Browsing by Author "Tunc, Gokce"

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Citation - WoS: 93
Citation - Scopus: 124
Consolidation and Commercial Bank Net Interest Margins: Evidence From the Old and New European Union Members and Candidate Countries
(Elsevier Science Bv, 2010) Kasman, Adnan; Tunc, Gokce; Vardar, Gulin; Okan, Berna
This paper examines the effects of financial reforms on the determinants of commercial bank net interest margin in the banking systems of the new EU member countries and candidate countries by dividing the sample period (1995-2006) into two sub-periods: consolidation period (1995-2000) and post-consolidation period (2001-2006). The paper also compares the new and old EU members to check whether differences with respect to the determinants of net interest margins between these two groups of countries exist within the same time period. The results indicate that size and managerial efficiency are negatively and significantly related to net interest margins in the two sub-periods. Regulators should promote merger and acquisition and market entry in order to increase the scale and efficiency of banks operating in the sector. Exploitation of the scale economies seems to be important in decreasing the interest rate spread in the sampled banking sectors. The results further indicate that all macroeconomic variables are statistically insignificant in the second sub-period, suggesting that differences in macroeconomic fundamentals have decreased among the sampled countries due to the increased convergence process in recent years. As for the comparison of the new and old EU members, the results suggest that the financial and economic convergence between the new and old members has not been completed. Macroeconomic differences within the group and between the groups still exist. (C) 2010 Elsevier B.V. All rights reserved.
Citation - WoS: 7
Citation - Scopus: 8
The Impact of Firm-Specific Public News on Intraday Market Dynamics: Evidence From the Turkish Stock Market
(Routledge Journals, Taylor & Francis Ltd, 2011) Baklaci, Hasan F.; Tunc, Gokce; Aydogan, Berna; Vardar, Gulin
This study attempts to discover the intraday firm-specific news announcements and return volatility relation in the Turkish stock market. The GARCH framework is utilized to investigate the impact of firm-specific public news announcements on volatility persistence with and without trading volume. For the majority of the stocks in the sample, the volatility persistence diminishes with the inclusion of firm-specific news, implying that news is impounded rapidly into prices. This effect is more pronounced for larger stocks. When there is no news, the trading volume does not appear to reduce the volatility persistence for the majority of stocks, possibly due to the presence of private information possessed by informed traders.
Citation - WoS: 72
Citation - Scopus: 94
The Impact of Interest Rate and Exchange Rate Volatility on Banks' Stock Returns and Volatility: Evidence From Turkey
(Elsevier, 2011) Kasman, Saadet; Vardar, Gulin; Tunc, Gokce
This paper investigates the effects of interest rate and foreign exchange rate changes on Turkish banks' stock returns using the OLS and GARCH estimation models. The results suggest that interest rate and exchange rate changes have a negative and significant impact on the conditional bank stock return. Also, bank stock return sensitivities are found to be stronger for market return than interest rates and exchange rates, implying that market return plays an important role in determining the dynamics of conditional return of bank stocks. The results further indicate that interest rate and exchange rate volatility are the major determinants of the conditional bank stock return volatility. (C) 2011 Elsevier B.V. All rights reserved.
Citation - WoS: 21
Citation - Scopus: 24
The Impact of Oil Price Volatility on Net-Oil Exporter and Importer Countries' Stock Markets
(Springer Heidelberg, 2017) Aydogan, Berna; Tunc, Gokce; Yelkenci, Tezer
This paper examines the impact of oil price fluctuations on a large set of stock market returns in net-oil importer countries and net-oil exporter countries. It applies multivariate cDCC-GARCH model, which has greater flexibilities, allowing the conditional variance covariance matrix of stock market returns to vary over time. Daily data spanning from January 2005 to February 2016 is used to obtain dynamic correlations between crude oil and stock market returns. Moreover, it employs the commonly recognized vector auto regression (VAR) specification and the corresponding Granger causality test in order to examine the linear relationship between crude oil and stock market volatility within each country, revealing whether there is a causal relationship between the variables in terms of time precedence. The influence of bullish and bearish market conditions is also measured by dividing the sample period into two sub-periods: Global Financial Crisis Period (2007-2010) and Post-Crisis Period (2010-2016). Main findings of this research indicate time-varying correlation of oil and stock prices for oil-importing countries is more pronounced than that for oil-exporting countries. This result shows that the correlation between the volatilities of stock market and oil price returns varies depending on the net position of the country in global oil market.
The Interaction of Mutual Fund Flows and Stock Returns: Evidence From the Turkish Capital Market
(2014) Tunc, Gokce; Aydoğan, Berna; Vardar, Gülin
Günümüzde büyüklüğü ve popülerliği hızla artan yatırım fonlarının finansal piyasalar üzerindeki etkilerini anlamak yatırımcılar için oldukça önemlidir. Bu çalışma, Türkiye’deki yatırım fonları ile hisse senetleri arasındaki uzun ve kısa dönemli dinamik ilişkiyi incelemektedir. Seriler arasındaki uzun dönemli dinamik ilişki standart eşbütünleşme testleri ile kısa dönemli nedensellik ilişkisi ise Vektör Hata Düzeltme Modeli (VECM) kullanılarak test edilmiştir. Ampirik bulgular, tüm yatırım fonu tipleri ile hisse senedi getirileri arasında uzun dönemli bir ilişki olduğunu ortaya koymaktadır. Vektör Hata Düzeltme Modeli kullanılarak yapılan Granger nedensellik testleri, tüm yatırım fonu tipleri ile hisse senedi getirileri arasında kısa dönemde çift yönlü nedensellik ilişkisi olduğunu göstermektedir.
Citation - WoS: 13
Citation - Scopus: 22
Performance Comparison of Islamic (participation) Banks and Commercial Banks in Turkish Banking Sector
(Emerald Group Publishing Ltd, 2014) Erol, Cengiz; Baklaci, Hasan F.; Aydogan, Berna; Tunc, Gokce
Purpose - The purpose of this paper is to attempt to compare the performance of Islamic banks against conventional banks in Turkey. This comparison is much more distinctive and significant in Turkey when compared to other countries, as Turkey stands as a model for the world in interest-free banking system. Design/methodology/approach - The comparative performance analysis was conducted by means of logistic regression method during the period of 2001-2009. The CAMELS approach is utilized to assess the managerial and financial performance of banks. Findings - The results signify that Islamic banks operating in Turkey perform better in profitability and asset management ratios compared to conventional banks but lag in sensitivity to market risk criterion. These findings might mainly be ascribed to the fact that these banks allow lower provisional losses compared to conventional banks and have some tax advantages. Research limitations/implications - Utilizing a more recent and consistent data set, the analyses could be replicated to determine if the results are subject to any sample bias. Practical implications - These finding reveal significant implications for potential entrants into Turkish banking sector particularly for foreign investors. Social implications - The findings from this study may reinforce the awareness and confidence in participating banks in Turkey. Originality/value - Turkey is particularly interesting to conduct this analysis because Turkey is a Muslim but secular country and both Islamic and conventional banks are subject to same set of banking regulations which are based on Western traditional banking system. Furthermore, to the knowledge, there is not a comprehensive study that compares the performance of conventional and Islamic banks in a Western banking system.
Citation - WoS: 5
The the Impact of Gender Differences on Financial Risk Perceptions
(Bilgesel Yayincilik San & Tic Ltd, 2010) Tutek, Hulya; Aydogan, Berna; Tunc, Gokce; Vardar, Gülin
Empirical studies indicate that women are more risk averse than men. Research on financial risk taking behavior reveal mixed results on gender perception. The aim of this study, which is one of the pioneering papers about behavioral finance in Turkey, is to investigate the differences in risk perceptions of female and male financial advisors in Turkish financial institutions and how they reflect these perception differences on their female and male customers. This research employs questionnaire technique. The findings show that female financial advisors give more importance to the probability of gain or loss from financial investments as well as the reliability of financial information than their male counterparts. The designed hypothetical scenarios point out that female and male financial advisors propose different portfolios for female and male customers having same risk levels.
Volatility Modelling and Forecasting Value-At Evidence From New and Candidate European Union Countries
(İzmir Ekonomi Üniversitesi, 2010) Tunc, Gokce; Kasman, Adnan
Riske maruz değer (VaR) yöntemi son yıllarda yaygın olarak kullanılan bir risk ölçüm, yönetim ve raporlama aracı haline gelmistir. Ancak bu yöntemin kullanımında karşılaşılan en önemli sorun volatilitenin doğru tahmin edilmesidir. Bu nedenle, bu çalışmanın amacı farklı volatilite tahmin yöntemleri kullanarak en iyi performans gösteren VaR ölçüm yöntemini Avrupa Birliği'ne (AB) yeni üye ve aday ülke hisse senedi endeks verileri kullanarak belirlemektir.Bu çalışma, örneklemdeki ülkelerin hisse senedi piyasalarının davranışını ve karakteristiğini kısa (GARCH) ve uzun (FIGARCH,HYGARCH) hafıza volatilite modelleri yardımıyla tespit etmeye çalışmaktadır. Model parametreleri normal, Student-t ve çarpık Student-t dağılım varsayımı altında tespit edilmiştir. Günlük hisse senedi endeks getirileri için belirlenen en uygun volatilite modelleri çerçevesinde hesaplanan riske maruz değerlerin performansı Kupiec LR testi kullanılarak ölçülmüştür.Elde edilen sonuçlara göre, AB'ye yeni üye ve aday ondört ülkenin altısında endeks verilerinin hem getiri hem volatilitesinin uzun hafıza özelliği gösterdiği gözlemlenmektedir. Bu sonuç, bu ülkelerin hisse senedi piyasalarinda piyasa etkinliğinden söz edilemeyeceğini göstermektedir. Ayrıca çarpık Student-t dağılımının volatilitenin tahminlenmesinde en uygun varsayım olması, endeks getiri serilerinin çarpıklık ve şişman kuyruk özelligi gösterdiğini ispatlar niteliktedir. Örneklem içi ve örneklem dışı bulunan VaR değerlerinin fiyat hareketlerinin tahminlenmesinde son derece başarılı olduğu gözlemlenmiştir. Dağılım olarak da yine çarpık Student-t varsayımı altında yapılan analizler en iyi tahmin sonuçlarını vermektedir.