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Yayın Cointegration and adjustment dynamics of REIT and stock markets during the global financial and European debt crises(Inderscience Publishers, 2020-06-03) Erol, Ümit; Yüksel, Sadettin Aydın; Yüksel, Aslı; Öztürk, HakkıThis paper analyses the cointegration relationship between the REIT and stock markets of ten developed countries during the 2005-2013 period, which is characterised by the global financial and the European debt crises. Given the structural breaks in the data, the effect of these two crises is examined separately by dividing the sample period into four equal parts and by using M-TAR cointegration analysis. The results suggest that the cointegration between the stock and REIT markets was not a globally observed feature prior to the twin crises. The strong and globally valid cointegration observed after 2007 was due to the common negative response of both markets to the unexpected massive shocks. These shocks also led to bilateral causality and strong feedback effects between these two markets, thus strictly limiting the diversification benefits of the REIT market during the crisis period.Yayın Bankacılık sektörü hisse senedi endeksi ile enflasyon arasındaki ilişki: Yedi ülke örneği(Manisa Celal Bayar Üniversitesi İktisadi ve İdari Bilimler Fakültesi, 2013) Yüksel, Aslı; Yüksel, Sadettin AydınBu 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 inceleyen çok sayıda çalışma olmasına karşın, sektör endeksleri ile tüketici fiyatları endeksi arasındaki ilişkiyi inceleyen çalışma sayısı son derece sınırlıdır, bu çalışma ile literatürdeki bu boşluğun doldurulması hedeflenmektedir. Analizlerde bankacılık sektörü endeksi ile tüketici fiyatları endeksi arasındaki uzun vadeli ilişki Johansen Eşbütünleşim Analizi ve Gecikmesi Dağıtılmış Ardışık Bağımlılık Modeli (ARDL) kullanılarak test edilmiş ve sadece bir ülkede (Arjantin) uzun vadeli bir ilişki bulunmuştur. Makalede ayrıca Granger Nedensellik Analizi yapılmış, Amerika, Avusturya ve Macaristan’da bankacılık sektörü endeksi ile tüketici fiyatları endeksi arasında nedensellik ilişkisinin olmadığı belirlenmiştir.Yayın İstanbul Menkul Kıymetler Borsası'nda işlem gören hisse senetlerinin fiyatlandırılmasında likiditenin rolü(Bilgesel Yayıncılık San Tic Ltd, 2010-08) Yüksel, Aslı; Yüksel, Sadettin Aydın; Doğanay, MeteBu 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 aranmıştır. İlk olarak, likiditenin yatay kesit hisse senedi getirilerini etkileyen firma karakteristikleri arasında yer alıp almadığı araştırılmıştır. İkinci olarak ise Fama ve French (1993) modeli baz alınarak ilave bir risk faktörü olarak likiditenin rolü incelenmiştir. Fama ve MacBeth (1973) tarzı analizler yatay kesit hisse senedi getirilerini etkileyen istatistiki açıdan anlamlı değişkenlerin defter değeri/piyasa değeri oranı ve likidite olduğunu belirlemiştir. Zaman serisi regresyon analizleri ise Fama ve French modelinin likiditeyi temsil eden risk faktörü eklenmiş şeklinin, modelin determinasyon katsayısı ve Gibbons, Ross ve Shanken(1989) testi baz alındığında, iyi bir performans sergilediğini göstermiştir. Bu bulgular ışığında çalışmanın kapsadığı 1997-2007 arasındaki dönemde İstanbul Menkul Kıymetler Borsası'nda işlem gören hisse senetlerinin fiyatlamasında likiditenin önemli bir rolü olduğu sonucuna varılmıştır.Yayın An empirical examination of the generalized Fisher effect using cross-sectional correlation robust tests for panel cointegration(Elsevier Science BV, 2015-03) Omay, Tolga; Yüksel, Aslı; Yüksel, Sadettin AydınThis 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 of cross-section dependence in the data. For the sample analyzed, we report that these new tests, but not their predecessors, provide strong support for the existence of cointegration between stock and goods prices. Moreover, further analysis cannot reject the hypothesis that the cointegration relation is linear. Finally, our Fisher coefficient estimates are in the range between 0.68 and 1.27 and give support to the generalized Fisher hypothesis.Yayın Avrupa borç krizi döneminde global risk faktörleri ve ülke kredi temerrüt takası primi ilişkisi: 19 ülke örneği(Akdeniz Üniversitesi, 2017) Yüksel, Sadettin Aydın; Yüksel, AslıBu 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 durum, likidite, risk algısı ve Yunanistan borç krizinin etkisini temsil eden faktörleri içeren bir Eşik Değerli GARCH modeli kullanılmıştır. Analiz sonuçları, incelenen ülkelerin tamamına yakınında, Yunanistan borç krizinin seyrinin ülke kredi temerrüt takası primi ile ilişkili olduğunu göstermektedir. İncelenen ülkelerin çoğunda, global risk algısını temsil eden VIX endeksi ile ülke kredi temerrüt takası primindeki değişim arasında pozitif ilişki bulunmaktadır. Aynı faktörlerin birçok ülke için kredi temerrüt takası priminin volatilitesi ile de ilişkili olduğu gözlemlenmiştir.Yayın Oil price uncertainty, global industry returns and active investment strategies(Elsevier B.V., 2020-11) Demirer, Rıza; Yüksel, Aydın; Yüksel, AslıThis 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. Global stock sectors yield significantly higher returns during periods of low oil market uncertainty and an active, forward-looking investment strategy conditional on the state of oil market volatility yields significantly positive excess returns even after adjusting for systematic risk exposures. The findings show that the predictive information captured by oil market fundamentals can be utilized in active sector rotation strategies.Yayın Trading volume and stock market volatility: evidence from emerging stock markets(LLC CPC Business Perspectives, 2009-01-15) Gürsoy, Güner; Yüksel, Aslı; Yüksel, AydınBased 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 January 2000 and August 2006. The results show that when total trading volume is included in the conditional volatility equation as a proxy for information flow, a moderate level of decline in volatility persistence was observed only for two stock markets. In four stock markets the decline in conditional volatility persistence is very small. On the other hand, for the remaining markets, total trading volume is a poor proxy for information flow. The findings are consistent with the findings of prior research, which suggest that volume may be a good proxy for stock-level analysis, but not for market-level analysis. Furthermore, following Wagner and Marsh (2005) and Arago and Nieto (2005) the relationship between unexpected trading volume (surprise trading volume as an alternative proxy for information flow) and conditional volatility is analyzed. The findings illustrate that for most of the markets, the relationship between surprise volume and conditional volatility is statistically significant.Yayın Stock return seasonality and the temperature effect(EuroJournals Publishing, 2009-12) Yüksel, Aslı; Yüksel, Sadettin AydınMotivated 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 stock index returns. Prior research using monthly data indicates that the portion of variability in stock returns that is explained by temperature can be explained equally well by any seasonal variable. Using daily stock market index and temperature data from 42 countries the effect of temperature on both the mean and variance of stock returns is analyzed through the use of GARCH modeling. The results show that a significant portion of the temperature effect is due to seasonal component of raw temperature. Furthermore, deseasonalized temperature has a moderate impact not only on the mean but also on the conditional variance of stock index returns. The results also indicate that the Halloween indicator, which is a seasonal dummy variable, has much less explanatory power using daily rather than monthly data. Its presence does not affect the explanatory power of deseasonalized temperature. Based on the findings, the paper concludes that although the relation between temperature and stock returns is not spurious, it is weaker than indicated by some earlier studies.Yayın The U.S. term structure and return volatility in emerging stock markets(Springer, 2020-05-29) Demirer, Rıza; Yüksel, Aslı; Yüksel, AydınThis 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 maturity premium, we show that the U.S. term structure indeed contains predictive information over emerging stock market volatility, even after controlling for country specific factors including turnover and market size. While we observe heterogeneous patterns across emerging markets in terms of their predictability with respect to the U.S. term structure, we find that the market’s expectation of future short term rates, implied by the expectations factor, serves as a stronger predictor of stock market volatility compared to the maturity premium component of the yield spread. We also find that the U.S. term structure has gained further predictive value following the global financial crisis, particularly for the BRICS nations of China, Russia, and S. Africa. Overall, our findings suggest that policymakers and investors can utilize interest rate signals from the U.S. Treasury yields to make projections over stock market volatility in their local markets, however, distinguishing between the two components of the yield curve could provide additional forecasting power depending on the country of focus.Yayın The US term structure and return volatility in global REIT markets(Asia University, 2020-09) Demirer, Rıza; Gupta, Rangan; Yüksel, Aslı; Yüksel, AydınThis 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 that reflect the expectations factor and the maturity premium. We show that the expectations factor component of the U.S yield curve has significant explanatory power over return volatility in REIT stocks, both in the U.S. and globally, even after controlling for stock market trading activity. The expectations factor is generally found to have a positive effect on REIT market volatility, more significantly for the U.S. and Japanese REITs, highlighting the role of global funding conditions (via expected short rates) on return fluctuations in real estate markets. Comparing the findings for the pre-and post-global crisis periods, however, we find that the U.S. term structure has largely lost its explanatory power over global REIT markets, implied by largely insignificant effects during the post-global crisis period. The findings highlight the changing dynamics in REIT investments in the aftermath of the 2018 global credit crunch, possibly due to the slowdown of investmentsin the real estate sector globally, and suggest that investors will have to focus more on the idiosyncratic risk factors that drive these markets.
