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Dive into the research topics where Deniz Ozenbas is active.

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Featured researches published by Deniz Ozenbas.


The Journal of Portfolio Management | 2010

Accentuated Intraday Stock Price Volatility: What Is the Cause?

Deniz Ozenbas; Michael S. Pagano; Robert A. Schwartz

In equity markets, the opening and closing of trading are particularly stressful periods. Ozenbas, Pagano, and Schwartz investigate the quality of price determination at these times (compared to midday periods) for large-, mid-, and smallcapitalization stocks on the NYSE, NASDAQ, and London Stock Exchange. Using three different metrics, they consistently find lower quality at both the open and the close.The deterioration of market quality at openings is greatest for large-cap stocks, but no systematic association with cap size is observed at the close. Large-cap stocks evidently lead smaller-cap stocks in finding new equilibrium values, and accentuated volatility at the open is in large part attributable to the complexities of price discovery.


Archive | 2011

Accentuated Intraday Stock Price Volatility

Deniz Ozenbas; Michael S. Pagano; Robert A. Schwartz

For a simple reason, intra-day volatility is important not only to traders with very short holding periods, but to longer term investors as well: volatility in brief time intervals is a manifestation of the efficiency with which prices are set, and inefficient pricing can lead to unduly high execution costs for the short -run trader and the longer-run investor alike. While short period, intraday volatility has been observed to be high, the reason for its accentuation has not been adequately understood.


Archive | 2007

On Balance Sheets, Idiosyncratic Risk and Aggregate Volatility: Is Firm Volatility Good for the Economy?

Luis San Vicente Portes; Deniz Ozenbas

Over the last four decades, the volatility of the firm level component of stock returns has increased relative to the market and industry components. It has also been documented that during the same period, the U.S. economy has experienced a sharp decline in the volatility of GDP growth. Do firms adjust their capital structure in response to higher idiosyncratic risk? And if so, could that affect the performance of the aggregate economy? Using a dynamic general equilibrium model we show that in the presence of larger firm-specific risk, firms shift the composition of their balance sheets towards more self-financing and away from debt. In the presence of financial accelerator-like frictions, larger idiosyncratic risk translates into greater external financing costs, steering firms to borrow less to counteract larger premia. Model simulations suggest that larger idiosyncratic risk dampens the financial accelerator and can lead to reductions in output and investment volatility of up to 10 and 13 percent, respectively; and up to a 36 percent decline in firm leverage.


The Journal of Portfolio Management | 2018

Do High Frequency Trading Firms Provide Two-Sided Liquidity?

Deniz Ozenbas; Robert A. Schwartz

High-frequency trading (HFT) firms are commonly thought of as the new market makers, although, unlike traditional dealers, they have no affirmative obligation. The authors investigate the quality of HFT-provided liquidity by focusing on whether HFT firms make, with reasonable consistency, two-sided markets. They find that HFT and non-HFT firms contribute approximately equally to liquidity creation, HFT is mostly two-sided, and non-HFT is more one-sided. For the authors’ sample, the two-sided liquidity provision of HFT firms was directed mainly at volatile, large-cap stocks, and it declined sharply during extreme events (i.e., mini flash crashes). Thus, HFT firms appear to be quite selective as market makers.


Economics Letters | 2002

Investment in real assets and information acquisition: the OCE preferences case

Christos I. Giannikos; Deniz Ozenbas

An agent optimizes over real investment and investment in information acquisition while maximizing a two-period utility that captures his ordinal certainty equivalent (OCE) preferences. Optimal investment is characterized and the impact of risk and time preferences on it is investigated.


International Finance | 2002

Volatility in US and European Equity Markets: An Assessment of Market Quality

Deniz Ozenbas; Robert A. Schwartz; Robert A. Wood


International Business & Economics Research Journal (IBER) | 2011

Pattern Of Short-Term Volatility Accentuation Within The Trading Day: An Investigation Of The U.S. And European Equity Markets

Deniz Ozenbas


International journal of business and economics | 2015

LEVERAGING TELEMATICS FOR OPTIMAL FLEET PERFORMANCE

Christos I. Giannikos; Hany Guirguis; Deniz Ozenbas


International Business & Economics Research Journal (IBER) | 2011

Day Of The Week Effects In Intra-Day Volatility Patterns Of Equity Markets: A Study Of US And European Stock Markets

Deniz Ozenbas; Zaman Zamanian


Emerging Markets Review | 2017

Intraday volatility and the implementation of a closing call auction at Borsa Istanbul

A. Can Inci; Deniz Ozenbas

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