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.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 Citation - WoS: 2Citation - Scopus: 4How Globalization Affects the Operational Efficiency of Emerging Market Firms?: a Comparative Analysis on Turkish Smes(Univ Oviedo, 2018) Akdogan, Ece CeylanThis paper examines the impact of globalization on the operational efficiency of emerging market firms by concentrating on the financial outcomes of a firm's main operations through focusing on operating income and cash conversion cycle as well as on their possible causes in an emerging market, Turkey. The findings indicate that globalization significantly deteriorates the operating income and lengthens the cash conversion cycle of Turkish firms. Besides, globalization is found to increase sales of SMEs and decrease sales of large companies significantly and the impact on operating income of large companies is observed to be stronger. Globalization is also found to lead a softening in Turkish firm's terms of sales and enable Turkish SMEs to benefit from better terms of purchase.Book Part Overview of Financial Reporting in the Airline Industry(Emerald Group Publishing Ltd, 2022) Ozturk, CanThis chapter focuses on the diversity of financial reporting frameworks in the airline industry considering past and present. While diversity of financial reporting frameworks existed in the past, currently, the majority of listed and non-listed airlines, whose financial statements are publicly available, are inclined to adopt International Financial Reporting Standards (IFRS), leading toward uniformity in financial reporting frameworks because their country of incorporation or the stock exchange where they are listed either require or permit them to do so. Airlines operating in the United States prepare their financial statements under United States Generally Accepted Accounting Principles and some of Asian-Pacific countries still use their own national accounting standards in financial reporting. In addition, this research points out that the primary determinant of IFRS adoption in the airline industry is the fact that the majority of airlines are listed in national or foreign stock exchanges where IFRS adoption is required, but there are some company-specific determinants for listed and non-listed IFRS adopting airlines. Finally, this chapter also sets forth that there are jurisdictional versions of IFRS in the global context from the perspective of financial statements of airlines leading to some obstacles in understanding the financial reporting framework.Book Part Perspectives on the Preparation and Presentation of a Statement of Cash Flows Under Ias 7: an Historical Approach(Springer Nature, 2023) Baker, C.R.; Öztürk, C.This chapter provides perspectives on the preparation and presentation of the statement of cash flows under IAS 7 of the International Financial Reporting Standards by adopting an historical approach. It focuses on the transformation attempts of the statement of cash flows along with the influence of such attempts on the statement of financial position. It analyzes and discusses the proposed changes on this statement offered through (1) the Discussion Paper on preliminary views on Financial Statement Presentation that was published by the International Accounting Standards Board (IASB) in 2008 right after the compliance of IAS 1 (2007) Presentation of Financial Statements to other comprehensive income items, (2) the staff draft of Exposure Draft IFRS X Financial Statement Presentation that was issued by the staff of the IASB in 2010, (3) Exposure Draft ED/2012/1 Annual Improvements to IFRSs 2010–2012 Cycle that was published by the IASB in 2012, (4) staff Discussion Paper of the United Kingdom’s Financial Reporting Council that was published in 2016, and (5) the Exposure Draft ED/2019/7 General Presentation and Disclosure that was issued by the IASB in 2019 toward the objective of improved financial communication. © 2023, The Author(s), under exclusive license to Springer Nature Singapore Pte Ltd.Article Citation - WoS: 2Citation - Scopus: 2Testing for Unit Roots in Nonlinear Dynamic Heterogeneous Panels With Logistic Smooth Breaks(Mdpi, 2023) Omay, Tolga; Ucar, NuriIn this study, we investigate the validity of the purchasing power parity (PPP) proposition for 34 European and selected global countries. For this purpose, we propose a new unit root test for cross-sectionally dependent heterogeneous panels that allows for gradual structural breaks and symmetric nonlinear adjustment toward the equilibrium level. The alternative hypothesis stationary is obtained by symmetric adjustment due to exponential smooth transition autoregression (ESTAR) around a nonlinear trend. Moreover, we provide small sample properties extensively for the newly proposed test. Hence, this alternative hypothesis has been proven to characterize real exchange rate data (REER) correctly. Thus, the newly proposed tests provide an essential basis for modeling the REER series correctly. Finally, we also derive the approximate asymptotic distribution of the proposed tests using new techniques.
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