Ayben Koy

Ayben Koy
Istanbul Ticaret University · Department of Banking and Finance

Associate Professor, Phd
Istanbul Ticaret University Finance and Banking

About

76
Publications
38,268
Reads
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217
Citations
Citations since 2017
59 Research Items
205 Citations
2017201820192020202120222023010203040
2017201820192020202120222023010203040
2017201820192020202120222023010203040
2017201820192020202120222023010203040
Introduction
Ayben Koy is an Associate Professor of Finance at Istanbul Ticaret University, Istanbul, Turkey. She holds a Ph.D. in Finance from Istanbul University. She has worked in the banking sector and the health sector before her academic career. She wrote two books on derivative markets. She is a co-author of a book in financial econometrics. Her areas of research interest include derivatives, capital markets, and nonlinear econometric analysis. website: ayben.ist
Additional affiliations
March 2017 - June 2020
Istanbul Commerce University
Position
  • Professor (Associate)
June 2012 - March 2017
Istanbul Commerce University
Position
  • Research Assistant
Education
September 2011 - July 2016
Istanbul University
Field of study
  • Finance
September 2007 - July 2010
Yildiz Technical University
Field of study
  • Business
October 2000 - July 2004
Istanbul University
Field of study
  • Economics

Publications

Publications (76)
Article
In this study, two simulation models have been developed to predict the main stock price index of Borsa Istanbul (BIST100) with an artificial intelligence approach. In order to analyze the role of technical indicators in intraday predicting of stock markets, two different artificial neural network models have been developed in which different param...
Article
Purpose This study investigates the effect of unproven energy reserve news on the volatility of energy firms' stocks. Thus, investors' perception of unproven energy reserves is revealed. Additionally, the study aims to determine whether the effect of the news changes according to time and volatility level. Design/methodology/approach The general a...
Book
Full-text available
Türev piyasaları, çıkış noktasından hareketle emtia türevleri açısından ele alan, opsiyon ve vadeli işlem sözleşmelerini hem ürün hem de piyasalar açısından emtia örnekleri ile anlatan bu çalışmada; emtiaya dayalı endeks, swap gibi diğer emtiaya dayalı türev ürünlere de yer verilmiştir. Başlıca emtia borsaları hakkında bilgiler içeren kitapta, opsi...
Poster
Full-text available
Competition on Islamic Finance!
Article
Davranışsal finansın son otuz yıldaki yükselişi finans ve ekonomi çevrelerinde hissedilmiş ve eldeki belirli uygulamalar ile araştırmacıların insan davranışlarının rasyonel veya irrasyonel yönlerinin sonuçlarını değerlendirilmiştir. Bununla birlikte de, bireys 1el piyasa katılımcılarının psikolojik durumu ve bu durumun likit piyasalardaki fiyatları...
Article
Covid-19 pandemisinin borsalar üzerindeki etkisi 2020 yılının ilk çeyreğinde büyük bir çöküş ve hızlı bir toparlanma süreci olarak gerçekleşirken, kapanma önlemleri ile birlikte finans piyasalara büyük bir ilgi ve yatırımcı sayılarında artışa sebep olmuştur. Özellikle aşının bulunmasından sonra finans piyasalarındaki olumlu seyir çok sayıda halka a...
Article
Full-text available
Çalışma, pandemi nedeniyle borsalarda yaşanan çöküşün V tipi toparlanmasını takip eden 3 aylık dönemde SP500 ve Dow Jones Industrial (DJI) arasındaki gün içi fiyat ilişkilerini incelemektedir. Momentum Eşik Değerli (MTAR) eşbütünleşme ve hata düzeltme modelleri ile yapılan analizler, ABD borsalarında gün içi doğrusal olmayan asimetrik ilişkinin var...
Article
Full-text available
In the last twenty years, many huge ups and downs have been seen in not only oil prices but also in other spot and derivative' energy prices too. This study has two main purposes. The main purpose of the study is to detect bubbles and their beginning and ending dates in energy derivatives futures prices. Crude oil WTI, natural gas, and heating oil...
Conference Paper
Full-text available
The study examines intraday price relationships between SP500 and Dow Jones Industrial (DJI) in the 3 months following the V-type recovery from the stock market crash due to the pandemic. Analysis with Momentum Threshold Value (MTAR) cointegration and error correction models revealed the existence of an intraday non-linear asymmetric relationship i...
Conference Paper
The increase in the use of computers and mathematics in the financial ecosystem appears in an unprecedented manner with the widespread use of algorithmic trading, technical analysis, and artificial intelligence. The number of professionals trading with artificial intelligence supported models in financial markets continues to increase, as even robo...
Article
Full-text available
This paper empirically examines the relationship between stock prices and volumes for the selected Middle Eastern and North African countries (Bahrain, Dubai, Egypt, Israel, Jordan, Kuwait, Lebanon, Oman, Qatar, and Saudi Arabia). We employ Markov Regime Switching Vector Autoregressive Model (MSVAR) to analyze the relationship in bearish and bullis...
Article
Full-text available
Blok zincir sisteminde işlem gören en yeni inovatif finansal ürünlerden biri olan kripto paralar, yatırımcılardan yüksek ilgi görmektedir. Kripto para piyasasının en yüksek işlem hacimli ürünü Bitcoin (BTC), gösterdiği yüksek oynaklıklar ve spekülatif fiyat balonları ile de ön plana çıkmıştır. BTC’nin volatilite yapısında ABD borsa endeks getiriler...
Chapter
Full-text available
Mevcut ödeme sistemlerine bir alternatif olarak ortaya çıkan kripto paralar, beraberlerinde getirdikleri avantajları ve kullandıkları teknoloji ile kısa sürede finans dünyasının dikkatini çekmiştir. Kripto paraların kullanımı, 2008 krizi sırasında hükümet ve merkez bankalarının algılanan başarısızlıklarına yanıt olarak da hızlanarak artmıştır. Gel...
Chapter
While the concerns about the future were reflected in the asset prices in a very short time, the reactions of the stock markets to the pandemic were seen as investors behaving very nervously and selling the financial assets. This study examines the volatility structure of the US stock market during the ongoing pandemic period with the help of Marko...
Article
Full-text available
Numerous academic studies have been conducted on the relationship between transaction volume and prices of securities in financial markets, especially in stock markets. This study differs from its examples in the literature with its two characteristics: 1) The direction of the relationship changes while the price-volume relationship in stock indice...
Chapter
Full-text available
While the concerns about the future were reflected in the asset prices in a very short time, the reactions of the stock markets to the pandemic were seen as investors behaving very nervously and selling the financial assets. This study examines the volatility structure of the US stock market during the ongoing pandemic period with the help of Marko...
Article
Full-text available
2002-2019 dönemini ele alan bu çalışmada, Türkiye'deki konut arzının belirleyicileri arasında yer alan ekonomik büyümenin ve konut finansmanının konut üretimi üzerindeki etkisi tespit edilmeye çalışılmıştır. Çalışmada elde edilen sonuçlar, ülke genelindeki makroekonomik koşulların konut arzı üzerinde daha etkili olduğunu, finansmanın bir göstergesi...
Article
Full-text available
This paper aims to determine the significance relation and direction of stock markets and exchange rate on Fragile five Countries (South. This study applied the VAR Analysis and Granger Causality Test to determine the relationship between exchange rates and stock indexes. The results show that South Africa and Turkey exchange rates and stock indexe...
Article
Full-text available
With the rising importance of carbon markets, the new derived financial instruments and indicator indexes related to carbon markets have been raising researchers’ appetite. According to that aspect, to investigate the relationship between price formation in carbon markets and equity prices of these firms trading in carbon markets is one of the aims...
Article
Full-text available
This article aims to analyze the relationship between the stock markets in Africa (Egypt, Kenya, Morocco, Nigeria and South Africa). The sample used in the study is beginning from 2009 to 2018 in a weekly data range. The main findings in the study are: (1) price indices of Casablanca stock exchange are not influenced by other stock markets in the l...
Conference Paper
Full-text available
The last financial Crisis is considered the worst economic trouble in the U.S after the great depression in the 1930s. The Housing bubble forced many banks to go bankrupt as most borrowers were unable to pay back the money. Others appealed for help from the Fed to get loans and cover the maximum of their loss. This paper attempts to study the effec...
Conference Paper
Full-text available
Pay piyasaları başta olmak üzere finans piyasalarında menkul kıymetlerin işlem hacmi ve fiyatları arasındaki ilişki üzerine çok sayıda akademik çalışma yapılmıştır. Bu çalışma iki özelliği ile literatürdeki örneklerinden farklılık arzetmektedir: 1) pay senedi endekslerindeki fiyat-hacim ilişkisi, gün içinde gerçekleşen en yüksek fiyat-hacim ilişkis...
Conference Paper
Full-text available
Blok zincir sisteminde işlem gören en yeni inovatif finansal ürünlerden biri olan kripto paralar, yatırımcılardan yüksek ilgi görmektedir. Kripto para piyasasının en yüksek işlem hacimli ürünü Bitcoin, gösterdiği yüksek oynaklıklar ve spekülatif fiyat balonları ile de ön plana çıkmıştır. Bitcoinin volatilite yapısında ABD borsa endeks getirilerinin...
Conference Paper
Full-text available
Doğada nadir bulunmasına karşılık kullanım alanlarının fazla olması özellikle de endüstriyel katkısı nedeniyle uluslararası piyasalarda işlem gören en önemli dört kıymetli metalin iki tanesini platin grubu metaller olan platin ve paladyum oluşturmaktadır. Çalışmada, platin grubu kıymetli metallerden platin ve paladyum için Dow Jones Sanayi Endeksi...
Article
Full-text available
Son yıllarda Türk Lirasının yabancı para birimleri karşısında oynaklığı artmış, özellikle 2018 yılının ikinci yarısından itibaren yaşanan politik problemler TL’nin ABD Doları karşısında büyük oranda değer yitirmesine neden olmuştur. Yaşanan gelişmeler, döviz kuru üzerine daha geniş bir dönemi kapsayan yeni çalışmaların yapılmasını da gündeme getirm...
Article
Full-text available
While blockchain systems are taking place in the financial sector with new products in various fields of use, crypto coins, one of the prominent products of this system, continue to search for their price and value. Similar signs of price increases in crypto currencies and subsequent collapses starting from the second quarter of 2017 started to be...
Book
Full-text available
“Finans Biliminde Ekonometri Uygulamaları” içerdiği program uygulamaları ve literatür örnekleri ile, teori ve pratiği buluşturarak değerli okuyucularına ulaşmayı amaçlamış ve böylelikle bu alanda ülkemizde görülen önemli bir açığı kapatmayı hedeflemiştir. Konu aktarımları formüller ile açıklanmasından ziyade, ekonometri programlarından kullanımı ko...
Chapter
Full-text available
This chapter empirically examines the relationship between stock prices and stock volumes for Borsa Istanbul, the only stock exchange in Turkey. The price-volume debate has been a common focus in the literature as the chicken-egg dilemma probably since the financial markets started to operate in a competitive manner. This chapter employs Borsa Ista...
Article
Full-text available
Türkiye Pay piyasası, uluslararası sermaye piyasalarındaki likiditeden en çok etkilenen piyasalardan birisidir. Amerikan Merkez Bankası (FED) ve Avrupa Merkez Bankası (ECB)'nın vermiş olduğu para politikası kararları gibi küresel ekonomiyi etki altına alan çok sayıda değişken ile ülkeye özgü değişkenler, pay piyasasına yönelik sermaye hareketlerini...
Chapter
Full-text available
One of the rules of being successful in the international competition is having technology-intensive manufacturing areas. The investments made in the defense industry, and the recognition of the products that are being produced in this area as technology-intensive products, are increasing the importance of the defense expenditures and the economic...
Chapter
Full-text available
After the Asian financial crisis was solved by International Monetary Fund in late 1997, the recovery in Asian economies begun by 1999. Most of the countries affected by the crisis needed to change their exchange rate policies. This chapter brings insight on how the international portfolio flows to Asian stock markets are affected from the shocks o...
Article
Full-text available
Oil futures prices, which have undergone major changes, maintain an important research topic for academics. Oil prices, which tended to decline for political and economic reasons in the 1990s, fell to as low as 12 US dollars after the Asian Crisis, rising again in 2002. The oil prices, which have fallen again after the 2008 crisis, have not reached...
Article
Full-text available
Due to their volatility differences, yield differences and low correlations with equity markets, metal futures are held for diversification in the international investors' portfolios. Beginning with dot.com bubble and following global crisis, the mutual movement of equity markets caused investors to canalize alternative investment vehicles. The stu...
Article
Full-text available
Due to the evolutions in the financial markets, characteristics of markets have been changed. It has become important to discuss the markets which the fast and frequent fluctuations are observed among the regimes they belong to. There are two main purpose of the study. The first purpose of the study is to investigate whether mutual regime switching...
Article
Full-text available
Bubbles are deviations of financial asset prices from random walk process and have been present in many stock markets in history. The purpose of the study is detecting bubbles and their beginning and ending dates in ten emerging markets. By the help of Sup Augmented Dickey Fuller (SADF) and Generalized Sup Aug�mented Dickey Fuller (GSADF) tests,...
Chapter
After the Asian financial crisis was solved by International Monetary Fund in late 1997, the recovery in Asian economies begun by 1999. Most of the countries affected by the crisis needed to change their exchange rate policies. This chapter brings insight on how the international portfolio flows to Asian stock markets are affected from the shocks o...
Article
Full-text available
This study investigates the mutual regime switching mechanism of the stock markets in Brazil, India, Indonesia, Turkey and South Africa. The regime dynamics of these five capital markets which have been called as the Fragile Five (FF) are analyzed by Multivariable Markov Regime Switching Vector Autoregressive (MMS-VAR) Model. These five countries'...
Chapter
Full-text available
Çalışma, Doç Dr Aysel Gündoğdu editörlüğündeki Finansal Yönetim kitabının 14. bölümünden alınmıştır. Kitabın tamamı Seçkin Yayınevi'nden temin edilebilir.
Article
Full-text available
The financial markets which are observed with fast and frequent fluctuations, have many periods of growth and shrinkages. In this study, Markov Regime Switching Models which explain the switching behaviour between those periods by using the Markovian process are used. The study examines the price changes of BIST 30 Price Index Futures since the est...
Article
Full-text available
The aim of this study is to analyze whether the precious metals have a nonlinear pattern by using Multivariate Markov Switching Vector Autoregressive Models (MMS-VAR). The observation period is between 02 January 2002 and 28 March 2016 and includes daily closed prices of gold, silver, palladium and platinum. Research results have evidence that the...
Article
Full-text available
Investor’s psychological and emotional factors lead to irrationality in financial decision making and anomalies in prices. Investor sentiment and psychology help to elucidate phenomena in financial markets that cannot be explained by traditional theory. The aim of this study is two-fold: it investigates whether mutual regime switching behavior exis...
Article
Full-text available
Due to the fact that oil prices had a falling outlook after the global crisis, modeling oil market prices has been a topic of interest among researchers. The goals of this study are to investigate the recession or growth periods of oil futures markets using Markov switching autoregressive models, and to analyze the models' durations and probabiliti...
Chapter
Full-text available
This study investigates whether nonlinear relationship resulted from mutual regime switching mechanism exists in the European CDS’s markets during crisis. Multivariate Markov Switching Autoregressive Model that captures the switching mechanism is used. We analyzed the daily CDS spreads of Ireland, Italy, Portugal and Spain those most affected in Eu...
Article
Investor’s psychological and emotional factors lead to irrationality in financial decision making and anomalies in prices. Investor sentiment and psychology help to elucidate phenomena in financial markets that cannot be explained by traditional theory. The aim of this study is two-fold: it investigates whether mutual regime switching behavior exis...
Article
Full-text available
Bu çalışmanın temel amacı, metal vadeli işlem fiyatlarının daralma ve genişleme dönemlerini Markov Rejim Değişim Otoregresif Modellerini kullanarak analiz etmektir. Çalışmada, durasyon ve olasılıkların tespiti ile yatırımcılara aldıkları kararlarda bilgi vermek de amaçlanmıştır. Bir Markov Rejim Değişim modelinde rejimler veya durumlar arasındaki g...
Thesis
Full-text available
Hızlı ve sık dalgalanmaların yaşandığı finans piyasaları, çok sayıda daralma ve büyüme dönemleri yaşamaktadır. Bu çalışmada, ekonomilerin ve finans piyasalarının içinde bulunduğu dönemler arasındaki geçişleri, bir Markov Süreci ile açıklayan Markov Rejim Değişim Modelleri kullanılarak, Türkiye Vadeli İşlem Piyasasını Etkin Piyasa Hipotezi kapsamınd...
Article
Full-text available
Volatility which is an important indicator for the investors who invest in equity markets, keep a large area in finance literature. In this study, Generalized ARCH-type models (GARCH-EGARCH-TARCH) are applied to the daily closing prices of ISE Banks, ISE Industrial, ISE Services, ISE Wholesale and Retail Trade Indices. The analyzing period is betwe...
Conference Paper
Full-text available
This paper examines the linkages between the foreign exchange rates, spot equity index and equity index futures. The study aims to investigate whether there is difference between the spot and futures markets in the scope of relation with the foreign exchange rates’ returns and which leads the other. The relationships are examined by using the vec...
Article
Full-text available
Bu çalışmada Türkiye’de pay senetleri fiyatları ile döviz kurları arasındaki ilişki, VAR metodu (vektör oto regresyon modeli) kullanılarak araştırılmıştır. Döviz kurları ve pay senedi fiyatlarından oluşan değişkenler arasında doğrusal bir bağıntı olup olmadığının tespiti amacıyla bu model kullanılmıştır. Bu amaçla, döviz kurları, BİST Banka ve BİST...
Article
Full-text available
This paper examines the linkages between the foreign exchange rates, spot equity index and equity index futures. The study aims to investigate whether there is difference between the spot and futures markets in the scope of relation with the foreign exchange rates' returns and which leads the other. The relationships are examined by using the vecto...
Article
Full-text available
This study investigates the effects of ownership structure on the performance of the listed companies in Borsa Istanbul Stock Exchange 30 Firms (BIST 30). The main hypothesis of our study is that there is a significant relationship between companies' performances and their ownership structures. The statistical population includes 19 non-financial c...
Article
Full-text available
In this study, by examining the relationship between CDS (Credit Default Swaps) premiums and bonds during 2009-2012 period that covers The European Debt Crisis period, it is intended to expose which one is more powerful as a leading indicator. The relationship between CDS premiums and bonds premiums of eight countries were examined by unit root...
Conference Paper
Full-text available
The link between stock prices and Credit Default Swaps (CDS) spreads is important for risk managers to make an investment decision. Furthermore, the choice of sector is important in the preference of the investors. The literature have different evidences as there is a powerful relation with the country CDS and the equity indices or not. This study...
Article
Full-text available
zet Çalışmada, CDS (Kredi Temerrüt Swapı) ve Euro-tahvil primleri arasındaki ilişkinin Avrupa Borç Krizi'nin başlangıç dönemini de içine alan Ocak 2009-Kasım 2012 döneminde ne şekilde gerçekleştiği incelenerek, bir öncü gösterge olarak hangisinin daha güçlü olduğunun ortaya konulması amaçlanmıştır. Seçilmiş sekiz ülkeye ait CDS primleri ile Euro-ta...
Article
Full-text available
This paper has been an evidence that Three-Factor Asset Pricing Model is valid in the portfolios which composed by small equity stocks, consequently Capital Asset Pricing Model is still important and valid against all of the critics.
Thesis
Full-text available
Günümüz iş dünyasında işletmeler her geçen gün daha karmaşık risklerle karşılaşırken, gelişen ve yenilenen risk yönetim modelleri ile çözümler sağlanmaya çalışılmaktadır. Kurumsal Risk Yönetimi, işletmelerin tüm paydaşlarının sorumluluk ve haklarını riske odaklamayı, entegre risk yönetim uygulamaları ile risklerini daha iyi yöneterek fırsatları gör...

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