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...

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...

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 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...

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...

This study tries to identify the different common risk factors in the retums of the common stocks in Ýstanbul Stock Exchange (formerly IMKB). Three factor model of the Fama and French defines the common risk factors as stock-market factors and the bond-market factors. Their study concludes that...

This paper analyses the dynamics of housing market in Turkey using a cointegration analysis. For this purpose a monthly survey is conducted for two years and a “buying index” is formed to measure the housing demand. The housing construction permits data is used to measure the housing supply....

This paper investigates the foreign equity holdings at Borsa Ýstanbul. Employing the augmented VAR model, we find that the VIX Index which is accepted as a key indicator for global investor sentiment, has an explanatory power on the net foreign equity holdings, the foreign market capitalization...