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This study makes a comparative analysis of the explanatory power of CAPM and downside CAPM based risk measures for stock returns in Borsa Istanbul. 22 risk measures based on mean-variance and mean-semivariance approaches using global and local single factor models are examined for 2005–2016 period in a panel data setting. Mean-semivariance approach (downside CAPM) based downside betas and downside standard deviations have significant explanatory power for stock returns whereas CAPM based local and global betas fail to explain stock returns. The mean-semivariance approach (downside CAPM) could determine cost of equity more accurately. Deviations of returns below the mean are better risk indicators than deviations of returns below risk free rate of return and negative returns. Borsa Istanbul is partially integrated with the global market index and the degree of integration is higher during periods of negative returns. Results suggest that USD/TRY relationship is the dominating factor compared to MSCI movements. Keywords: Asset pricing, Downside beta, Downside CAPM, Downside risk, Semivariance, Borsa Istanbul, Jel Classification: C21, C23, G11, G12

Gözgör, Giray (Dogus Author) This paper empirically examines short-and long-run relationships between foreign direct investments (FDI) and volatility of foreign portfolio investments (FPI) in 12 Central and Eastern European (CEE) countries. We use the Generalized Autoregressive Conditional Heteroskedasticity models to calculate volatility of the FPIs. We utilize the second generation panel unit root test, panel-Wald causality test procedure and panel cointegration analysis allowing for structural breaks, and cross-sectional dependence. The results strongly suggest that a decrease in FPI volatility is followed by an increase in FDI in the long-run, and this indicates economies that advance in capital liberalization benefit from increases in FDI. However, the relationship in opposite direction in the long-run is valid in only half of the countries studied. In short-run, we observe that the former relationship is valid only in Turkey, the Czech Republic, and Lithuania; where the latter is valid only in Latvia.

Despite the existing challenges in the capital market, technological and market uncertainties, the current business environment may be fertile for innovative firms that could find affordable and scalable clean technology innovations. Navigating innovation management process for any clean technology project is a practical issue that requires attention of financial and non-financial factors affecting technology development and deployment. Such endeavor has precipitated many of the complex questions involved with clean technology industry. This article surveys literatures on resource-based view of the firm, operations management, innovation and technology management, and clean technology. The article identifies key drivers – operations, market and regulatory – of clean technology projects, and further demonstrates their interrelatedness within a comprehensive integrated conceptual framework of development and deployment. This integrated framework contributes to our understanding of innovation management process for clean technology firms, including supply and demand sides.

This paper examines the reaction of investors to the arrival of unexpected information on the Istanbul Stock Exchange. The empirical results suggest that the investor reaction following unexpected news on the ISE100 is consistent with Overreaction Hypothesis especially after unfavorable market surprises. Interestingly such pattern does not exist for ISE30 index which includes more liquid and informationally efficient securities. A possible implication of this study for investors is that employing a semi contrarian investment strategy of buying losers in ISE100 may generate superior returns. Moreover, results are supportive of the last regulation change of Capital Market Board of Turkey which mandates more disclosure regarding the trading of less liquid stocks with lower market capitalization. Bu çalışma İstanbul Menkul Kıymetler Borsasına sürpriz bir bilgi gelişi karşısında yatırımcının tepkisini incelemektedir. IMKB100 endeksi için sonuçlar sürpriz bilgi gelişi karşısında yatırımcının davranışının Aşırı Tepki Hipotezi’ne uygun olduğunu göstermektedir. Bu durum özellikle negatif etkisi olan bilgi gelişi sonrası daha belirgindir. Daha likit ve pazar etkinliği fazla olan şirketler grubunu kapsayan IMKB30 endeksi aynı yapıyı göstermemektedir. Çalışmanın bir sonucu; endeksteki aşırı düşmeler sonrası IMKB100 endeksine yatırım yapmanın anormal getiri sağlayabileceğidir. Sonuçlar Sermaye Piyasası Kurulu’nun likiditesi ve toplam piyasa değeri düşük olan hisselerin alım satımı için daha fazla bilgi verilmesini zorunlu kılan son değişikliklerini destekler niteliktedir.

Gözgör, Giray (Dogus Author) -- Erzurumlu, Yaman Ö. (Dogus Author) Following the liberalization of financial markets, Goldstein and Razin (2006) show that there is an information based trade-off between foreign direct investment and foreign portfolio investment, our paper examines the causality relations between foreign direct investment and volatility of foreign portfolio investment. Utilizing monthly and quarterly data set of Czech Republic, Poland, Russia and Turkey, volatility of portfolio investments, which indicated evidence of ARCH effects for all four countries, have been estimated by best fitting GARCH (p,q) models. Further, potential causality has been examined by Granger (1969), Sims (1972) and Toda and Yamamoto (1995) test methods. Results indicated that, for Russia and Turkey foreign direct investment has a significant cause on portfolio investment volatility. However for Czech Republic and Poland, there is no such significant relationship has been found. Finally further investigation of a possible structural break due to EU membership could not provide such evidence for Czech Republic and Poland in related variables.

Erzurumlu, Yaman Ömer (Dogus Author) The federal funds market is highly competitive, has uniform information, and does not have most order-processing cost components of equity markets. Hence, it provides an opportunity to study the effect of inventory management on the bid-ask spread in an isolated fashion. Using a unique data set of daily borrowing and lending federal funds quotes posted by a large commercial bank, we find that the bank maintains a fairly constant bid-ask spread throughout a two-week reserve maintenance period. It acts similarly to a market maker facilitating flow of funds between depository institutions throughout the reserve maintenance period. The bank becomes more active toward the end of the period. In particular, on settlement Wednesday it increases the bid and ask quotes relative to the effective federal funds rate in an apparent attempt to manage its reserve inventory and satisfy its own reserve requirements.

This article attempts to measure performances of Type A and Type B funds relative to T-Bill rates and ISE-100 index in Turkey over the period of January 1998-June 2000 using Sharpe, Treynor, Jensen, and Graham&Harvey indices. 55 Type A, and 77 Type B Funds were included in the analysis. In order to test whether four different indices make similar ranking, Spearman rank correlation analysis was utilized. Secondly, Wilcoxon Signed-Rank test was applied to test the significance of the differences in Sharpe indices of alternative investment instruments included in the analysis. Analysis revealed that different criteria rank the portfolios similarly. But more importantly it was found that, the best investment over the entire analysis period as well as in the sub-periods was T-Bills, which was followed by ISE-100 index, Type B Funds, and Type A funds respectively. This finding makes the merits of the efforts spent by funds managers, over the analysis period, to outperform the market highly questionable., Bu makale A ve B tipi fonların 1998 0cak-2000 Haziran dönemindeki per­formanslarını, Sharpe, Treynor, Jensen ve Graham&Harvey kriterlerini kullanarak Hazine bonosu ve İMKB-100 indeksine kıyasla ölçümlemeyi amaçlamaktadır. Ana­lize 55 A Tipi, 77 B tipi fon dahil edilmiştir. Bu kriterlerin fonları aynı şekilde sıra­layıp sıralamadığını görmek için Spearman dizi korelasyonundan yararlanılmıştır. İkinci olarak, dört farklı yatırım aracının ortalama Sharp katsayılarının birbirinden anlamlı ölçüde farklı olup olmadığı Wilcoxon İşaretli Sıra testiyle irdelenmiştir. Yapılan analizler portföy performansını değerlendirmede kullanılan dört kriterin fonları benzer şekilde sıraya koyduğunu göstermiştir. Ama daha önemlisi, gerek tüm analiz döneminde gerekse alt dönemlerde hazine bonosunun en iyi yatırım aracı olduğu, onu sırasıyla İMKB-100 endeksi, B Tipi fon ve A Tipi fonun izlediği görülmüştür. Bu sonuç, fon yöneticilerinin, analiz dönemi boyunca, pazar ortalamasından daha iyi fonlar oluşturma çabalarının yararı konusunda kuşku yaratmaktadır.