Nazmi Demir

Sentimental herding in Borsa Istanbul: informed versus uninformed

This study searches for sentimental herding in Borsa Istanbul (BIST) using a state-space model for two distinct groups of investors/traders. We expect to find no sentimental herding in BIST30 as the investors are closely following the market, given their access to maximum amount of information and high quality of guidance from the world-known intermediaries that reduce information asymmetries. However, as the SNM investors are mostly local investors with smaller assets and with higher level of information asymmetry, we expect to find evidence of sentimental herding. As expected, we find no evidence of herding by the BIST30 investors from 2000 to 2013. In contrast, our findings provide evidence that the SNM investors demonstrate sentimental herding persistently and independently from market fundamentals in three stages: evidence of herding in the first stage (2000–2004), a 4-year (2005–2008) no-herding calm period and finally a volatile adverse herding pattern (2009–2013) where fundamentals about the firm values became more important.

MEASURING THE DEGREE OF BLOCK INTERDEPENDENCE BETWEEN AGRICULTURAL AND NON-AGRICULTURAL SECTORS IN TURKEY

Based on the similarity of productive activities carried out by sectors, national input-output (IO) matrices may be divided into sub-matrices each representing a broader group of sectors called blocks. The strength of linkages among sectors that belong to different blocks would then show the degree of block interdependence. The measurement of this degree is useful in many areas including structural change analysis, evaluation of various support policy alternatives or for deciding whether a general or a partial equilibrium framework should be used to investigate the effects of an exogenous shock to a particular sector or a block. This paper introduces a technique that can be used to gauge the degree of block interdependence based on simulation results from demand and supply-side IO models. The application of the technique is illustrated for the case of interdependence between agricultural and non-agricultural blocks in Turkey which recently signed a Customs Union Agreement with the EU. The results indicate that, although Turkeys Agreement covers trade relations in non-agricultural sectors alone, the agricultural sectors must face indirect effects the magnitude of which depend, to a great extent, on the degree of interdependence between blocks considered here.

Foreign banks: executive jobs for Turkish women?

Purpose – The purpose of this paper is to examine the employment policies and practices of Turkish banks and how these practices affect the hiring and promotion of women. Turkeys banking sector consists of state‐owned, private, and foreign banks. The overall restructuring of this sector along with the increase of foreign banks is an opportunity to enquire whether human resource (HR) policies of foreign banks have a differential effect on womens employment.Design/methodology/approach – Data were collected in three phases. Phase 1: employment data for all three bank types were analyzed with particular reference to womens employment. About 12 of the largest banks were selected for in‐depth study representing each of the three bank categories. Phase 2: bank‐specific data were collected from the HR directors including: bank structure, personnel and recruitment policies, management levels, women in each level and professional employment application. Phase 3: structured personal interviews were conducted with...

The role of firm characteristics on the relationship between gender diversity and firm performance

Purpose – The purpose of this paper is to understand the effect of gender diversity on firm performance and evaluate how that relationship is influenced by some firm-specific factors for firms in an emerging market. Design/methodology/approach – The authors collected firm level financial data and firm level characteristics for the firms listed in BIST100 index of Borsa Istanbul for the period between 2002 and 2006. Due to endogeneity of gender diversity and firm performance, the authors utilize unbalanced panel data with 2SLS specification. To observe the sensitivity of results across measures of performance, three measures of performance, two accounting-based and one market-based, are utilized. Findings – Overall, the authors find some weak evidence that gender diversity impacts firm performance. In particular, the findings imply significant association between gender diversity and firm performance for firms that are targeting local markets, for firms in the financial sector and for firms that are family...

The Effect of News on Return Volatility and Volatility Persistence: The Turkish Economy during Crisis

Abstract: In this study, we investigate the effect of public information arrival on return volatility for Borsa Istanbul. New information arrival is measured by the number of daily news headlines for Turkey, the United States, and a sample of European countries with close trading ties with Turkey. We classify news headlines by country and type of news. Our findings indicate that, during a recessionary period, new information arrival causes return volatility mostly to decline. Moreover, both economic news and European news cause a significant decline in volatility persistence. However, when news is classified based on origin and type, a larger decline in persistence is observed.

Structural change in agriculture and water requirements in Turkey

This paper investigates the effects of the post-1980 structural reforms in Turkey on the strength of inter-industry linkages between agricultural and non-agricultural sectors, and discusses the implications of the changing strength of these linkages for water consumption by the Turkish economy as a whole. For this purpose, we first solve demand- and supply-side input-output models under alternative scenarios concerning the nature of linkages between agricultural and non-agricultural sectors in 1979 and 1990. We then calculate the direct and indirect water requirements of production in 32 sectors and estimate the amount of water embodied in agricultural and manufacturing exports of Turkey.

Sentiment and Beta Herding in the Borsa Istanbul (BIST)

Abstract This study searches for sentimental herding in Borsa Istanbul (BIST) during the last decade using a state-space model employing cross-section standard deviations of systematic risk (Beta). It has been found that herding toward the market in the BIST-100 is both statistically significant and persistent independently from market fundamentals such as the volatility of returns and the levels of market returns. Herding trends over the sample period indicate that the financial crisis in 2000–2001 appeared to bring about sentimental herding in BIST which was followed by a calm period during which investors turned to fundamentals. Thereafter, we observe a volatile adverse herding pattern till the end of 2011 due to the confusing environment caused by the internal and external events.

News Releases and Stock Market Volatility: Intraday Evidence from Borsa Istanbul

In this study, we investigate the effect of public information arrival on return volatility for Borsa Istanbul (BIST) using intraday, 60-min returns between October 3, 2013 and March 31, 2014. Stock return and return volatility is expected to react to news arrival if such news causes market participants to adjust their portfolios. To measure new information arrival, we count the number of daily news headlines for Turkey, the United States, and a sample of European countries with close trading ties with Turkey. Furthermore, we focus on economic news and particularly on news on real economy and inflation. In addition, along with the BIST100 index, which is the most commonly used market portfolio index, we also utilize Second National Market (SNM) index. Our results show that news arrival influences return volatility negatively, and it has no significant effect on index returns. Moreover, return volatility responds significantly to negative surprises in GDP and inflation announcements. Finally, we do not provide evidence that indicates differences in the usage of information that arrives to the market between BIST100 and SNM investors.In this study, we investigate the effect of public information arrival on return volatility for Borsa Istanbul (BIST) using intraday, 60-min returns between October 3, 2013 and March 31, 2014. Stock return and return volatility is expected to react to news arrival if such news causes market participants to adjust their portfolios. To measure new information arrival, we count the number of daily news headlines for Turkey, the United States, and a sample of European countries with close trading ties with Turkey. Furthermore, we focus on economic news and particularly on news on real economy and inflation. In addition, along with the BIST100 index, which is the most commonly used market portfolio index, we also utilize Second National Market (SNM) index. Our results show that news arrival influences return volatility negatively, and it has no significant effect on index returns. Moreover, return volatility responds significantly to negative surprises in GDP and inflation announcements. Finally, we do not provide evidence that indicates differences in the usage of information that arrives to the market between BIST100 and SNM investors.

A Test for a Functioning Market Economy: Seton'S Eigenprices of Turkey

We use Setons eigenprices to see if some evidence can be found in support of the European Commissions official statement that the Turkish economy can be considered as a functioning market economy. Given an input–output flows matrix, there is a unique set of prices for outputs and production factors compatible with final demand, generating demand for factors. The findings based on Turkeys most recent I–O table and comparable I–O matrices for Romania and Poland (two EU members) in 2005 show that price distortions were on average five times larger in Turkey. Hence, based on price distortions alone, there was no solid evidence in support of the statement that Turkey had a functioning market economy.