Now showing items 1-6 of 6
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 ...
İstanbul Menkul Kıymetler Borsası'nda işlem gören hisse senetlerinin fiyatlandırılmasında likiditenin rolü
(Bilgesel Yayıncılık San & Tic Ltd, 2010-08)
The role of liquidity in the pricing of stocks traded on the Istanbul Stock Exchange This paper extends the empirical literature on the relationship between liquidity and stock returns by providing evidence from the Istanbul ...
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 ...
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 ...
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 ...
Stock return seasonality and the temperature effect
Motivated by prior evidence that the relation between temperature and stock returns may be spurious, this study investigates the extent to which accounting for seasonality changes the explanatory power of temperature for ...