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search.filters.applied.f.publicationcategory: Konferans Öğesi - Uluslararası - Kurum Öğretim Elemanı × Konu: Cointegration ×

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  • 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
    Determinants of cryptocurrency price movements
    (Higher Education and Innovation Group (HEAIG), 2019-11) Teker, Dilek; Teker, Suat; Özyeşil, Mustafa
    Cryptocurrency is a recent and popular topic that attracts the interest of investors and fund managers. Beyond the market discipline, researchers question the interaction between cryptocurrecies and macroeconomic variables. This study we focus on how the changes in gold and oil prices effect the daily price movements of different cryptocurrencies. The daily database includes prices of the cryptocurrencies of Bitcoin, Tether, Ethereum Litecon and EOS for the period between August 1, 2017 and April 3, 2019. Initially the stationarity of the series is tested by Ng and Perron (2001) method. The existence of the cointegration relationship between the series is tested by Johansen (1988) technique. The presence of causality relationships between the series is investigated with the Dolado and Lütkepohl (1996) causality test. The paper explains the details of the empirical findings.