Abdullah Yalama

Volatility Spillover Effects in Interregional Equity Markets: Empirical Evidence from Brazil and Turkey

We investigate volatility spillovers between two stock markets: Turkey and Brazil. Using a misspecification-robust causality-in-variance test, we find evidence supporting volatility spillovers from the São Paulo Stock Exchange to the Istanbul Stock Exchange. Moreover, the results imply that financial crises may change the nature of volatility spillovers between the two markets by adding an additional channel of volatility transmission from Turkey to Brazil.

The relationship between intellectual capital and banking performance in Turkey: evidence from panel data

The purpose of this study is to investigate empirically the relationship between investment in intellectual capital and the performance of Turkish banking sector both in short and long period from 1995 to 2006. The intellectual capital performance of quoted banks in Istanbul stock exchange market is measured using value added intellectual coefficient (VAICTM), and the effect of these intellectual capital components on banking performance are tested using panel data regression analysis. The results indicate that intellectual capital is enhancing banks profitability, market value and productivity especially in long period.

The Effect of Word-of-Mouth Communication on Stock Holdings and Trades: Empirical Evidence From an Emerging Market

The purpose of this study is to investigate the relationship between investors’ satisfaction and intention and word-of-mouth communication. This study contributes to the ongoing debate on the relationship between investor behavior and word-of-mouth communication. Many studies are related to investors’ participation and individual investors’ asset allocation decisions that are instigated by their social community via word-of-mouth communication whereas this study directly investigates the relationship between investment satisfaction and intention and word-of-mouth communication. We emphasize how many factors are considered when making satisfactory investment decisions. Our results confirm the strong relationship between the satisfaction and intention of investors and word-of-mouth communication. This finding may be useful to regulators, investors and managers who seek to establish effective rules for stock holdings and trade.

The calendar anomalies in IPO returns: Evidence from Turkey

The purpose of this study is to determine the calendar effects on both short and long run performance of IPOs (Initial Public Offerings) in Turkey for the period between 1990 and 2005. The study indicates that many calendar anomalies are robust to IPO returns in Turkey: the day of the week effect, the month of the year effect, the week of the month effect, the weekday of the month effect, the semi-year effect, the semi-month effect, the turn of the month effect. Moreover, short run underpricing and long run underperformance survive for IPO returns in Turkey.