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 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...

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 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...

We expand the research on commodity futures markets into a newly developed market: steel futures. We examine the most liquid steel futures market in the world, the Shanghai Futures Exchange, which counts for nearly all of the global trading activity. Our findings suggest that following 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...

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 explore the return performance of individual investors with respect to various factors such as portfolio size, turnover and also demographic factors: gender and age. Concerning that Borsa Ýstanbul has one of highest turnovers in the world (141.8% as of 2012), it is an ideal candidate to do...

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...