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Now showing items 1-10 of 11
Global risk aversion and emerging market return comovements
(Elsevier Science SA, 2018-12)
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 ...
An empirical examination of the generalized Fisher effect using cross-sectional correlation robust tests for panel cointegration
(Elsevier Science BV, 2015-03)
This study examines the generalized Fisher hypothesis as applied to common stocks by using the recently proposed second generation panel cointegration tests. Unlike their predecessors, these new tests assume the existence ...
A note on the examination of the fisher hypothesis by using panel co-integration tests with break
(Institute foe Economic Forecasting, 2016)
One problem encountered when examining the Fisher hypothesis is that various policy changes and economic shocks may induce structural shifts in the long-run relation. We explore the argument that panel cointegration tests ...
Flight to quality and the predictability of reversals: The role of market states and global factors
(Elsevier Science BV, 2017-12)
This 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 ...
The U.S. term structure and return volatility in emerging stock markets
(Springer, 2020-05-29)
This paper examines the predictive power of the U.S. term structure over return volatility in emerging stock markets. Decomposing the term structure of U.S. Treasury yields into two components, the expectations factor and ...
Oil price uncertainty, global industry returns and active investment strategies
(Elsevier B.V., 2020-11)
This paper shows that time-varying oil return volatility predicts regime transitions across a majority of global stock sectors, particularly for durables, financials, industrials, oil & gas, telecommunications and utilities. ...
The US term structure and return volatility in global REIT markets
(Asia University, 2020-09)
This paper examines the information content of the U.S. term structure of interest rates on the market for real estate investment trusts (REITs) by decomposing the term structure of U.S. Treasury yields into two components ...
İstanbul Menkul Kıymetler Borsası'nda işlem gören hisse senetlerinin fiyatlandırılmasında likiditenin rolü
(Bilgesel Yayıncılık San Tic Ltd, 2010-08)
Bu çalışma hisse senetlerinin likiditesi ve fiyatı arasındaki ilişkiyi bu konunun henüz araştırılmadığı bir pazar olan İstanbul Menkul Kıymetler Borsası'nın verisi kullanarak incelemektedir. Çalışmada iki sorunun cevabı ...
Time-varying risk aversion and currency excess returns
(Elsevier Ltd, 2022-01)
This paper documents an economically significant risk premium associated with a currency's sensitivity to time-varying risk aversion. Consequently, an investment strategy that takes a long (short) position in currencies ...
On the hedging benefits of REITs: The role of risk aversion and market states
(Oviedo University Press, 2021-06)
We propose a dynamic, forward-looking hedging strategy to manage stock market risks via positions in REITs, conditional on the level of risk aversion. Our findings show that risk aversion can predict transitions to the ...
