Yazar "Yüksel, Aslı" için İİBF - Makale Koleksiyonu | İşletme Bölümü / Department of Management listeleme
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Avrupa borç krizi döneminde global risk faktörleri ve ülke kredi temerrüt takası primi ilişkisi: 19 ülke örneği
Yüksel, Sadettin Aydın; Yüksel, Aslı (Akdeniz Üniversitesi, 2017)Bu makale 19 ülke için Avrupa borç krizi döneminde ülke kredi temerrüt takası primindeki değişimi ve volatiliteyi etkileyen global risk faktörlerini incelemektedir. Çalışmada, literatürde kullanılmış olan global ekonomik ... -
Bankacılık sektörü hisse senedi endeksi ile enflasyon arasındaki ilişki: Yedi ülke örneği
Yüksel, Aslı; Yüksel, Sadettin Aydın (Manisa Celal Bayar Üniversitesi İktisadi ve İdari Bilimler Fakültesi, 2013)Bu çalışmanın amacı yedi ülkede bankacılık sektörü endeksi ile tüketici fiyatları endeksi arasındaki ilişkiyi analiz etmektir. Literatürde hisse senedi piyasa endeksi ile tüketici fiyatları endeksi arasındaki ilişkiyi ... -
An empirical examination of the generalized Fisher effect using cross-sectional correlation robust tests for panel cointegration
Omay, Tolga; Yüksel, Aslı; Yüksel, Sadettin Aydın (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
Demirer, Rıza; Yüksel, Aslı; Yüksel, Sadettin Aydın (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 ... -
Global finansal krizde kredi marjı: Japon tahvil piyasası örneği
Yüksel, Aydın; Yüksel, Aslı (2014)Bu makale Ağustos 2007 tarihinde ortaya çıkan global kriz nedeniyle Japon tahvil endekslerinin kredi marjlarını etkileyen faktörlerde bir değişiklik olup olmadığını günlük veri kullanarak analiz etmektedir. Çalışmada ... -
Global risk aversion and emerging market return comovements
Demirer, Rıza; Omay, Tolga; Yüksel, Aslı; Yüksel, Sadettin Aydın (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
Yüksel, Aslı; Yüksel, Sadettin Aydın; Doğanay, Mete (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 ... -
A note on the examination of the fisher hypothesis by using panel co-integration tests with break
Omay, Tolga; Hasanov, Mübariz; Yüksel, Aslı; Yüksel, Aydın (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 ... -
Oil price uncertainty, global industry returns and active investment strategies
Demirer, Rıza; Yüksel, Aydın; Yüksel, Aslı (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. ... -
On the hedging benefits of REITs: The role of risk aversion and market states
Demirer, Rıza; Yüksel, Aslı; Yüksel, Sadettin Aydın (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 ... -
Stock return seasonality and the temperature effect
Yüksel, Aslı; Yüksel, Sadettin Aydın (EuroJournals Publishing, 2009-12)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 ... -
Time-varying risk aversion and currency excess returns
Demirer, Rıza; Yüksel, Aslı; Yüksel, Sadettin Aydın (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 ... -
Trading volume and stock market volatility: evidence from emerging stock markets
Gürsoy, Güner; Yüksel, Aslı; Yüksel, Aydın (LLC CPC Business Perspectives, 2009-01-15)Based on the 'mixture of distribution' hypothesis, this paper investigates the relationship between trading volume and conditional volatility of returns by using 12 emerging stock market indices over the period between ... -
The U.S. term structure and return volatility in emerging stock markets
Demirer, Rıza; Yüksel, Aslı; Yüksel, Aydın (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 ... -
The US term structure and return volatility in global REIT markets
Demirer, Rıza; Gupta, Rangan; Yüksel, Aslı; Yüksel, Aydın (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 ...