Pınar Evrim Mandaci

Ownership Concentration, Managerial Ownership and Firm Performance: Evidence from Turkey

Ownership Concentration, Managerial Ownership and Firm Performance: Evidence from Turkey This study examines the effects of ownership concentration and managerial ownership on the profitability and the value of non-financial firms listed on the Istanbul Stock Exchange (ISE) in the context of an emerging market. We measure the firms performance by Return on Assets (ROA) and Tobins Q ratios, where the former measures profitability and the latter the value of the firm. In addition, we give detailed information on the main characteristics of the ownership structures of the firms in our sample and find that ownership of Turkish firms is highly concentrated. In addition, the unlisted holding companies have the highest average percentage of shares, which supports the belief that individuals or families establish the holding companies in order to control their listed firms. After controlling for investment intensity, leverage, growth and size, we find that ownership concentration has a significantly positive effect on both firm value and profitability, while managerial ownership has a significantly negative effect on firm value.

The long-run relationship between the spot and futures markets under multiple regime-shifts: Evidence from Turkish derivatives exchange

The paper examines the long-run relationships between the spot and future prices of Istanbul Stock Exchange 30 index (ISE-30) and foreign currencies including the Turkish Lira-US Dollar (TL/USD) and Turkish Lira-Euro (TL/EUR). We analyze the weekly data covering the period from February 9, 2005 to October 17, 2012. Considering structural breaks is important for our analysis since our period consists of recent financial crisis. Therefore, we employ the unit root tests developed by Carrion-i-Silvestre et al. (2009) and the Makis (2012) cointegration test allowing for an unknown number of breaks. We find that spot and the futures prices are cointegrated in the long-run after we consider structural breaks in our data. Our results indicate that the markets are efficient.

Co-movements of REIT indices with structural changes before and during the subprime mortgage crisis: evidence from Euro-Med markets

This paper examines the long-run relationships between the REIT indices of the UK, Turkey and Israel in the Euro-Med zone with that of MSCI US REIT Index by using weekly data over the period 2003Q3 through 2009Q3, which includes the latest US subprime mortgage crisis and its effects on global stock markets. Although our EG test results do not indicate a long-run relationship, after taking account of the structural changes by applying the GH test, we find a long-run interaction between the REIT indices of UK and Israel with that of the US. However, our results indicate the lack of co-movement between REIT index of Turkey with the US. In addition, our dynamic OLS test results indicate a perfect relationship between the UK and the US indices. Our findings show that international investors who make long-term investments can only gain from diversifying into the real estate market of Turkey among the involved markets in the Euro-Med zone.

Ebb and flow? Co-integration with structural breaks between emerging markets in the EMEA and USA

In this paper, we try to analyse the long-run relationship between the stock prices of emerging markets in the Europe, Middle East and Africa (EMEA) region and the US market. Our aim is to find out whether these markets provide opportunities for international diversification to US investors. We employ the Gregory and Hansen (GH) (1996) co-integration test, which takes into account the structural breaks to analyse co-movements of the emerging markets in the aforementioned region with the USA over the period 1995-2008 using monthly data. We only find a long-run relationship between stock indices of Israel and the USA.

Examining the Relationship between the Stock Returns and Earnings Measures – Evidence from Borsa Istanbul

This paper investigates the relationship between stock returns and different types of earnings measures (such as net income, gross profits, operating profitability, cash-based operating profitability and accruals) for the firms traded on Borsa Istanbul. We construct portfolios by sorting firms according to the implied earning measures from low to high and analyze whether there are differences among them. Our sample period is from June 2007 to December 2015 covering 172 firms in average. Our results consistent with the previous studies indicating the profitability of equally and in some cases value weighted extreme portfolio investment strategies based on earnings measures.

The interactions between oil prices and Borsa Istanbul sector indices

This paper investigates the effects of the US crude oil prices (OIL) on some selected sub-sector indices of the Borsa Istanbul (BIST) including BIST-Chemical Petroleum, Plastic, (BIST-CHE), BIST-Textile-Leather (BIST-TEX), BIST-Metal Products, Machinery (BIST-MET), BIST-Transportation (BIST-TRS), BIST-Electricity (BIST-ELC), BIST-Food Beverage (BIST-FOB), BIST-Wood-Paper-Printing (BIST-WPP), and BIST-Wholesale and Retail Trade (BIST-WRT). We employ the vector fractionally integrated autoregressive moving average (VARFIMA) model to examine the linkages between the OIL and the selected sub-sector indices by using daily data between 1997 and 2012 including the recent global financial crises. Our results indicate that while the stock price series of some sub-sector indices are non-stationary, but mean-reverting, those of some others are non-stationary and non-mean reverting. The changes in the oil prices have permanent effects on itself and on the levels of the selected subsector indices. The empirical results show that oil prices and the selected sub-sector indices are significantly interconnected.

EFFECT OF INVESTOR SENTIMENT ON STOCK MARKETS

Motivation of this study is to examine the relationship between investor sentiment and stock market by taking financial crisis period into account. When literature is examined, it is seen that there is a deficiency in this respect. Although there are studies examining same phenomena, none of them has considered the impact of financial crisis. To eliminate this deficiency, we have employed tests with structural breaks rather than conventional ones. At the end of these tests, structural breaks are observed at crisis period as it is expected. By employing data for the period December 2003- December 2012 existence of co-integration, which is an indicator of a long-term relationship between variables, is proved. This is a significant insight showing that consumer confidence index is a critical factor which is in an interaction with stock markets. Keywords: Stock Markets, Investor Sentiment, Consumer Confidence Index, Financial Crisis, Cointegration