Browsing by Author "Olgun O."

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Reits Could Not Escape the Recent Global Financial Crisis: Evidence From an Emerging Financial Market
(2012) Kaymaz Önder; Kaymaz Ö.; Olgun O.
REITs have now turned out to be one of the frequently-sought and ever-considered varieties unveiling the rising prospects the financial services industries have been featuring for a while. This paper makes an empirical examination on documenting the effect of the recent global financial crisis on the profitabilities of the listed REITs operating in Turkish capital markets. Evidence shows that the crisis significantly reduced the profitabilities of the REITs. Evidence also shows that the crisis has influenced the determinant-profitability relationships of the REITs as well. The referred findings suggest that REITs are among those that have severely had their share of this disaster. © EuroJournals, Inc. 2012.
Citation - Scopus: 2
Volume and Volatility: a Case of Ise-30 Index Futures
(2009) Okan B.; Olgun O.; Takmaz S.
The objective of this paper is to examine the volume-volatility relationship (dynamic and casual) for the ISE-30 index futures using daily data for the period 2006-2008. We fundamentally conduct the empirical analyses by employing GARCH, Exponential GARCH (EGARCH) and VAR approaches. The results indicate that trading volume as a proxy of information arrivals slightly reduces the persistence of the conditional variance and has a negative impact on volatility, challenging the presence of "Mixed Distribution Hypothesis" in Turkish Derivatives Exchange. However, our findings are strongly consistent with the "Sequential Information Arrival Hypothesis" where trading volume and return volatility follow a lead-lag pattern. It is expected that the implications of the study will be useful for hedgers and speculators dealing with Turkish stock index futures. © EuroJournals Publishing, Inc. 2009.