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...

The paper is an investigation concerning whether the deviations of currencies from their fundamental values affects the relationship between economic fundamentals and exchange rates. To this end, a version of the sticky price monetary exchange rate model, which connects the exchange rates to...

This study examines the effects of technological changes on selected stock market qualities such as liquidity, turnover and volatility. The data set includes daily data of 361 stocks from 10 emerging market exchanges, namely Colombia, Indonesia, Johannesburg, Korea, Malaysia, Mexico, Russia,...

We aim to and out whether the exchange rate (against US dollar) or the interest rate (in local currency) is a better variable in predicting the capacity utilization rate of manufacturing industry (CUR) of Turkey after the 2008 global financial crisis. In that manner, we implement dynamic mixed...

This study analyzes the dynamic relationship between exchange rate (against US dollar), interest rate and the stock market (both in local currency) of Turkey from January 2003 to September 2013. In particular, the paper tries to answer if the correlations between these important variables change...

We try to estimate default and deference probabilities of commercial mortgages via an American option pricing framework. In this framework, the borrower is assumed to default either if the price of the real estate drops below the level of the outstanding loan balance or the net operating income...

The excessive use of credit cards and increasing consumer borrowing has been a major problem. Laibson (1997) suggests the present-bias problem as one of the driving forces of excessive bor- rowing. Shefrin and Thaler (1988) suggest that self-control underlies national borrowing/savings rate. We...

This article proposes a new procedure to evaluate Asia Pacic stock market in-terconnections using a dynamic setting. Dynamic Spanning Trees (DST) are constructed using an ARMA-FIEGARCH-cDCC process. The main results show that: 1. The DST significantly shrinks over time; 2. Hong Kong is found to...

We investigate the lead-lag relationship between price movements of single stock futures (SSFs) and spot stock markets in four organized markets, namely, Korea Exchange, National Stock Exchange of India, Warsaw Stock Exchange, and Moscow Exchange. Employing a vector error correction model and...