Nildag Basak Ceylan

Effects of soccer on stock markets: The return-volatility relationship ,

Abstract This paper assesses the effects of domestic soccer teams’ performances against foreign rivals on stock market returns as well as on the return–volatility relationship. Data from Chile, Spain, Turkey and the United Kingdom support propositions that soccer teams results in international cups affect stock market returns and the return–volatility relationship. Evidence from Spain and the UK, soccer powerhouses, suggests that losses are associated with lower returns and higher risk aversion but evidence from Chile and Turkey, where soccer is the most important sport but teams are not as successful, reveals that wins are associated with higher returns and lower risk aversion.

An interest-rate-spread-based measure of Turkish monetary policy

A coherent method to measure the effectiveness of a monetary policy improves the monetary authority’s management capacity and renders the possibility of applying sound policies prior to and during a crisis. The trend in employing complicated and ambiguity-bearing unconventional monetary tools in the aftermath of the 2008 crisis has increased the value of such a method. The aim of this article is to introduce a coherent and consistent monetary policy evaluation method for Turkey. Accordingly, we suggest that innovations in the spread between overnight interest rates and Treasury auction interest rates are informative for exchange rate, output, and prices. Empirical evidence for this identification reveals that positive innovation in spread (implying a tight monetary policy measure) decreases output temporarily, permanently decreases prices, and appreciates local currency. This result is also robust to alternative specifications.

Three-factor asset pricing model and portfolio holdings of foreign investors: evidence from an emerging market – Borsa Istanbul

This article contributes to the asset pricing literature by offering an alternative missing factor: the excess holdings of foreign investors. To incorporate this factor, we mimic the portfolio of foreign investors in Borsa Istanbul (BIST) with respect to portfolio preferences (foreign ownership) using the Fama and French’s three-factor model. Our findings suggest that market factor, size, and book-to-market (B/M) variables are still statistically significant and Jensen’s alpha is still not significant, and we obtain a statistically significant negative relationship between the excess return of foreign investors’ ownership and the return variation of a given portfolio.

Trading Volume, Volatility and GARCH Effects in Borsa Istanbul

The purpose of this study is to analyze the relationship between sector indices of Borsa Istanbul in Turkey and trading volume in the framework of Mixture of Distribution Hypothesis (MDH) by using daily data covering period 23.10.1987–26.01.2017. As a model, GARCH model is used. The results of the GARCH (1,1) suggests that Borsa Istanbul sector indices show strong persistence. The findings are consistent with MDH suggesting the existence of positive volume–volatility relationships. When trading volume is added to the variance equation, the model shows the existence of a positive and statistically significant relationships between trading volume and the volatility of the sector indices suggesting that the number of information events makes the variability of the sector indices to increase. The volatility persistence also decreases in the case that the variance equation covers the volume data.

The Impact of Russian Economy on the Trade, Foreign Direct Investment and Economic Growth of Turkey: Pre- and Post-Global Financial Crisis

The purpose of this chapter is to examine the impact of Russian economy on the trade, foreign direct investment (FDI), and economic growth of Turkey by taking into account the global financial crises that occured in 2008 by analyzing the data both for the pre- and post-crises periods in addition to the whole period. The reason of choosing Russia in this study is its being the first country for Turkey in terms of foreign direct investment as of 2015 and also being one of the major trading partner of Turkey. To this end, the impact of Russian economic performance on the trade, GDP and FDI of Turkey is examined by using quarterly data for the 2002–2015 period. The data that is used in the study is obtained from Global Financial Data and Economic Data Delivery System (EDDS) of Central Bank of the Republic of Turkey. As a model, structural vector autoregressive (SVAR) model which is similar to the model of Cushman and Zha (1997) is used. The impact of the shock given to Russian GDP showed that the effect on the variables has changed when we compare pre- and post-crises periods. The impulse responses show that a shock to Russian GDP increases Turkish export, import and GDP for four periods statistically significantly. When the analysis is carried out for the pre- and post-crises periods, the findings emphasize that the impact of the shock on Turkish exports is positive and statistically significant starting from the first period, after the crises the impact has a statistically significant impact only at the first quarter. The impact of Russian GDP has no statistically significant impact on Turkish import both before and after the crises. When one standard deviation shock is applied to Russian GDP, before the crises it’s statistically significant affect is observed on Turkish GDP starting from the first period for four periods. After the crises the effect is examined only contemporaneously.

Soccer and stock market risk: empirical evidence from the Istanbul Stock Exchange.

There is an emerging but important literature on the effects of sport events such as soccer on stock market returns. After a soccer teams win, agents discount future events more favorably and increase risk tolerance. Similarly, after a loss, risk tolerance decreases. This paper directly assesses risk tolerance after a sports event by using daily data from the three major soccer teams in Turkey (Beşiktaş, Fenerbahçe and Galatasaray). Results provide evidence that risk tolerance increases after a win, but similar patterns were not found after a loss.

Effects of Football on Stock Markets: Return-Volatility Relationship

This paper assesses the effects of domestic football teams’ performances against foreign rivals on stock market returns as well as on the return-volatility relationship. The data from Chile, Spain, Turkey and the United Kingdom support the propositions that the results of football teams in international cups affect (i) stock market returns and (ii) the risk-return relationship. Evidence from Spain and the UK (countries considered football powerhouses) suggest that losses are associated with lower returns and higher risk aversion (agents become less risk loving) but the evidence from Chile and Turkey (where football is the most important sport but the teams are not as successful) reveals that wins are associated with higher returns and lower risk aversion (agents become more risk loving).