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Yayın Flight to quality and the predictability of reversals: The role of market states and global factors(Elsevier Science BV, 2017-12) Demirer, Rıza; Yüksel, Aslı; Yüksel, Sadettin AydınThis paper examines the time-series predictability of reversals in an emerging stock market, Borsa Istanbul. We show that short-term reversals, thus the payoffs to the contrarian strategy, are predictable with the market state found as the primary predictor. The reversal effect is driven by flight to quality stocks with high earnings and low price multiples during negative market states, which then gives rise to subsequent reversals in those stocks, thus predicting higher contrarian payoffs. Interestingly, oil return is found to absorb much of the predictive power of macroeconomic variables and global risk proxies. Our findings lend partial support to risk-based as well as behavioral explanations for reversals and suggest that a contrarian strategy with value stocks, conditional on the market state, could be employed within a managed fund in order to generate abnormal profits that cannot be earned by conventional models.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, ElçinThis 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.
