews / Finans Politik & Ekonomik Yorumlar is the property of Journal of Financial Politic & Economic Reviews / Finans Politik & Ekomomik Yorumlar and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

The purpose of this study is to determine the effects wheather and lunar cycle anomalies on the volatility and return in the BIST. Within the scope of this research, daily closing data of BIST 100, BIST Financial, BIST Service, BIST Industrial and BIST Technology indices which were generated between 2002 and 2016 were used in order to investigate the anomalies and volatility and these data were analyzed by ARCH-GARCH methods. In addition, the study was investigated into two periods named as crisis and non-crisis periods in order to demonstrate the impact of the 2008 Global Crisis. Within this framework, the crisis period was determined between 02.01.2008 and 30.08.2009. As a result of this study, the impact of wheather and lunar cycle anomalies on volatility and return in the BIST were determined during crisis and non-crisis periods. In terms of return, except for the crisis in the BIST Financial index, full moon effect which gives a positive return in the period and new moon anomalies which cause negative effect in the crisis period have been determined. The weather effect is determined on volatility, which does not cause an anomaly in terms of return. [ABSTRACT FROM AUTHOR]

Copyright of Journal of Administrative Sciences / Yonetim Bilimleri Dergisi is the property of Canakkale Onsekiz Mart Universitesi, Terzioglu Kampusu and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Exchange rates, which have attracted much attention throughout the world, are an important financial problem. In this study, we investigate the performance of generalized autoregressive conditional heteroscedasticity models by employing GARCH, EGARCH and TARCH models using daily data over the period 04.01.2010 to 17.03.2017 in terms of modelling the daily changes in exchange rate. All results obtained from the models show that volatility was persistent. In addition, the findings of AR(2)-EGARCH(2,2,2) model verify that there is existence of statistically significant asymmetric effects. The results from all asymmetry models emphasize that the hypothesis of leverage effect cannot be rejected because the effects of negative and positive shocks have not same impact on volatility. As a result, the findings of this study provide relevant information and benchmark for policy makers and investors in decision making to comprehend investment strategies and enhance exchange rate stability in economy. [ABSTRACT FROM AUTHOR]

Low liquidity (illiquidity) of a market is considered to have important asset pricing implications such that the higher the transaction costs the lower will be the asset prices and higher the rates of return. This is due to an illiquid asset offering higher rate of return to compensate the investors for having liquidity cost. According to John Maynard Keynes, an asset is defined to be liquid when "it is more certainly realizable at short notice without loss". The major aim of this paper is to analyze the relationship between exchange rate volatility and volatility of stock market illiquidity for Borsa Istanbul. In this way the effects of external shocks and the exchange rate volatility as the risk indicator for an open economy will be investigated. Volatility of stock market illiquidity and exchange rate volatility are estimated by applying different approaches available in the relevant literature. Afterwards the relationship between these two variables is analyzed by using Moon and Yu approach. Based on empirical findings some policy recommendations are made for market players. [ABSTRACT FROM AUTHOR]

The purpose of this study is to determine the effects of day of the week and holiday anomalies on the volatility and return in the BIST. Within the scope of this research, daily closing data of BIST 100, BIST Financial, BIST Service, BIST Industrial and BIST Technology indices which were generated between 2002 and 2016 were used in order to investigate the anomalies and volatility and these data were analyzed by ARCH-GARCH methods. In addition, the study was investigated into two periods named as crisis and non-crisis periods in order to demonstrate the impact of the 2008 Global Crisis. Within this framework, the crisis period was determined between 02.01.2008 and 30.08.2009. As a result of this study, the impact of day of the week and holiday anomalies on volatility and return in the BIST were determined during crisis and non-crisis periods. At the same time, the findings show that the all 5 BIST indices had negative return on Mondays and positive returns on Wednesday, except for the BIST Sinai index. [ABSTRACT FROM AUTHOR]

ÖZ: Çalışma ARFIMA-FIGARCH modelleri yardımıyla Türkiye hisse senedi piyasası getirilerinde ikili uzun hafıza özelliğinin varlığını incelemekte dolayısıyla zayıf formda etkin piyasa hipotezini test etmektedir. Bu amaçla kullanılan veri 2010-2013 dönemi Borsa İstanbul (BIST) için günlük hisse senedi kapanış fiyatlarını içermektedir. Öncelikle ortalama ve oynaklıktaki uzun hafızanın varlığı ayrı olarak incelenmiştir. ARFIMA modeli sonuçları BIST getirileri için ortalamada uzun hafıza özelliği gösterirken, getiri oynaklıklarındaki uzun hafızanın varlığı için FIGARCH modeli de istatistiksel olarak anlamlı sonuçlar vermiştir. İkinci olarak, ortalama ve oynaklıktaki birlikte uzun hafıza özelliği ARFIMA-FIGARCH modeli ile değerlendirilmiştir. Sonuç olarak, ortalamada uzun hafızanın varlığına dair bir bulgu elde edilemezken, oynaklığın öngörülebilir bir yapı gösterdiği Türkiye borsası etkin bir piyasa değildir. Anahtar Kelimeler: ARFIMA-FIGARCH, İkili Uzun Hafıza, Oynaklık, Yapısal Kırılma, Etkin Piyasa Hipotezi. ABSTRACT: The study examines presence of dual long memory property in returns of Turkish Stock Market by using ARFIMA-FIGARCH model and, tests Weak Form Efficient Market Hypothesis. The data set consists of daily closing prices for the period 2010 to 2013 of Istanbul Stock Exchange. Firstly, long memory property in return and volatility has been investigated separately. FIGARCH model indicates statistically significant findings while the results of ARFIMA model display long memory dynamics in returns of BIST. Secondly, long memory in return and volatility has been evaluated simultaneously by using ARFIMA-FIGARCH model. Consequently, Turkish Stock Market is not Efficient Market because volatility shows forecastable structure while there have not been obtained any finding about presence of long memory in return. Keywords: ARFIMA-FIGARCH, Dual Long Memory, Volatility, Structural Break, Efficient Market Hypothesis.

In this study, we analyze volatility in crude oil prices using ARCH-GARCH models and Artificial Neural Network (ANN) over the time periods from January 02, 2008 to October 23, 2017. To investigate the relationship, financial variables included in the model such as the DJIA and FTSE stock market indexes, EUR/USD and Yen/USD exchange rates. According to the artificial neural network results, the most important effect on oil price comes from volatility of DJIA and FTSE stock market indexes. Artificial Neural network evidence shows that the R-square coefficient is 87% for the sample period. [ABSTRACT FROM AUTHOR]

Copyright of Journal of Financial Politic & Economic Reviews / Finans Politik & Ekonomik Yorumlar is the property of Journal of Financial Politic & Economic Reviews / Finans Politik & Ekomomik Yorumlar and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Journal of Finance Letters / Maliye Finans Yazıları Dergisi is the property of Maliye Finans Yazilari Yayimcilik Ltd. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

After the global crisis of 2008, it is apparent that United States of America, England, European Union and Japan central banks have increased their monetary base via application of their respective programs. Among them, Quantitive Easing programs of Federal Reserve Bankare considered to be quite effective on global finance. In this study, impact of quantitative easing periods on volatilities of commodity and foreign exchange markets and of stock index assets are attempted to be assessed. Accordingly, two commodities; gold prices and oil prices, USD/TL exchange rate and two stock indexes; BİST30 and S&P500 are used. For the assets that are analyzed, first, the relevant Generalized Autoregressive Conditional Heteroskedasticity model are determined and effects of these policies on the volatility of the financial instrument is assessed. [ABSTRACT FROM AUTHOR]

Volatility is a topic attracted great deal of attention from both market participants and academic scholars since it is considered as an indicator of the risk associated with financial instruments. Especially, businesses that operate at international level applies relevant strategies to minimize this risk. Thus, modeling of volatility and forecasting volatility is of great importance from the currency risk management standpoint. The aim of this study is to provide suggestions for accurate estimation of volatility and minimize the exchange rate risk faced by the company. In this study, optimal volatility forecasting models for USD, GBP and EUR time series were modelled with ARCH, GARCH, EGARCH and TARCH methods. The study concludes that the best model for the EUR and USD variables is the asymmetric model used to measure the volatility impact of the “good and bad news” on the market and the best model to explain GBP Exchange volatility is symmetric model. [ABSTRACT FROM AUTHOR]

Copyright of Ekonomik Yaklaşim is the property of Ekonomik Yaklasim Dernegi (Ekonomik Yaklasim Association) and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)