Filtreler

2014 - 20203
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Bölüm: Işık Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümü × Konu: Stock market ×

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Listeleniyor 1 - 3 / 3
  • Küçük Resim
    Yayın
    Cointegration and adjustment dynamics of REIT and stock markets during the global financial and European debt crises
    (Inderscience Publishers, 2020-06-03) Erol, Ümit; Yüksel, Sadettin Aydın; Yüksel, Aslı; Öztürk, Hakkı
    This paper analyses the cointegration relationship between the REIT and stock markets of ten developed countries during the 2005-2013 period, which is characterised by the global financial and the European debt crises. Given the structural breaks in the data, the effect of these two crises is examined separately by dividing the sample period into four equal parts and by using M-TAR cointegration analysis. The results suggest that the cointegration between the stock and REIT markets was not a globally observed feature prior to the twin crises. The strong and globally valid cointegration observed after 2007 was due to the common negative response of both markets to the unexpected massive shocks. These shocks also led to bilateral causality and strong feedback effects between these two markets, thus strictly limiting the diversification benefits of the REIT market during the crisis period.
  • Küçük Resim
    Yayın
    Global risk aversion and emerging market return comovements
    (Elsevier Science SA, 2018-12) Demirer, Rıza; Omay, Tolga; Yüksel, Aslı; Yüksel, Sadettin Aydın
    Utilizing the recently developed measure of global risk aversion by Xu (2017), we show that global risk aversion is a significant determinant of international equity correlations, consistently across all emerging markets examined. The positive effect of risk aversion on emerging market comovements is particularly strong for South Africa and Turkey and is consistent with contagion effects. The results underscore the importance of non-cash flow shocks in models of contagion and portfolio risk.
  • Küçük Resim
    Yayın
    Granger causality relation between interest rates and stock markets evidence from emerging markets
    (European Journal of Business and Social Sciences, 2014-01) Teker, Dilek; Aykaç, Alp, Elçin
    This research analyses the granger cause relation between interest rates and stock market for four emerging markets as Turkey, Brasil, China and Hungary. The database includes daily prices of stock market indices of BIST100 Index (Turkey), the IBOV Index (Brasil), the SHCOMP Index (China), and the BUX Index (Hungary) and government securities with different maturities. As the initial step, the stationarity of the variables is tested with Augmented DickeyFuller (ADF) and Phillips-Perron (PP) unit root tests. Then Granger Causality is implemented.