This paper tests whether the conditional CAPM can explain size, book-to-market, momentum and illiquidity effects utilizing data from the Istanbul Stock Exchange (ISE). The conditional CAPM mostly fails for these standard asset pricing anomalies with statistically significant risk-adjusted...

The primary objective of the study is to examine the impact of political news (good and bad news) on the returns and volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main sample was divided into two subperiods to insulate the...

This paper aims to empirically investigate the dynamic connectedness between oil prices and stock returns of clean energy-related and technology companies in China and U.S. financial markets. We apply three multivariate GARCH model specifications (CCC, DCC and ADCC) to investigate the return and...

The 2015 workshop on “Recent evolutions of oil and commodity prices”, organized by FEEM, focused on the sharp decline in the oil price in 2014. High crude oil production and slower demand growth explain a large fraction of the current low level of prices, but a complex set of factors is...

Among the wide variety of policy options adopted worldwide to control carbon emissions, one of the most environmentally effective and economically efficient is represented by carbon tax, that aims to recoup the damage arising from polluting production processes. In this paper, we focus on the...

In this paper, we examine the behavior of the intra-daily stock returns and close-end stock price manipulation in the Istanbul Stock Exchange (ISE). Understanding the price behavior in a given trading day could help investors when they are making their buy and sell decisions. Studies of...