This study aims to shed light on the risk structure in the presence of Islamic banking, in particular in Turkey. Islamic banking and conventional banking are considered to be different kind of sources for funding. Returns in the conventional banking expected to be heavily influenced by the...

Many studies explain the high volume of trade in stock markets with non-rational trades of individuals. They claim high volume of trading seems to exceed the trading and hedging needs of the investors. Here we analyze the weekly aggregated daily trades in Borsa Ýstanbul (formerly Istanbul Stock...

Many studies explain the high volume of trade in stock markets with non-rational trades of individuals. They claim high volume of trading seems to exceed the trading and hedging needs of the investors. Here we analyze the weekly aggregated daily trades in Borsa Ýstanbul (formerly Istanbul Stock...

Using dynamic conditional correlations and networks, we bring a novel framework to define the integration and segmentation of emerging countries. The individual EMBI+ spreads of 13 emerging countries from 01/2003 to 12/2013 are used to compare their interaction structure before (phase 1) and...

This paper aims to investigate whether the effect of inflation expectations, exchange rate, money supply, industrial production and import prices on inflation depends on business cycle. For this purpose, a two states Markov Switching Auto Regression model with time varying transition...

The aim of this paper is to explore the relationship between trading behaviors of individual investors and their previous day portfolio return. We try to find which one of the following two contradicting biases dominates the investor behavior: Namely, overconfidence and disposition effect. In...

We focus on the developments in the EMU sovereign debt markets in the last decade. First, we show the integration structure of the EMU bond markets before and after the sovereign debt crisis. Accordingly, a fair integration is observed between EMU bond markets during the pre-crisis period....

Conditions of beating the market is always top of the interests of investors throughout the history. In this study we aim to find who beats the market using a special trade and portfolio data from a stock exchange namely Borsa Ýstanbul. To do so, we define the market beating conditions by using...

Taking the cost of trading as a liquidity proxy, we provide evidence of commonality in liquid-ity and look for sources of it in an emerging market, Turkey. We show that the commonality in non-index stocks is higher than the commonality in index stocks. As the position size to trade increases,...

We analyze the dynamic comovement of commodity futures returns within each category (energy, precious metals, industrial metals, and agriculture) from 1997 to 2013 under the eects of the nancialization of commodity markets. Our findings from the dynamic equicorrelation GARCH model of ? show...