Hasan F. Baklaci

The impact of rational and irrational sentiments of individual and institutional investors on DJIA and S&P500 index returns

We examine the relative effects of rational and irrational investor sentiments on Dow Jones Industrial Average and S&P500 returns. The impact of rational sentiments on stock market returns is found to be greater than that of irrational sentiments. There are immediate positive responses of stock market returns to irrational sentiments corrected by negative responses in the upcoming periods. There are positive effects of past stock market returns on irrational sentiments but not on rational sentiments. The results support the economic fundamentals-based arguments of stock returns. Evidence in favour of irrational sentiments is consistent with the view that investor error is a significant determinant of stock returns.

The Impact of Firm-Specific Public News on Intraday Market Dynamics: Evidence from the Turkish Stock Market

This study attempts to discover the intraday firm-specific news announcements and return volatility relation in the Turkish stock market. The GARCH framework is utilized to investigate the impact of firm-specific public news announcements on volatility persistence with and without trading volume. For the majority of the stocks in the sample, the volatility persistence diminishes with the inclusion of firm-specific news, implying that news is impounded rapidly into prices. This effect is more pronounced for larger stocks. When there is no news, the trading volume does not appear to reduce the volatility persistence for the majority of stocks, possibly due to the presence of private information possessed by informed traders.

Performance comparison of Islamic (participation) banks and commercial banks in Turkish banking sector

Purpose – The purpose of this paper is to attempt to compare the performance of Islamic banks against conventional banks in Turkey. This comparison is much more distinctive and significant in Turkey when compared to other countries, as Turkey stands as a model for the world in interest-free banking system. Design/methodology/approach – The comparative performance analysis was conducted by means of logistic regression method during the period of 2001-2009. The CAMELS approach is utilized to assess the managerial and financial performance of banks. Findings – The results signify that Islamic banks operating in Turkey perform better in profitability and asset management ratios compared to conventional banks but lag in sensitivity to market risk criterion. These findings might mainly be ascribed to the fact that these banks allow lower provisional losses compared to conventional banks and have some tax advantages. Research limitations/implications – Utilizing a more recent and consistent data set, the analyse...

The impact of the futures market on spot volatility: an analysis in Turkish derivatives markets

The derivatives market in Turkey has been in operation since February 2005. This paper examines the impact of future trading on spot volatility by using Istanbul Stock Exchange 30 (ISE 30) Index future contracts which represent the most frequently traded future contracts in Turkish derivatives market. The main objective of this paper is to investigate whether the existence of future markets in Turkey has improved the rate at which new information is impounded into spot prices and have any persistence effect. The results gathered from the study indicate that even though it has been in operation for a short period of time, the futures market in Turkey has significantly increased the rate at which new information is transmitted into spot prices and that it has reduced the persistence of information and volatility in underlying spot market resulting in improved efficiency. The results of this study have also some important implications for policy makers discussed in the final section of this paper.

Volatility Linkages Among Gold Futures in Emerging Markets

ABSTRACT We aim to detect the cross-border volatility linkages among gold futures in emerging markets, which still remain an untapped area. China, India, Japan, Taiwan, Turkey, and U.S. futures markets are included in the sample. The volatility linkage analyses confirm the existence of volatility transmission among the majority of the sample countries’ gold futures. This article carries vital inferences and implications for policy makers and investors. The policy making is particularly important for China, which is a relatively isolated market. From investors’ perspective, the results indicate that the risk diversification and cross-market hedging opportunities in the emerging gold futures markets are quite limited.

PRICE LINKAGES AMONG EMERGING GOLD FUTURES MARKETS

The gold futures in emerging markets have gained more importance in parallel to the increase in the size of gold trading in these markets. This research aims to detect the long-run price linkages and causality effects in these markets. China, Brazil, Russia, India, Korea, Taiwan, Turkey and Indonesia have been selected to represent emerging markets. US and Japan are also included as benchmark markets. The results denote the existence of long-term price dependencies and limited risk diversification benefits in the sample countries. The results further signify that China and Russia are the most isolated countries among the emerging markets sample.

Para Tutumunun Kariyer Hedefleri Üzerindeki Etkisi: Üniversite Öğrencileri Üzerinde Bir Araştırma

Bu calismanin amaci, para tutumunun, kariyer hedefleri uzerindeki etkisini incelemektir. Universitelerin lisans duzeyinde okuyan ogrencileri uzerinde gerceklestirilen arastirmada, ortalama farklari ve coklu lineer regresyon modeli kullanilmistir. Analizler sonucunda, erkeklere gore kadinlarin parayi bir guc ve prestij sembolu olarak gorme egilimlerinin daha dusuk oldugu, daha tutumlu ve finansal planlamaya daha egilimli olduklari tespit edilmistir. Paranin guc ve prestij sembolu oldugunu dusunenler ile parasal kaygilari daha yogun olan bireylerin, calisacaklari isin dolgun maasli olmasini daha cok onemsedikleri de elde edilen bulgulardan bir digeridir.