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Yayın Global risk aversion and emerging market return comovements(Elsevier Science SA, 2018-12) Demirer, Rıza; Omay, Tolga; Yüksel, Aslı; Yüksel, Sadettin AydınUtilizing the recently developed measure of global risk aversion by Xu (2017), we show that global risk aversion is a significant determinant of international equity correlations, consistently across all emerging markets examined. The positive effect of risk aversion on emerging market comovements is particularly strong for South Africa and Turkey and is consistent with contagion effects. The results underscore the importance of non-cash flow shocks in models of contagion and portfolio risk.Yayın On the hedging benefits of REITs: The role of risk aversion and market states(Oviedo University Press, 2021-06) Demirer, Rıza; Yüksel, Aslı; Yüksel, Sadettin AydınWe propose a dynamic, forward-looking hedging strategy to manage stock market risks via positions in REITs, conditional on the level of risk aversion. Our findings show that risk aversion can predict transitions to the high volatility regime in REIT markets when these markets are relatively calm. Accordingly, a hedge on/hedge off strategy based on the level of risk aversion with positions in REITs offer significant risk reduction for passive investors with the greatest benefits observed for the U. S. followed by the U.K. Our findings highlight the role of time-varying risk aversion as a predictor of REIT market volatility and the value of REIT investments as a hedge against stock market fluctuations.Yayın Gender differences in perception of macroeconomic indicators(Scitech Research Organisation, 2015-10-31) Teker, Dilek; Kıygı Çallı, MeltemThis paper examines if there exist gender differences in macroeconomic expectations. Two surveys were implemented in Turkey’s leading CEOs, CFOs, economists, portfolio managers, strategists and academics. One of the survey was conducted in 2013 while the other was in 2014. The survey points out if there are significant differences in expectations among women and men. The survey asks the participant’s macroeconomic expectations. Mainly, inflation, exchange rate, loan interest rate, stock-exchange rate, export and sector-specific expectations are investigated. Response to expectation questions is given on an ordinal scale with three levels. In the survey, a 3-point Likert scale response was used for the questions of export and sector-specific expectations. Firstly, the normality of the observations was tested with the KolmogorovSmirnov test. Then, the differences in macroeconomic expectations of males and females were tested with the Chi-square test of independence. Although the empirical findings of each survey indicate different outputs, the general result mainly exhibits that women are more risk averse than men.
