In the economic development process, important role of financial sector has long been emphasized in the literature. Especially with the emergence of endogenous growth theory, this relationship has again become very attractive and it is stated that financial development is one of the determinants...

Turkish Abstract: Analiz sonucunda ortaya çıkan ortak yazarlık ağ yapısının genellikle Amerika ve Çin ağırlıklı olduğu, birlikte geçen anahtar kelimeler haritalandırıldığında ise “volatility”, “stock market” ve “stock returns” “econophysics”, “GARCH” ve...

Turkish Abstract: Bu çalışma, sermaye piyasası altyapı kurumları olarak tanımlanan merkezi karşı taraf (MKT) ve merkezi saklama kuruluşlarının (MSK) finansal sistemde üstlendikleri işlevleri ve 2008 küresel finansal krizi sonrasında yürürlüğe giren uluslararası...

Turkish Abstract: Türkiye'de 2002 sonrasında düşüş gösteren enflasyon, sonraki dönemlerde dalgalı bir seyir izlemiş ve 2017 ile birlikte yükseliş eğilimine girmiştir. Enflasyonun yükselişe geçmesinde en önemli faktör gıda fiyatlarındaki artıştır. Gıda fiyatlarının...

Although there are many studies in the literature that investigate the relationship between stock returns and macroeconomic factors in the United States and other advanced economies, the number of studies that investigate this relationship in emerging market economies is astonishingly small....

In this paper the alternative value-at-risk (VaR) and expected shortfall (ES) analysis were made according to different error distribution assumptions by using stock market daily return series of Turkey (ISE100), United Kingdom (FTSE100), Japan (NIKKEI225) and France (CAC40). The backtesting...

The aim of the paper is to investigate the presence of herding towards the market in Istanbul Stock Exchange (ISE) during the period of 2nd January 1997-29th February 2008. We got the evidence of the existence of herding behavior in ISE by the implementation of the methodology which is based on...

In this study monthly equity index values of twenty two emerging and twelve developed markets are used for the determination of cointegration relations developed by Johansen. The results of cointegration analysis show that Turkish stock market is cointegrated with seven developed and five...

This study has investigated the effect of VIX, created as an implied volatility in the US, on 15 emerging stock markets with the application of GJR-GARCH model. According to the results obtained, the emerging stock markets have leverage effect in conditional variance and emerging bad news...