Emrah Ismail Cevik

Business confidence and stock returns in the USA: a time-varying Markov regime-switching model

This article presents evidence in favour of time-varying Markov regime-Switching (MS) properties in all shares stock returns in the USA. The model specifications include the US Institute for Supply Managements (ISM) manufacturing and Nonmanufacturing Business Activity Index (NMBAI) in the transition equations. We find that the developments in the ISM manufacturing index affect the regime-switching probabilities in both bull and bear stock market periods. The business activity in nonmanufacturing sectors, on the other hand, has a bearing only on bull market periods. We also test for the possibility of a common factor influencing both stock returns and business confidence in the manufacturing sector by estimating a time-varying MS model with the US industrial production in the transition equation. We find that the null hypothesis of a fixed transition probability MS model cannot be rejected when the US industrial production index is included in the transition equation of a time-varying MS model. We conclude that the information content in the ISM manufacturing confidence index, such as expectational shifts, has a separate influence on the stock market regimes over and above that of actual developments in industrial production.

Global Liquidity and Financial Stress: Evidence from Major Emerging Economies

ABSTRACT We examine the relationship between financial stress and global liquidity for the so-called fragile five emerging economies (Brazil, India, Indonesia, South Africa, and Turkey). By using an extensive set of variables that take into account the structural characteristics of these economies, we construct a financial stress index. We then use a Markov regime switching model to identify the high financial stress episodes. We examine periods of heightened financial stress and its relationship to high incidence of domestic and global disturbances. Finally, we construct a global financial liquidity index and assess the relationship between financial stress and global liquidity. Using a bivariate Markov regime switching VAR model, we find a regime-dependent relation between global liquidity and financial stress. Moreover, global liquidity shocks seem to strain these emerging economies in such a way that global illiquidity heightens financial stress.

TESTING CAPM USING MARKOV SWITCHING MODEL: THE CASE OF COAL FIRMS

Abstract In this study, the relation between the coal firms that are traded in New York Stock Exchange and S&P500index is analyzed. The return of the coal firms and the market return are analyzed by using traditional CAPM and two-stateMarkov regime switching CAPM (MS-CAPM). According to the Likelihood Ratio test, two-state regime MS-CAPM gives better results and indicates a non-linear relation between return and risk. It is found that beta shows variability in regard to low and high volatile periods making linear CAPM to provide deviated results.1

Regime-Dependent Effect of Crude Oil Price on BRICS Stock Markets

ABSTRACT In this study, the dynamic relation between global crude oil prices and stock prices is investigated in terms of crude oil-exporting and -importing countries. The relationship between crude oil prices and stock prices is examined for BRICS countries (Brazil, Russia, India, China, and South Africa) for the periods of January 1995 to December 2016 by means of the Markov Switching Vector Autoregression (MS-VAR) model. The impulse-response analysis results suggest that the responses of the stock market to an oil price shock vary over the regimes for all countries. Specifically, we find that the responses of the stock market to an unexpected oil price shock are positive and statistically significant in the high-volatility regime in all countries except for China, and these results suggest that the increase in oil prices may be evaluated by demand-side shock in these countries.

SPOT VE VADELİ PİYASALAR ARASINDA RİSK DURUMUNDA NEDENSELLİK İLİŞKİSİ

Bu calismada, BIST 30 Endeksinin spot ve vadeli islemleri arasindaki nedensellik iliskisinin risk durumlarina gore incelenmesi amaclanmistir. Bu baglamda calismada Hong vd. (2009) tarafindan gelistirilen nedensellik testi kullanilmistir. Hong vd. (2009) tarafindan onerilen test yontemi iki asamadan olusmaktadir. Ilk asamada logaritmik getiri serilerinin birinci ve ikinci momenti tahmin edilmekte ve belirli risk duzeylerinde getiri serileri icin riske maruz degerler hesaplanarak, bu degerleri asan donemler risk donemleri olarak nitelendirilmektedir. Ikinci asamada ise soz konusu donemler icin BIST 30 Endeksinin spot ve vadeli islemleri arasinda asagi yonlu nedensellik iliskisi arastirilmaktadir. Nedensellik test sonuclari spot piyasadan vadeli piyasaya yonelik bir nedensellik iliskisine isaret etmektedir. Calismada ulasilan bu sonuclar risk yoneticilerinin ve portfoy yoneticilerinin yatirim stratejilerini belirlemede onemli bir role sahiptir. Cunku vadeli islemlerin riskten korunma amacli yapilmasi, risk durumlarinda nedensellik iliskisinin onemini daha da arttirmaktadir.

Testing causal relation among central and eastern European equity markets: evidence from asymmetric causality test

Abstract The aim of this study is to analyse the presence of a causal link among financial markets of Central and Eastern Europe (CEE) countries by adopting an asymmetric causality test. The standard causality test results suggest a causal relation running from the Czech Republic to Poland. Also, the Poland stock market is found to be a Granger cause of Turkey stock markets. Asymmetric causality test results indicate only a causal link going from the Czech Republic to Hungary and Poland. In addition, the presence of financial integration between Germany and CEE equity markets cannot be determined.

ENFLASYON BELİRSİZLİĞİ İLE PAY SENEDİ GETİRİSİ VE VOLATİLİTESİ ARASINDAKİ İLİŞKİ: TÜRKİYE ÖRNEĞİ

Bu calismanin amaci, enflasyon oranlari ile pay senedi piyasasi arasinda nedensellik iliskisi olup olmadigini arastirmaktir. Bu amacla enflasyon oranlari ve pay senedi getiri serileri GARCH model ile tahmin edilmis ve varyansta nedensellik testi kullanilarak enflasyon belirsizliginden pay senedi getirisi ve volatilitesine yonelik nedensellik iliskileri arastirilmistir. Elde edilen sonuclara gore, enflasyon belirsizligi ile pay senedi piyasasi arasindaki nedensellik iliskisi donemlere gore farklilik gostermektedir. Ozellikle kriz donemlerinde enflasyon belirsizliginden pay senedi piyasasina yonelik nedensellik iliskisi bulunmustur. http://dx.doi.org/10.17130/ijmeb.2016icafr22432

Downside Business Confidence Spillovers in Europe: Evidence from Causality-in-Risk Tests

This paper employs an extreme risk spillovers test to investigate the bilateral business confidence spillovers between Greece, Italy, Spain, Portugal, France, and Germany. After controlling for domestic economic developments in each country and common international factors, downside risk spillovers are detected as a causal feedback between Spain and Portugal and unilaterally from Spain to Italy. Extremely low business sentiments in France, Germany, and Greece are mostly due to the common adverse economic environment and to each country’s own domestic economic developments.