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Öğe ABD borsalarında gün içi doğrusal olmayan asimetrik ilişkinin momentum eşik değerli modellerle analizi(Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., 2022) Koy, Ayben; Güngör, Yusuf Mehmet; Şimşek, OğuzÇalışma, pandemi nedeniyle borsalarda yaşanan çöküşün V tipi toparlanmasını takip eden 3 aylık dönemde SP500 ve Dow Jones Industrial (DJI) arasındaki gün içi fiyat ilişkilerini incelemektedir. Momentum Eşik Değerli (MTAR) eşbütünleşme ve hata düzeltme modelleri ile yapılan analizler, ABD borsalarında gün içi doğrusal olmayan asimetrik ilişkinin varlığını ortaya koymuştur. MTAR modelinin gün içi piyasa yapısını iyi açıklıyor olması, özellikle ardı ardına gelebilecek olumsuz bilgi akışlarında piyasa katılımcılarının olası yüksek hareketlerle karşılaşabileceğini de söylüyor. 5 dakikalık gözlemlere uygulanan MTAR Vektör hata düzeltme modeli bulguları ise, uzun dönemde SP500 endeksinden DJI endeksine doğru asimetrik bir nedensellik ilişkisinin varlığına işaret etmektedir.Öğe Are Carbon Leader Indexes Related with Carbon Prices under Different Regimes?(Econ Journals, 2020) Koy, Ayben; Okay, GüçlüWith the rising importance of carbon markets, the new derived financial instruments and indicator indexes related to carbon markets have been raising researchers’ appetite. According to that aspect, to investigate the relationship between price formation in carbon markets and equity prices of these firms trading in carbon markets is one of the aims of this study. This study examines CO2 prices of European Union Emission Allowances and daily closing values of Morgan Stanley Capital International Low Carbon Leaders USD Dollar Price Indexes via Markov Regime Switching Models from a non-linear perspective. Among the findings, there is a relationship between the index derived from the stock performances of North American firms trading in carbon markets and carbon prices. Furthermore, the strength of the relationship increases during periods of recession identified by the MRS modelsÖğe Daralma Ve Genişleme Dönemlerinde Uluslararası Portföy Yatırımları Nasıl Etkileniyor?(Marmara Üniversitesi, 2018) Koy, Ayben; Karaca, Süleyman SerdarTürkiye Pay piyasası, uluslararası sermaye piyasalarındaki likiditeden en çok etkilenen piyasalardan birisidir. Amerikan Merkez Bankası (FED) ve Avrupa Merkez Bankası (ECB)’nın vermiş olduğu para politikası kararları gibi küresel ekonomiyi etki altına alan çok sayıda değişken ile ülkeye özgü değişkenler, pay piyasasına yönelik sermaye hareketlerini eşzamanlı olarak etkilemektedir. Özellikle Türkiye pay piyasasına yapılan uluslararası net portföy yatırımlarını (NPY), USD/TRY döviz kuru, pay endeks getirisi ve ülke riski göstergesi olarak Türkiye 5 yıllık kredi temerrüt swap (CDS) primleri ile ilişkileri açısından ele alan çalışmada, Çok Değişkenli Markov Rejim Değişim Vektör Otoregresif Modelleri (MMS-VAR) kullanılmıştır. Değişkenler arasındaki ilişkiyi en iyi tanımlayan model, üç rejimli (daralma, ılımlı büyüme ve genişleme) MSIH(3)-VAR(2) modelidir. Modeldeki daralma ve genişleme rejimleri, finans piyasalarındaki ayı (daralma) ve boğa (genişleme) piyasaları olarak da ifade edilebilir. 2013-2016 dönemindeki haftalık verilerin kullanıldığı çalışmada, NPY ile döviz kuru arasındaki ilişkinin piyasanın içinde bulunduğu daralma veya büyüme rejimlerinde farklılık göstermesi dikkat çeken ampirik bulgulardan biridir.Öğe Defense expenditures and economic growth relationship: A panel data approach for NATO(Physica-Verlag, 2018) Çetin, Güldenur; Yıldırım, Hasan Hüseyin; Koy, Ayben; Köksal, CihatOne of the rules of being successful in the international competition is having technology-intensive manufacturing areas. The investments made in the defense industry, and the recognition of the products that are being produced in this area as technology-intensive products, are increasing the importance of the defense expenditures and the economic growth relationship. Increases in defense spending cause greater investments in industrial sectors. Secondly, economic growth affects the competitiveness of the countries prominently. Thirdly, public expenditures can lead to an increase in investments and growth. This study brings to light the relationship between military expenditures and economic growth for NATO member countries. In the period from 2000 to 2015 for 27 NATO member countries, the two-way direction of the relationship is found by using panel data techniques. © Springer International Publishing AG, part of Springer Nature 2018.Öğe Energy-related uncertainty shocks and inflation dynamics in the U.S: A multivariate quantile-on-quantile regression approach(Elsevier, 2024) Usman, Ojonugwa; Özkan, Oktay; Koy, Ayben; Adebayo, Tomiwa SundayExisting literature suggests that uncertainty shocks can propagate like aggregate demand shocks or aggregate supply shocks. By way of extension, this study investigates the effect of energy-related uncertainty shocks on U.S. inflation while incorporating the effect of industrial production and interest rate uncertainty shocks. Using a multivariate quantile-on-quantile regression for the period 2000:M6 to 2019:M7, the findings reveal that energyrelated uncertainty shocks amplify inflation by manifesting as cost-push shocks with a stronger connection emerging in quantiles slightly above the median quantile distribution of energy-related uncertainty. Although industrial production positively drives inflation, its effect is observed less around median quantiles of inflation than in the lower and upper quantiles. Furthermore, the effect of interest rate uncertainty is negative and stronger in quantiles around the median of inflation, suggesting that interest rate uncertainty behaves like aggregate demand shocks. Based on these findings, policy implications are offered.Öğe Euro ve ABD Doları Kurları ile Pay Senedi Endeksleri Arasındaki İlişkinin İncelenmesi: Borsa İstanbul Verileri Üzerine Ampirik Bir Çalışma(Center for Strategic Studies in Business & Finance, 2016) Ersoy, Hicabi; Koy, AybenBu çalışmada Türkiye’de pay senetleri fiyatları ile döviz kurları arasındaki ilişki, VAR metodu (vektör oto regresyon modeli) kullanılarak araştırılmıştır. Döviz kurları ve pay senedi fiyatlarından oluşan değişkenler arasında doğrusal bir bağıntı olup olmadığının tespiti amacıyla bu model kullanılmıştır. Bu amaçla, döviz kurları, BİST Banka ve BİST Sınai endeksleri ele alınmıştır. Veriler Ocak 2011’den Aralık 2014’e kadar olan döneme ait günlük değişmeleri içermektedir. Türkiye’de en fazla işlem yapılan döviz kurları ABD doları ve Euro olduğu için, bu kurlar tercih edilmiştir.Öğe Exchange Rates Effect On Spot And Futures Equıty Index Mar-Kets: A Study On Borsa Istanbul(İstanbul Ticaret Üniversitesi, 2016) Koy, Ayben; Ersan, İhsanThis paper examines the linkages between the foreign exchange rates, spot equity index and equity index futures. The study aims to investigate whether there is difference between the spot and futures markets in the scope of relation with the foreign exchange rates’ returns and which leads the other. The relationships are examined by using the vector autoregression (VAR) model, impulse-response functions, variance decomposition and Granger Causality tests. The sample of the study consists of US dollar to Turkish Lira rate (USD/TRY), Euro to Turkish Lira rate (EUR/TRY), BIST 30 Index and BIST 30 Index Futures. The data of the study includes the period between January 2011 and December 2014 with daily data range. Our results have evidence that the foreign exchange rate markets in Turkey are driven by the equity market.Öğe Exchange rates’ effect on spot and futures equity index markets: a study on borsa Istanbul(İstanbul Ticaret Üniversitesi, 2016) Koy, Ayben; Ersan, İhsanThis paper examines the linkages between the foreign exchange rates, spot equity index and equity index futures. The study aims to investigate whether there is difference between the spot and futures markets in the scope of relation with the foreign exchange rates’ returns and which leads the other. The relationships are examined by using the vector autoregression (VAR) model, impulse-response functions, variance decomposition and Granger Causality tests. The sample of the study consists of US dollar to Turkish Lira rate (USD/TRY), Euro to Turkish Lira rate (EUR/TRY), BIST 30 Index and BIST 30 Index Futures. The data of the study includes the period between January 2011 and December 2014 with daily data range. Our results have evidence that the foreign exchange rate markets in Turkey are driven by the equity market.Öğe Fama ve French’in Büyüklük ve Risk Primleri İMKB’de Geçerli midir?(İstanbul Üniversitesi, 2013) Koy, AybenBu çalışmada Fama ve French'in 1993 yılındaki çalışmalarında geliştirdikleri üç faktörlü varlık fiyatlama modelinin İMKB'de hisse senedi getirilerinin açıklama gücü test edilmiştir.Öğe İlk halka arzların BİST100 endeksi volatilitesine etkisi: Covid-19 pandemisi dönemi(2022) Bayraktar Yetim, Seçil; Koy, AybenCovid-19 pandemisinin borsalar üzerindeki etkisi 2020 yılının ilk çeyreğinde büyük bir çöküş ve hızlı bir toparlanma süreci olarak gerçekleşirken, kapanma önlemleri ile birlikte finans piyasalara büyük bir ilgi ve yatırımcı sayılarında artışa sebep olmuştur. Özellikle aşının bulunmasından sonra finans piyasalarındaki olumlu seyir çok sayıda halka arzı da beraberinde getirmiştir Bu çalışmanın amacı Covid-19 dönemi öncesi ve Covid-19 döneminde ilk halka arzların BİST 100 Endeksinin (BİST100) volatilitesine etkisini araştırmaktır. Çalışmaya Covid-19 dönemi öncesi (2018-2019) ve Covid-19 dönemi (2020-2021) 36 ilk halka arz dahil edilmiştir. Çalışmada, 01/01/2018-31/12/2019 tarihleri arası Covid-19 dönemi öncesi seçilmiş olup, Covid-19 dönemi için ise 01/01/2020-28/09/2021 tarihleri incelenmiştir. GARCH modellerinin uygulandığı çalışmanın sonucunda, Covid-19 dönemi öncesinde ilk halka arzların BİST100 volatilitesine sadece halka arz olduğu ilk gün incelendiğinde anlamlı bir sonuç bulunamazken; Covid-19 döneminde volatiliteyi azalttığı sonuçlarına ulaşılmıştır. Bulgular, halka arzın ilk 10 gününde Covid-19 pandemi dönemi öncesinde volatilitede azalışa yol açarken, Covid-19 pandemi döneminde ise volatiliteyi arttırdığını göstermektedir.Öğe The impact of the day of the week on the financial market: an empirical investigation on cryptocurrencies(Emerald Publishing, 2024) Arzova, Sabri Burak; Koy, Ayben; Şahin, Bertaç ŞakirPurpose: This study investigates the effect of the day of the week on the volatility of cryptocurrencies. Thus, we reveal investors' perceptions of the day of the week. Design/methodology/approach: The EGARCH model consists of the day of the week for 2019–2022 and the volatility of 11 cryptocurrencies. Findings: Empirical results show that the weekend harms cryptocurrency volatility. Also, there was positive cryptocurrency volatility at the beginning of the week. Our findings show that weekdays and weekends significantly impact cryptocurrency volatility. Besides, cryptocurrency investors are sensitive to market movements, disclosures, and regulations during the week. Holiday mode and cognitive shortcuts may cause cryptocurrency traders to remain passive on weekends. Research limitations/implications: This study has some limitations. We include 11 cryptocurrencies in the analysis by limiting cryptocurrencies according to market capitalizations. Further studies may analyze a larger sample. In addition, further studies may examine the moderator and mediator effects of other financial instruments. Practical implications: The empirical results have research, social and practical conclusions from different aspects. Our analysis may contribute to determining trading strategies, risk management, market efficiency, regulatory oversight, and investment decisions in the cryptocurrency market. Originality/value: The calendar effect in financial markets has extensive literature. However, cryptocurrencies' weekday and weekend effect needs to be adequately analyzed. Besides, studies analyzing cryptocurrency volatility are limited. We contribute to the literature by investigating the impact of days of the week on cryptocurrency volatility with a large sample and current data.Öğe The impact of unproved reserve news on the energy stock volatility: An empirical investigation on Turkey(Emerald Publishing, 2023) Arzova, Sabri Burak; Koy, Ayben; Şahin, Bertaç ŞakirPurpose: This study investigates the effect of unproven energy reserve news on the volatility of energy firms' stocks. Thus, investors' perception of unproven energy reserves is revealed. Additionally, the study aims to determine whether the effect of the news changes according to time and volatility level. Design/methodology/approach: The general autoregressive conditional heteroskedasticity (GARCH) and exponential generalized autoregressive conditional heteroskedasticity (EGARCH) models consist of the energy reserve exploration news in Turkey for the period 2009–2022 and the volatility of 14 energy stocks. Findings: The results indicate energy exploration news's negative and significant effect on volatility. According to empirical results, energy stock volatility is most affected in the first ten days. Besides, the results show that the significant models of energy reserve news in low-volatility stocks are proportionally higher than in high-volatility stocks. Research limitations/implications: Only unproved reserve news is included in the analysis, as sufficient confirmed reserves could not be reached during the sampling period. Further studies can compare proven and unproved reserve news effects. Additionally, a similar analysis can be conducted between Turkey and another country with a similar socio-economic character to examine different investor behaviors. Practical implications: This research includes indications on managing investors' reactions to unproven energy reserve news. Originality/value: This study contributes to the literature by analyzing unproven reserves. Contrary to previous studies, examining stock volatility also makes the study unique.Öğe International credit default swaps market during european crisis: A markov switching approach(Physica-Verlag, 2017) Koy, AybenThis study investigates whether nonlinear relationship resulted from mutual regime switching mechanism exists in the European CDS’s markets during crisis. Multivariate Markov Switching Autoregressive Model that captures the switching mechanism is used. We analyzed the daily CDS spreads of Ireland, Italy, Portugal and Spain those most affected in European Debt Crisis. The data used in this study, belongs to the time period including 2010 and 2014 (1241 observations). The model have got three different regimes as depression, moderate growth and expansion. The results of the tests indicate that (1) CDS markets are governed by a long run relation, (2) volatility have an importance role in determining the regimes, (3) the shocks that applied to Italy and Spain are more effective than others, (4) Portugal is the more affected country between all, (5) the biggest response to the shocks are in the third regime. © Springer International Publishing AG 2017.Öğe Is sustainable energy consumption, technological advancement and urbanization fast addressing south Asia’s green energy expansion deficits?(Springer Science and Business Media B.V., 2024) Gyamfi, Bright Akwasi; Adebayo, Tomiwa Sunday; Agozie, Divine Q.; Bekun, Festus Victor; Koy, AybenThe United Nation’s sustainable development goals (UN-SDGs) like accessibility to renewable energies (SDG-7), sustainable production and consumption (SDG-12), as well as stable economic growth all centre on the notion of human development (HDI) and reflected in (SDG-8). In line with this motivation, this study explores the environmental sustainability targets for a panel of South Asian economies that are disproportionately affected by a huge energy deficit i.e., energy poverty, and technological immobility. This study considers evidence from south Asian nations to provide the role of certain indicators of human development in the wake of economic development and environmental quality objectives by unraveling the complex relationships between per capita income, access to technological innovation, access to clean energy, and urbanization. Employing a balanced panel econometric model, this study investigate the hypothesized nexus between specific macro-economic variables among South Asian economies. The empirical evidence indicates that the human development index (HDI), per capita income, accessibility to clean energy, technological innovation, as well as urbanization all exhibits a long-run equilibrium relationship over the study period. However, income per capita, accessibility to clean energy and technological innovation all exert a positive impact on HDI for the selected countries, while urbanization shows a negative impact on HDI. Furthermore, causality relationship shows a feedback causality relationship between income per capita, access to clean energy and urbanization with the human development variable, while access to technological innovation has a one-way causality with the HDI. This current study importantly extends the extant knowledge, by presenting new insights into the interaction between human development and its antecedents from a whole new contextual perspective. These outcomes will assist policymakers and stakeholders to obtain new insights into the crucial role of clean energy accessibility, technological innovation, income per capita, and urbanization on HDI processes among South Asian countries.Öğe Kredi Temerrüt Swapları Ve Tahvil Primleri Üzerine Ampirik Bir Çalışma(Gökhan Özer, 2014) Koy, AybenÇalışmada, CDS (Kredi Temerrüt Swapı) ve Euro-tahvil primleri arasındaki ilişkinin Avrupa Borç Krizi’nin başlangıç dönemini de içine alan Ocak 2009-Kasım 2012 döneminde ne şekilde gerçekleştiği incelenerek, bir öncü gösterge olarak hangisinin daha güçlü olduğunun ortaya konulması amaçlanmıştır. Seçilmiş sekiz ülkeye ait CDS primleri ile Euro-tahvil primleri arasındaki ilişki, birim kök testi ve Granger nedensellik analizi ile incelenmiştir. Bulunan sonuçlar, Fransa ve İtalya CDS primlerinin tahvil primlerine yön verdiğine dair kanıtlar sunmaktadır.Öğe Kripto Paraların Volatilite Modelinde Abd Borsa Endekslerinin Yeri: Bitcoin Üzerine Bir Uygulama(Marmara Üniversitesi, 2021) Koy, Ayben; Yaman, Mustafa; Mete, SefaBlok zincir sisteminde işlem gören en yeni inovatif finansal ürünlerden biri olan kripto paralar, yatırımcılardan yüksek ilgi görmektedir. Kripto para piyasasının en yüksek işlem hacimli ürünü Bitcoin (BTC), gösterdiği yüksek oynaklıklar ve spekülatif fiyat balonları ile de ön plana çıkmıştır. BTC’nin volatilite yapısında ABD borsa endeks getirilerinin varlığını araştıran bu çalışma, 10.03.2016 – 11.06.2019 dönemindeki günlük verileri kapsar. Genelleştirilmiş Otoregresif Koşullu Değişen Varyans modellerinden GARCH, EGARCH ve TARCH modellerinin kullanıldığı çalışmada, SP500, Nasdaq100 ve Dow Jones Industrial varyans değişkeni olarak kullanılmıştır. Bulgular, (1) her üç endeksin de BTC’in volatilitesini açıklamada anlamlı olduğu, (2) borsa endeksleri ile geliştirilmiş modellerin, GARCH, EGARCH ve TARCH modellerinin tamamında benzer temel modelden daha güçlü olduğu ve (3) endekslerle geliştirilmiş EGARCH modelinin ise en güçlü model olduğunu göstermektedir.Öğe Kriptoparalarda Fiyat Balonu İncelemesi(2019) Mete, Sefa; Koy, Ayben; Ersoy, HicabiBlokzincir sistemleri finans sektöründe çeşitli kullanım alanlarında yenileşen ürünlerle yer edinirken bu sistemin öne çıkan ürünlerinden kripto paralar fiyat ve değer arayışına devam etmektedir. 2017’nin ikinci çeyreğinden itibaren kripto paralarda yaşanan fiyat artışları ve devamında yaşanan çöküşlerin benzeri sinyaller, 2019 yılının ilk çeyreğinde tekrar görülmeye başlamıştır. Bu çalışmada kripto para piyasasının ilk kripto parası (coini) olan ve pazarda büyük işlem hacmine sahip olan bitcoin (BTC) ve işlem hacmi ile BTC’yi takip eden ethereum (ETH) ve ripple (XRP) kripto para birimlerinde spekülatif balonların varlığı Sup Augmented Dickey Fuller (SADF) ve Genelleştirilmiş Sup Augmented Dickey Fuller (GSADF) yöntemleri ile test edilmiştir. Sonuçlar, BTC’nin özellikle 2013- 2014, 2017-2018 ve 2019, ETH’un 2013-2016 ve 2017-2018, ve XRP’nin 2014- 2015 ve 2017-2018 yılları arasında oluşan fiyat balonları ile spekülatif hareketlere açık olduğunu göstermektedir.Öğe Modelling Nonlinear Dynamics of Oil Futures Market(Collegium of Economic Analysis at SGH Warsaw School of Economics, 2017) Koy, AybenDue to the fact that oil prices had a falling outlook after the global crisis, modeling oil market prices has been a topic of interest among researchers. The goals of this study are to investigate the recession or growth periods of oil futures markets using Markov switching autoregressive models, and to analyze the models' durations and probabilities to provide information to the investors who invest in these markets. The study _ndings indicate that oil prices have a nonlinear pattern with three regimes. The model that best describes the oil futures markets is MSIH(3)-AR(0) with three regimes.Öğe Multibubbles in Emerging Stock Markets(2018) Koy, AybenBubbles are deviations of financial asset prices from random walk process andhave been present in many stock markets in history. The purpose of the study isdetecting bubbles and their beginning and ending dates in ten emerging markets.By the help of Sup Augmented Dickey Fuller (SADF) and Generalized Sup AugmentedDickey Fuller (GSADF) tests, bubble events identified in ten emergingstock markets’ main equity indices (BIST100: Turkey, BOVESPA: Brazil, IDXComposite: Indonesia, IPC: Mexico, IPSA: Chile, KOSPI: South Korea, MCX:Russia, NIFTY50: India, QE All Shares: Qatar, WIG20: Poland) for the periodfrom January 2001 to July 2017. The results indicate that all of the emergingstock markets in our sample separated from their random walk more than onetime in the 2001-2017 period except WIG20.Öğe Mutual Switching Behavior between High Growth and Low Growth Economies’ Stock Markets(2018) Akkaya, Murat; Koy, AybenDue to the evolutions in the financial markets, characteristics of markets have been changed. It has become important to discuss the markets which the fast and frequent fluctuations are observed among the regimes they belong to. There are two main purpose of the study. The first purpose of the study is to investigate whether mutual regime switching behavior exists in the selected equity markets. To investigate the importance of growth of the selected economies which the equity markets belong, is the second purpose of the study. Three regime multivariate Markov switching vector autoregressive (MSI(M)-VAR(p)) models are used to define common regime switching behavior of the indices calculated.
