
Aydin YukselTED University · Department of Business Administration
Aydin Yuksel
PhD
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36
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Introduction
Publications
Publications (36)
Examining the gradual information diffusion hypothesis of Hong et al. (2007) in an emerging market context, we show that industry returns possess predictive information regarding the direction of the aggregate stock market in Borsa Istanbul, both in-and out-of-sample, and that the predictive power of industries is often magnified by crisis conditio...
This paper documents an economically significant risk premium associated with a currency’s sensitivity to time-varying risk aversion. Consequently, an investment strategy that takes a long (short) position in currencies with high (low) sensitivity to aggregate market risk aversion yields significantly positive excess returns. While advanced market...
We propose a dynamic, forward-looking hedging strategy to manage stock market risks via positions in REITs, conditional on the level of risk aversion. Our findings show that REITs do not only offer significant risk reduction for passive portfolios, but also offer much improved risk-adjusted returns with the greatest benefits observed for Australia,...
This paper documents an economically significant risk premium associated with a currency's sensitivity to time-varying risk aversion. Consequently, an investment strategy that takes a long (short) position in currencies with high (low) sensitivity to the aggregate market risk aversion yields significantly positive excess returns. While advanced mar...
This paper shows that time-varying oil return volatility predicts regime transitions across a majority of global stock sectors, particularly for durables, financials, industrials, oil & gas, telecommunications and utilities. Global stock sectors yield significantly higher returns during periods of low oil market uncertainty and an active, forward-l...
This paper shows that time-varying oil return volatility predicts regime transitions across a majority of global stock sectors, particularly for durables, financials, industrials, oil & gas, telecommunications and utilities. Global stock sectors yield significantly higher returns during periods of low oil market uncertainty and an active, forward-l...
This paper examines the predictive power of the U.S. term structure over return volatility in emerging stock markets. Decomposing the term structure of U.S. Treasury yields into two components, the expectations factor and the maturity premium, we show that the U.S. term structure indeed contains predictive information over emerging stock market vol...
We propose a dynamic, forward-looking hedging strategy to manage stock market risks via positions in REITs, conditional on the level of risk aversion. Our findings show that REITs do not only offer significant risk reduction for passive portfolios, but also offer much improved risk-adjusted returns with the greatest benefits observed for Australia,...
This paper examines the predictive power of the U.S. term structure over return volatility in emerging stock markets. Decomposing the term structure of U.S. Treasury yields into two components, the expectations factor and the maturity premium, we show that the U.S. term structure indeed contains predictive information over emerging stock market vol...
Utilizing the recently developed measure of global risk aversion by Xu (2017), we show that global risk aversion is a significant determinant of international equity correlations, consistently across all emerging markets examined. The positive effect of risk aversion on emerging market comovements is particularly strong for South Africa and Turkey...
Economics Letters, forthcoming.
Utilizing the recently developed measure of global risk aversion by Xu (2017), we show that global risk aversion is a significant determinant of international equity correlations, consistently across all emerging markets examined. The positive effect of risk aversion on emerging market comovements is particularly st...
This paper examines the time-series predictability of reversals in an emerging stock market, Borsa Istanbul. We show that short-term reversals, thus the payoffs to the contrarian strategy, are predictable with the market state found as the primary predictor. The reversal effect is driven by flight to quality stocks with high earnings and low price...
The aim of this paper is to analyze the impact of the Global Financial Crisis (GFC) on the co-integration relationship between the REIT and stock market indices using a sample of 10 developed countries. The main tool employed for this purpose is the dynamic co-integration approach. The empirical results strongly suggest that the stock and REIT mark...
One problem encountered when examining the Fisher hypothesis is that various policy changes and economic shocks may induce structural shifts in the long-run relation. We explore the argument that panel cointegration tests based on common correlated effect estimators have reasonably good power and size properties, even in the presence of structural...
This study examines the generalized Fisher hypothesis as applied to common stocks by using the recently proposed second generation panel cointegration tests. Unlike their predecessors, these new tests assume the existence of cross-section dependence in the data. For the sample analyzed, we report that these new tests, but not their predecessors, pr...
This paper uses credit spread data on Japanese bond indices to examine the possibility
of a change in the determinants of daily credit spreads after the outbreak of the global financial crisis
of 2007. A set of variables identified by prior research are used in a GARCH setting to explain credit
spread changes both before and after the start of the...
The objective of this study is to analyze the relationship between banking sector stock index and consumer price index in seven countries. While there exist numerous studies in the literature on the relationship between stock market index and consumer price index, only few publications examine the relationship between sector indicies and consumer p...
In this research we examine the ability of West’s bubble test [1] in detecting speculative bubbles using Brock’s (1982) [2] intertemporal general equilibrium model of asset pricing as the basis for a simulation study. In this setting, (1) the economy, by construction is efficient and produces the maximally possible amount of welfare for society, an...
This paper aims to extend the empirical literature on the relationship between liquidity and stock returns by providing evidence from the Istanbul Stock Exchange. By using share turnover as the proxy for liquidity, this relationship is examined in two alternative ways. First, Fama and MacBeth (1973) cross-sectional regressions are employed with liq...
Bu çalışma hisse senetlerinin likiditesi ve fiyatı arasındaki ilişkiyi bu konunun henüz araştırılmadığı bir pazar olan İstanbul Menkul Kıymetler Borsası’nın verisi kullanarak incelemektedir. Çalışmada iki sorunun cevabı aranmıştır. İlk olarak, likiditenin yatay kesit hisse senedi getirilerini etkileyen firma karakteristikleri arasında yer alıp alma...
Recent evidence from US stock markets shows that pairs trading strategy earns positive abnormal profits. The profitable implementation of this strategy requires the existence of strong arbitrage forces to make the prices of the stocks in a pair converge soon after the position is opened. This paper argues that arbitrage forces and as a result the p...
Motivated by prior evidence that the relation between temperature and stock returns may be spurious, this study investigates the extent to which accounting for seasonality changes the explanatory power of temperature for stock index returns. Prior research using monthly data indicates that the portion of variability in stock returns that is explain...
This study measures the performance of the pairs trading strategy in an emerging stock market setting, using the methodology of Gatev et al. (2006). Distance-based pairs trading methodology gives an average excess return of 5.4 % for the top 20 best pairs portfolios. Although statistically significant, these results for the self-financing portfolio...
Based on the 'mixture of distribution' hypothesis, this paper investigates the relationship between trading volume and conditional volatility of returns by using 12 emerging stock market indices over the period between January 2000 and August 2006. The results show that when total trading volume is included in the conditional volatility equation as...
Recent evidence from U.S. markets shows that IPO underpricing is associated with high liquidity for issuing firms. One explanation given for this link is that IPO firms simultaneously decide on share retention and underpricing to maximize aftermarket liquidity. We use data from the Istanbul Stock Exchange (ISE) to provide international evidence. Ou...
This study examines price resolution an emerging market that uses a very large relative tick size. Intraday transaction data from the Istanbul Stock Exchange are used to provide evidence concerning clustering when prices change and when they do not change. The results show that in this one-tick market there exists little if any clustering. The clus...
This paper uses a unique data set to examine the possibility of a structural change in contemporaneous volume-return relation on the Istanbul Stock Exchange (ISE) during the Russian crisis in 1998. The comparison of the relationship during the crisis period to those during pre- and post-crisis periods shows that there was a structural change regard...
Thesis (Ph. D.)--Michigan State University. Dept. of Finance, 2000. Includes bibliographical references (leaves 200-207).