Browsing by Author "Yelkenci, Tezer"

Now showing 1 - 18 of 18

Citation - WoS: 5
Citation - Scopus: 7
A Closer Insight Into the Causality Between Short Selling Trades and Volatility
(Academic Press Inc Elsevier Science, 2016) Baklacı, Hasan Fehmi; Suer, Omur; Yelkenci, Tezer
This study addresses the Granger causality between short selling activities and stock price volatility in the US stock market, utilizing daily data and advanced methodologies. The results denote a bilateral causality between the short selling trades and the volatility of price changes in the US stock market at individual stock as well as at market level. The bilateral causality relationship persists during different market conjunctures. The findings imply that measures to curb excess price volatility stemming from short selling trades were relatively ineffective and the policy-makers need to impose more stringent restrictions to prevent market destabilization. (C) 2016 Elsevier Inc. All rights reserved.
Citation - WoS: 1
Cross-Time Analysis of Volatility Interdlpendence Among Stock and Currency Markets
(Conscientia Beam, 2021) Baklaci, Hasan Fehmi; Yelkenci, Tezer
Volatility transmission between stock markets and currency markets is an ongoing debate in the pertinent literature. However, the majority of the previous studies have used only daily data with a limited sample. This study aims to fill this gap by identifying how sample stock markets and currencies play the role of volatility transmitter and receiver, particularly on an intraday basis. To this end, this research detects volatility interdependencies among various stock markets and currencies using five major stock indices and six major currency pairs. The results for daily and intraday frequencies are quite disparate. In particular, the results signify that the transmission of volatility from currency markets to stock markets is much stronger on an intraday basis. The results also indicate a strengthening of the volatility transmission and spillover interdependence among stock markets on a daily basis. These results may be ascribed to the continuous trading mechanism of these markets, which in turn allows the news to impact these markets first, which then transmit it to stock markets. The findings obtained also imply that intraday price fluctuations in major currencies should be closely tracked to monitor intraday volatility patterns in stock markets.
Citation - WoS: 6
Citation - Scopus: 5
Cross-Time Analysis of Volatility Linkages in Global Currency Markets: an Extended Framework
(Springer Heidelberg, 2022) Baklaci, Hasan Fehmi; Yelkenci, Tezer
This research aims to detect cross-border volatility linkages among various currencies within the foreign exchange market with respect to different sampling frequencies. Eleven currency pairs are included in the sample, which covers a period from 2009 to 2020. Volatility linkages among these selected exchange rates were tested by utilizing a multivariate VAR-BEKK-GARCH model. Results indicate that volatility linkages among currencies sampled are far stronger in higher frequency terms. Strikingly, the results denote that the major currencies do not play a strong leading role in volatility transmission. This finding is more apparent when daily and intraday results are compared.
Citation - WoS: 60
Citation - Scopus: 69
Estimating the Political, Economic and Environmental Factors' Impact on the Installed Wind Capacity Development: a System Gmm Approach
(Pergamon-Elsevier Science Ltd, 2016) Biresselioglu, Mehmet Efe; Kilinc, Dilara; Onater-Isberk, Esra; Yelkenci, Tezer
This study analyzes the political, economic and environmental factors' impact on the installed wind capacity development around the globe, considering the different regions for the period between 1997 and 2014. The indicators used for this study are installed wind capacity development, GDP per capita, carbon dioxide emission generation, foreign direct investment (FDI,) stock, total energy import dependency, primary energy intensity, the shares of wind and hydroelectricity consumption in electricity generation and price of electricity. System Generalized Method of Moments (System GMM) estimator is performed to reveal dynamic relationship on the indicators in the model. The estimates for the period 1997-2014 are reported for the sample of twenty-six countries, as well as for diverse regions, covering non continental & Northern Europe, Southern Europe, Western & Central Europe, and non-European OECD. A set of a priori assumptions are also tested for the expected impacts. The results reveal the consistency of this study's a priori assumptions associated with the impact of different indicators on development of wind installed capacity. This study also found that higher installed wind capacity of the previous period has positive impact on that of the current period. Likewise, higher carbon dioxide emissions also contribute to installed wind capacity development. However, diverse regions experience altered effects on a number of indicators, such as price of electricity and total import dependency. (C) 2016 Published by Elsevier Ltd.
Citation - WoS: 43
Citation - Scopus: 50
Examination of Real and Accrual Earnings Management: a Cross-Country Analysis of Legal Origin Under Ifrs
(Elsevier Science Inc, 2018) Oz, Ibrahim Onur; Yelkenci, Tezer
This study examines the impact of legal origin differences on accrual and real earnings management behaviors for 14 international financial reporting standards (IFRS) countries. Specifically, a cross-country analysis determines the effects of enforcement intensity and IFRS adoption on earnings management (EM) types, depending on code or common law origins. The results indicate that legal origin directly affects EM behaviors, whereas enforcement intensity and IFRS result in different accrual earnings management (AEM) and real earnings management (REM) behaviors depending on the different legal origins. In particular, the findings also suggest that an increase in enforcement strength may not produce similar EM results for each legal tradition, specifically for the expected shift from AEM to REM as recent studies have proposed. This study also offers evidence that IFRS represent a constraint on AEM in code law origin countries, and it highlights a constraint on REM only for common law countries when the enforcement intensity increases.
Citation - WoS: 2
Citation - Scopus: 3
Exploring the Relationship Between Digital Trails of Social Signals and Bitcoin Returns
(Emerald Group Publishing Ltd, 2023) Yelkenci, Tezer; Dobrucalı, Birce; Vardar, Gulin; Aydoğan, Berna
PurposeThis study aims to empirically investigate the linkages between digital trails of social signals (content and profile features of bitcoin-related tweets) and bitcoin price return using a VAR-BEKK-GARCH model. Design/methodology/approachBitcoin-related tweets were collected every hour for six months from September 1, 2020, to February 29, 2021. The analysis involved two steps: first, examining tweet content, profiles, sentiment and emotions; and second, investigating the relationship between social signal volatility and hourly bitcoin price return. FindingsResults indicate that bitcoin price changes can impact the sentiment expressed in tweets about bitcoin, and vice versa. While sadness exhibits a bidirectional volatility spillover with bitcoin, fear and anger display a one-period lag. Quartile analyses reveal that only fear in the second quartile shows a bidirectional spillover effect with bitcoin, while all other emotions except sadness demonstrate a unidirectional spillover effect in all remaining quartiles. Originality/valueThe study uses a novel two-step approach to analyze volatility spillovers between social signals and bitcoin price returns. Findings can guide investors and portfolio managers in making better allocation decisions and assist policymakers and regulators in reducing the adverse effects of bitcoin's volatility on financial system stability.
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.
Citation - WoS: 9
Citation - Scopus: 12
Impact of Stock Market Trading on Currency Market Volatility Spillovers
(Elsevier, 2020) Baklaci, Hasan Fehmi; Aydogan, Berna; Yelkenci, Tezer
This research aims to detect the volatility linkages among various currencies during operating and non-operating hours of three major stock markets (Tokyo, London and New York) by employing bivariate VAR-BEKK-GARCH model in selected currency pairs. In particular, the aim is to analyze whether the major stock markets have a differential impact on volatility linkages in currency markets. The results indicate that volatility linkages in intraday are far stronger then in daily results. One remarkable result is that rather than major currencies, some minor and exotic currencies play a leading role in volatility transmission during trading hours of major stock markets.
Citation - WoS: 6
Citation - Scopus: 10
Interpreting Turkish Industry's Perception on Energy Security: a National Survey
(Pergamon-Elsevier Science Ltd, 2017) Biresselioglu, Mehmet Efe; Yelkenci, Tezer; Ozyorulmaz, Evrim; Yumurtacı Hüseyinoğlu, Işık Özge
Along with the changing concerns over energy security in the last decades, it is important to investigate the perception of different segments of society in order to understand how they view the challenges and opportunities in contemporary energy issues. Being one of the most dynamic energy economies globally, Turkey is continuously increasing both its electricity generation and consumption. Since the industrial sector accounts for higher ratios in this growth, this article explores the perception and awareness within Turkish industrial companies related to energy security, Turkish energy policy, and compatibility of corporate strategy with governmental energy and industrial policies. The study is based on the exploration of nine suppositions relating to the following issues: importance of energy costs in supply chain management, energy efficiency priority, effectiveness of legal infrastructure for energy efficiency, import dependency awareness, renewable energy awareness, the compatibility of energy strategy, climate change awareness, the level of Kyoto Protocol awareness, and compatibility between firm-specific targets and strategy papers. The study tests these suppositions with a survey based on the existing academic literature and three strategy documents related to industrial and energy policies, namely papers on Energy Efficiency Strategy, Turkish Industrial Strategy, and Electricity Energy Market and Security of Supply Strategy. These papers provide the research background and give insight for each of the suppositions. A survey was distributed to the top 500 Turkish industrial companies listed in ISO500. The results show that six suppositions are supported, one is unsupported, and two is neither supported nor unsupported. (C) 2016 Elsevier Ltd. All rights reserved.
Citation - WoS: 49
Citation - Scopus: 61
Investigating the Natural Gas Supply Security: a New Perspective
(Pergamon-Elsevier Science Ltd, 2015) Biresselioglu, Mehmet Efe; Yelkenci, Tezer; Oz, Ibrahim Onur
This paper assesses the natural gas supply security of 23 importing countries from divergent regions of the world for the period between 2001 and 2013. The indicators used for the study are the volume of imported natural gas, the number of natural gas suppliers, the level of dependency on one country, import dependency, the fragility of supplier countries, and the share of natural gas in primary energy consumption. The method used to establish the supply security index is the PCA (principal component analysis) over the indicators in the model for each country on a yearly basis for the period 2001 to 2013. The dispersed country sample enables the established index to measure the sensitivity of specific natural gas importer countries using a uniform framework. According to the results, the most effective indicators for the measurement of supply security are the number of supplier countries, supplier fragility, and the overall volume of imported gas. (C) 2014 Elsevier Ltd. All rights reserved.
Mapping volatility spillovers in global currency market
(İzmir Ekonomi Üniversitesi, 2020) Yelkenci, Tezer; Vardar, Gülin
Bu araştırma, döviz piyasası kapsamında çeşitli para birimleri arasındaki oynaklık yayılımlarını tüm işlem günü nezdinde ve ayrıca üç büyük borsanın (Tokyo, Londra ve New York) seans süresince ve seans harici saatleri nezdinde tespit etmeyi amaçlamaktadır. Araştırmaya 2009'dan 2017'ye kadar olan bir dönemi kapsayan 11 döviz paritesi dahil edilmiştir. Seçilen döviz pariteleri arasındaki oynaklık yayılımları çok değişkenli VAR-BEKK-GARCH modelinin farklı örneklem frekansları nezdinde kullanılmasıyla test edilmiştir. Özellikle temel amaç, büyük borsaların ve farklı örneklem frekanslarının döviz piyasalarındaki oynaklık bağlantıları üzerinde farklı bir etkisinin olup olmadığını analiz etmektir. Sonuçlar, örneklemdeki para birimleri arasındaki oynaklık bağlantılarının yüksek frekansta çok daha güçlü olduğunu göstermektedir. Diğer dikkat çekici bir sonuç, majör para birimlerinden ziyade bazı minör ve egzotik para birimlerinin borsa seansları süresince oynaklık iletiminde öncü bir rol oynamasıdır. Aynı zamanda, borsa seans saatlerinin gözetilmediği tam işlem günü kapsamındaki sonuçlar da majör paritelerin oynaklık iletiminde güçlü bir rol üstlenmediğini göstermektedir. Günlük ve gün içi sonuçlar karşılaştırıldığında bu bulgu daha belirgindir.
Citation - WoS: 1
Citation - Scopus: 3
Price Linkages Among Emerging Gold Futures Markets
(World Scientific Publ Co Pte Ltd, 2018) Baklaci, Hasan F.; Suer, Omur; Yelkenci, Tezer
The gold futures in emerging markets have gained more importance in parallel to the increase in the size of gold trading in these markets. This research aims to detect the long-run price linkages and causality effects in these markets. China, Brazil, Russia, India, Korea, Taiwan, Turkey and Indonesia have been selected to represent emerging markets. US and Japan are also included as benchmark markets. The results denote the existence of long-term price dependencies and limited risk diversification benefits in the sample countries. The results further signify that China and Russia are the most isolated countries among the emerging markets sample.
Citation - Scopus: 1
Revisiting Portfolio Flows - Exchange Rate Nexus in Emerging Markets: a Markov Regime Switching Mgarch Approach
(Routledge Journals, Taylor & Francis Ltd, 2021) Aydogan, Berna; Vardar, Gulin; Yelkenci, Tezer
This paper focuses on the role of exchange rate uncertainty on the net portfolio flows using a bilateral monthly data for the US vis-a-vis six emerging countries (E-6) (India, Brazil, Mexico, Russia, Indonesia and Turkey) over the period 1993:01-2017:12. Employing Markov Regime Switching CCC GARCH model, the results suggest that exchange rate volatility affects both net bond and net equity flows for whole sample. The correlation evidence between net portfolio flows and exchange rate uncertainty is stronger in the cases of Brazil and Mexico, in terms of supporting these countries' bond and equity home bias in high volatility regime.
The Role of Earnings Components and Machine Learning on the Revelation of Deteriorating Firm Performance
(Elsevier Science Inc, 2021) Oz, Ibrahim Onur; Yelkenci, Tezer; Meral, Gorkem
This study explores the proficiency of earnings components for detecting earnings and cash flows distress. The authors examine the deterioration of these two performance indicators for two aggregate and two disaggregate earnings models, each of which is subject to examination through different machine learning, non-parametric, and parametric methods. The results, obtained from firms in 22 countries, reveal that the current information content of earnings not only has explanatory power for future earnings and cash flows but also can support advance classifications of the two performance indicators as negative or positive. Each aggregate and disaggregate model offers distress classification ability, the disaggregation of earnings generates better, robust detection accuracies for cash flow distress, while aggregate earnings model provides improved classification for prospective earnings distress. The findings also suggest that machine learning estimation methods provide superior distress detection compared to a parametric method, despite its still decent performance.
Citation - WoS: 24
Citation - Scopus: 26
Scrutinizing the Causality Relationships Between Prices, Production and Consumption of Fossil Fuels: a Panel Data Approach
(Pergamon-Elsevier Science Ltd, 2016) Biresselioglu, Mehmet Efe; Yelkenci, Tezer
This study reveals the causality relationships between overall production and consumption of each fossil fuel type (oil, natural gas and coal) for the period between 1985 and 2013 in 25 selected countries. The sample countries are the ten most important producers and consumers of related fossil fuel types during the sample period, subject to the available data. Hence, the main aim of this study is to analyze whether a shift in fossil fuel prices has an impact on the production and consumption of each fossil fuel type, or vice versa. Moreover, this study aims to determine whether examining general trends is sufficient to identify the specific causality conditions affecting individual countries. The assessed recent panel Granger causality methodology by Dumitrescu and Hurlin [9] allows us to reach robust and concrete findings. The majority of overall panel findings designate bilateral causality; on the other hand, heterogeneous (country specific) causality results generally represent a unilateral relationship. Hence, the analysis of the panel statistics shows a generally uniform result regarding existing trends; however, this study reveals that the particular condition of individual countries has a key influence on the direction of existing causality. (C) 2016 Elsevier Ltd. All rights reserved.
Citation - WoS: 51
Citation - Scopus: 60
Shock Transmission and Volatility Spillover in Stock and Commodity Markets: Evidence From Advanced and Emerging Markets
(Springer Heidelberg, 2018) Vardar, Gulin; Coskun, Yener; Yelkenci, Tezer
This paper employs a VAR-BEKK GARCH model to examine the shock transmission and volatility spillover (STVS) effects among daily stock market indices of the US, UK, France, Germany, Japan, Turkey, China, South Korea, South Africa and India, together with the five major commodity spot price-crude oil, natural gas, platinum, silver and gold-over the period 05 July, 2005 and 14 October, 2016, i.e., covering the pre-crisis, crisis and post global financial crisis periods. In the full period, the primary trend in advanced and emerging countries is the bidirectional STVS effects between stock and the commodity returns. However, the results also illustrate relatively less unilateral STVS effects from the commodity to stock returns, but significant unilateral STVS effects from the stock returns to the commodity returns in advanced and emerging countries. We also find more cases of significant STVS effects between commodity and stock markets in all countries during the crisis and post-crisis periods compared to the pre-crisis period. Therefore, it indicates that STVS effects are the new normal for stock and commodity markets, despite the efforts of central banks during post-global crisis period. In practical terms, our findings suggest that resource allocation decision between stocks and commodities should involve the analysis of the direction of the STVS effects in particular stock/commodity markets and cycles of the global economy.
Citation - WoS: 11
Citation - Scopus: 18
A Theoretical Approach To Financial Distress Prediction Modeling
(Emerald Group Publishing Ltd, 2017) Oz, Ibrahim Onur; Yelkenci, Tezer
Purpose - The purpose of this paper is to examine a theoretical base for the financial distress prediction modeling over eight countries for a sample of 2,500 publicly listed non-financial firms for the period from 2000 to 2014. Design/methodology/approach - The prediction model derived through the theory has the potential to produce prediction results that are generalizable over distinct industry and country samples. For this reason, the prediction model is on the earnings components, and it uses two different estimation methods and four sub-samples to examine the validity of the results. Findings - The findings suggest that the theoretical model provides high-level prediction accuracy through its earnings components. The use of a large sample from different industries in distinct countries increases the validity of the prediction results, and contributes to the generalizability of the predictionmodel in distinct sectors. Originality/value - The results of the study fulfill the gap and extend the literature through a distress model, which has the theoretical origin enabling the generalization of the prediction results over different samples and estimation methods.
Citation - WoS: 6
Citation - Scopus: 6
Volatility Linkages Among Gold Futures in Emerging Markets
(Routledge Journals, Taylor & Francis Ltd, 2016) Baklaci, Hasan F.; Suer, Omur; Yelkenci, Tezer
We aim to detect the cross-border volatility linkages among gold futures in emerging markets, which still remain an untapped area. China, India, Japan, Taiwan, Turkey, and U.S. futures markets are included in the sample. The volatility linkage analyses confirm the existence of volatility transmission among the majority of the sample countries' gold futures. This article carries vital inferences and implications for policy makers and investors. The policy making is particularly important for China, which is a relatively isolated market. From investors' perspective, the results indicate that the risk diversification and cross-market hedging opportunities in the emerging gold futures markets are quite limited.