We estimate the contribution of large U.S, banks to the financial sector systemic risk by using value-at-risk (VaR ), conditional value-at-risk (CoV aR ), and two-stage least square (2SLS) methodology, Our sample is the monthly stock returns of 25 large U.S, banks from 1997 to 2021, We find that...

The effect of uncertainty on IPO underpricing, short-term performance after IPO, and hot-and-cold-IPO market cycles have received a great deal of attention in the literature. This study revisits these issues of IPO activities under the Covid-19 pandemic with a focus on the Turkish IPO market....

We investigate the relationship between the transactional activity of asset management companies (AMCs) in the non-performing loan (NPL) market and their corresponding debt issuances in a niche bond market in Borsa Istanbul. We analyze the determinants of the trading volume of AMC bonds to...

In this study, we analyzed 40 commercial bank annual reports from 2014 to 2021 to clarify the influence of tangible and intangible asset securitization on bank stock price bubbles, based on the banks’ preference for issuing asset securitization. The empirical findings show that tangible asset...

This paper examines the direction and extent of the asymmetric volatility connectedness among international equity markets using 5-minute interval data from 16 stock markets. We analyze asymmetric volatility connectedness using realized volatility and identify the magnitude of the volatility...

This paper explores the relationship between global wealth and happiness. We employ a bivariate generalized autoregressive conditional heteroskedasticity framework for global wealth and happiness represented, respectively, by FTSE All-World and Twitter's Daily Happiness Sentiment indexes from...

The larger underpricing (15 percent) in the early years following the inauguration of Borsa Istanbul indicates the importance of investors, intermediaries, and firm insiders learning about the trading and pricing of firms in organized stock markets. The underpricing in recent years (from 2010 to...

We study the post-earnings announcement drift (PEAD) anomaly and its determinants in Borsa Istanbul using quarterly earnings announcements and three different surprise measures. We find evidence supportive of the existence of PEAD in the Turkish stock market. Sorting stocks each quarter into...

We build a parsimonious agent-based model under the adaptive market hypothesis (AMH), which can explain the formation of equilibrium prices and market efficiency dynamics. Our model combines heterogeneous interacting agents, switching behavior, and investor feedback on past realized returns,...

The goal of this study is to test the validity of the prospect theory in the Borsa Istanbul (BIST) over the sample period September 2009 to December 2019. The prospect theory values of the stocks are generated from their historical return distributions following the method by Barberis et al....