Bankacılık ve Finans Bölümü Yayın Koleksiyonu
Permanent URI for this collectionhttps://hdl.handle.net/20.500.12416/400
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Article Unit Root Testing in the Presence of Mean Reverting Jumps: Evidence From US T-Bond Yields(Walter de Gruyter GmbH, 2019) Ilalan, Deniz; Ozel, OzgurMean reversion of financial data, especially interest rates is often tested by linear unit root tests. However, there are times where linear unit root test results can be misleading especially when mean reverting jump formations are at stage. Considering this framework, we provide a new unit root testing methodology and compute its asymptotic critical values via Monte Carlo simulation. Moreover, we numerically compare the power of this generalized mean reversion test with the pioneering linear unit root test in the literature namely the Augmented Dickey Fuller (ADF) test. We deduce that our test is a refinement of ADF test with a higher power. Weapply our findings to US 10-year Treasury bond yields. We aim to shed light to the discussion among researchers whether interest rates can sometimes revert to a long-term constant mean or not from an unorthodox point of view.Article Citation - WoS: 2Citation - Scopus: 2An Alternative Mean Reversion Test for Interest Rates(Central Bank Republic Turkey, 2018) Ozel, Ozgur; Ilalan, DenizA number of empirical studies assert that interest rates are governed by unit root processes rejecting any form of reversion to a long term mean by resorting to certain tests, among which the Augmented Dickey Fuller (ADF) is the most widely used one. In this study, we propose an alternative testing methodology that can be applied along with ADF test, in the sense that there are times where it can capture stationarity when the other fails to do so. Moreover, our test has more power than ADF test. As an application to real-data, we consider 10-year US and Turkish T-bond rates. (C) 2017 Central Bank of The Republic of Turkey. Production and hosting by Elsevier B.V.Article Asymmetric Smooth Transition in Cds Spreads: Evidence From Latvia(Allied Business Academies, 2019) Akdoğan, E.C.; Akdoğan, Ece Ceylan; Bankacılık ve FinansThis paper investigates the predictability of CDS premiums and thus addresses weak form informational efficiency of CDS markets through examining the statistical properties of Latvian CDS spreads in-between 01:2006-08:2017 by concentrating on stationarity issues. The findings for the Augmented Dickey Fuller test fail to reject the presence of unit root indicating that the CDS market is weak form efficient while nonlinear tests of Kapatenios, Snell and Shin, and Sollis claim the opposite, demonstrating a smooth transition in general, and asymmetric smooth transition in particular. Additionally, the results of Perron and Zivot-Andrews tests identify no structural break as well for robustness. These results underline the necessity of accounting for nonlinearities in CDS premiums to grasp the predictability dynamics better. © 2019, Academy of Accounting and Financial Studies Journal.Article Citation - Scopus: 1Economic Exposure of Emerging Market Firms(National Academy of Management, 2015) Karadagli, E.C.; Akdoğan, Ece Ceylan; Bankacılık ve FinansAlthough foreign exchange risk inherits more severe exposures for emerging market firms, past empirical research addressing foreign exchange exposure is mainly concentrated on firms operating in developed economies. This paper examines the impact of exchange rate fluctuations on firm value at an emerging market through focusing on economic exposure of Turkish listed firms. The findings indicate that depreciation of Turkish lira against the euro, the US dollar and the basket currency significantly deteriorates firm value in a current month while significantly enhances firm value during the next month. When the overall impact of Turkish lira depreciation on the value of Turkish companies is considered, it is observed that the weakening of the home currency has a positive effect on firm’s value. © Ece C. Karadagli, 2015.Book Part Citation - WoS: 1Globalization, Firm Performance and Group Affiliation in Emerging Markets: Evidence From Turkey(Asers Publishing, 2013) Akdoğan, Ece Ceylan; Karadagli, Ece Ceylan; Bankacılık ve FinansAlthough the process of globalization deeply affects businesses in all aspects, unfortunately, the firm level effects of globalization are highly unexplored in the literature. This research aims to explore how the overall globalization level of a country as well as her economic, her political and her social globalization levels affect the performance of both the group affiliated and the unaffiliated firms, operating in this business environment by using pooled panel analysis. To search for the potential differences that may prevail between the firm performance effects of globalization on the group affiliated firms and on the unaffiliated firms, it focuses on Turkish listed companies for the period 2002-2009. The findings of the study indicate that while globalization improves the stock returns of both the group affiliated and the unaffiliated firms, it deteriorates the operational income of both groups of firms. The findings also imply that although the effects of economic and political globalization do not seem to differentiate much between the group affiliated and the unaffiliated firms, social globalization may be argued to affect the operating incomes and the firm growth rates of group affiliated and unaffiliated firms differently. Last but not least, the findings suggest that the most influential dimension of globalization in terms of its effects on firm performance for Turkish companies seems to be the economic globalization.Article Citation - Scopus: 2Profitability Effects of Cash Conversion Cycle: Evidence From Turkish Companies(National Academy of Management, 2013) Karadagli, E.This paper examines the impact of cash conversion cycle and its single components, specifically accounts collection period, inventory turnover in days and accounts payable period, on firm profitability as measured by operating income and stock market return by using pooled panel analysis for the period of 2001-2010. Besides, the possible effects of group affiliation on the impact of CCC and its components on firm profitability are also investigated. The findings suggest that shortening of CCC and its single components, including accounts payable period, improve firm profitability in terms of both accounting and market measures of performance. The findings also indicate that both the affiliated and the unaffiliated firms can enhance firm performance in terms of both performance measures through shortening their CCCs, this effect is stronger for unaffiliated firms and hence working capital management seems to be more important for them. © Ece Karadagli, 2013.Article Citation - Scopus: 2A Nonlinear Analysis of Weak Form Efficiency of Stock Index Futures Markets in Cce Emerging Economies(2012) Karadagli, E.C.; Donmez, M.G.Futures markets, through carrying considerable impact on the spot market, serving such functions as price discovery and risk reduction for all market participants, and providing beneficial effects on the economic growth process especially in emerging countries, appear to be a vital part of a well-functioning economy. Accordingly, this paper examines weak form futures market efficiency of five CEE Emerging Economies. For this purpose, besides the traditional unit root tests, to account for nonlinearities in financial data, we employ nonlinear unit root tests along with their panel extensions. The results suggest that although the examined markets are efficient in linear sense, inefficiencies prevail when we account for nonlinearities. These findings imply that the examined countries, especially Poland and Turkey, need to take precautions to overcome the obstacles in their prevailing market structures, especially inherited in the sources of nonlinearity in the financial data, and to ensure a more efficient futures markets. © EuroJournals Publishing, Inc. 2012.Article An Outline of Skilled Emigration from Turkey to OECD Countries: A Panel Data Analysis(2017) Acar, Elif ÖznurTurkey provides rich evidence for the current international migration trends given its economic and demographic dynamics. The number of people moving overseas to settle permanently has been following an increasing trend in the recent decades, particularly remarkable for skilled and female groups. However, given the micro-level data limitations the migration outlook of Turkey is still quite bleak. The aim of this paper is to fill this gap and analyze the relationship between migration and human capital in the context of Turkish immigrants. First, aggregate trends of the Turkish emigrants in the 20 OECD destination countries by gender and educational level over the 1980-2010 period are examined using the IAB Brain Drain dataset. Next, a random effects panel estimation is applied to scrutinize the underlying dynamics of observed migration patterns adopting economic size, unemployment, demographic profile, urbanization and proximity as explanatory variables. The results reveal that gender, time and education are found as significantly related to international mobility trends, and the substantially left-skewedness of the distribution of Turkish emigrants along educational level is gradually fading away over time.Article The effects of terrorist activities on foreign direct investment: nonlinear Evidence(2013) Omay, Tolga; Takay Araz, Bahar; Ilalan, DenizIn this study, we examine the relationship between foreign direct investment and terrorist incidents that took place in Turkey for the period from 1991:12 to 2003:12. This research contributes to the literature by checking for a possible non-linear relationship between terrorism and foreign direct investment. The data used to measure the intensity of terrorism were collected from the newspapers of Turkey, and therefore are limited to the direct signals given to the market. Empirical evidence from both linear and non-linear models confirms that terrorism has a large significant negative impact on foreign direct investment. With respect to the nonlinear model, the impact of terrorism on the foreign direct investment is more severe during periods of high terrorism when the intensity of terrorism passes the threshold level 3.725.Article The Effects of Globalization on Firm Performance in Emerging Markets: Evidence From Emerging-7 Countries(2012) Karadağlı, EceAlthough there exists a wide array of literature regarding almost every aspect of globalization at macro level, surprisingly, the micro level of the subject area seems to be a little ignored and consequently, almost nothing is known about the impact of globalization on firm performance/value. In an attempt to contribute to fulfilling this gap, this research focuses on the impact of the overall globalization level of a country and its single dimensions, specifically her economic, her political and her social globalization levels on firm performance which is measured by the stock market index returns for “Emerging-7 (E7)” countries, specifically Brazil, China, India, Indonesia, Mexico, Russia and Turkey, for the period 1998-2009 by using panel data estimation. The findings suggest that the overall level of globalization significantly improves firm performance. Besides, the single dimensions of globalization are also found to have value enhancing effects though the result for economic globalization is insignificant at conventional levels. Additionally, the political globalization seems to be the most promising dimension of globalization with regard to performance enhancing prospects for firms.