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Introduction
Microstructure, Financial Markets, Financial Institutions, Price Formation, Market Efficiency, Stock Exchanges
Publications
Publications (25)
This article empirically studies the risk levels of individual pension portfolios, investment efficiency and also the diversification of the pension investors in Türkiye with a novel administrative data with the month-end snapshots in December 2019. To examine the risk taking behavior, investment efficiency and the level of diversification of the T...
In this study, we examine impact of Environment, Social, Governance (ESG) performance on firm value and profitability. Our large dataset gives us the chance to better conceptualize this impact. Our findings suggest that overall ESG combined score is positively and significantly associated with firm value. Individual Social and Governance scores hav...
Bu çalışmada Türkiye'deki emeklilik planı yatırımcılarının yatırım tercihleri, portföy dağılımları ve getirileri, yüksek kapsamlı idari verilerle, Aralık 2019 ay sonu değerleri ile ampirik olarak analiz edilmiştir. Prim ödemeli emeklilik planı yatırımcılarının portföy tercihlerini analiz edebilmek amacıyla, portföylerdeki hisse senetleri, borçlanma...
Intraday analyses of volatility-volume relation by decomposing the volume into number of trades and average trade size is measured in Borsa Istanbul equity market. Results confirm that the number of trades has more explanatory power over the short-term volatility comparably parallel with the existing literature. The unique maximum lot amount rule,...
Kurumsal Yönetim Endeksi (XKURY) ve kriterlerinin etkinliğinin test
edilmesi amaçlanan çalışmada, yeni bir analiz metodu olan Facebook Prop�het Analizi (FPA) kullanılmış ve 01.03.2019-30.11.2021 arasındaki günlük
değerler kullanılarak endeksin 2022 tahminleri gerçekleştirilmiştir. Sonuçlar
endeksin 2022’in ilk çeyreğinde yükseliş, ardından ise d...
Corporate governance plays an important role in overcoming agency issues and improving transparency in management and organizational culture. In corporate governance, managers fulfil the expectations of the shareholders by making decisions about the management by proxy instead of the shareholders. According to the agency theory, the primary respons...
Using a market model and principal component analysis, we investigate the existence of common effects in order imbalance in the Borsa Istanbul's option market. Accordingly, we find the presence of commonality in order imbalance for call options and an even more dominant presence in put options. We investigate the impact of this commonality on the u...
Financial institutions have adopted big data to a considerable extent to provide better investment decisions. Consequently, high-frequency algorithmic traders use a vast amount of historical data with various statistical models to maximize their trading profits. Until recently, high-frequency algorithmic trading was the domain of institutional trad...
Bir proje ya da girişimin, çok sayıdaki insan tarafından parasal destek sağlanarak fonlanması olarak tanımlanan kitle fonlaması kavramı, ilk kez resmi olarak 2009 yılında Kanada’da ortaya çıkmıştır. Amerika Birleşik Devletleri’nde (ABD) 2012 yılında düzenlendikten sonra hızla gelişmiş ve küresel ölçekte kitle fonlaması hacmi 2018 yılında 305 milyar...
Bu çalışmada Kuzey Kıbrıs Menkul Kıymetler Borsasının (KKMKB) kuruluş amacı, tarihçesi ve kuruluşunda rol almış kişi ve kurumlardan derlenen bilgilerin doğru ve tarafsız bir şekilde aktarılması hedeflenmiştir. Tarihsel süreç içerisinde kuruluşundan günümüze kadar yaşanmış gelişmeler, kuruluş kararı, ilk hisse senedi satışı ve şu anda kurumun aktif...
Order flows have important implications for well-functioning financial markets as they impose constraints on the interactions between economic agents in terms of both order flow and prices. This paper provides empirical evidence based on order flow persistence for the largest stocks traded on Borsa Istanbul as well as their corresponding futures co...
Previous evidence has shown that stocks included in (excluded from) an index exhibit significant positive (negative) abnormal returns on the announcement day, and that trading volume is affected by the event. This study examines the price and volume effects on stocks associated with the changes in the value-weighted index composition of two indices...
This study examines the momentum and contrarian effects on stock returns in one of the leading emerging markets, which has a unique market structure, with record-high inflation, high volatility, high turnover, low correlation of returns with other exchanges and myopic investors: the Istanbul Stock Exchange (ISE). It also investigates the weak-form...
There is considerable discussion about controlling volatility by imposing price limits on asset prices. We examine the effects of price limits on a stock market by testing the volatility spillover, delayed price discovery, and trading interference hypotheses in a leading emerging market, the Istanbul Stock Exchange, which has a unique market micros...
This study examines the effects of cash dividend payments on stock returns and trading volumes in the stock market. It also investigates whether there is any difference in the investment behavior of investors with respect to the dividend pay out ratio and size in the Istanbul Stock Exchange (ISE)from 1995 to 2003. Prices start to rise a few session...
Financial academics and practitioners have recognized that average stock returns are related to past performance and cross-section of stock returns is that predictable based on past returns. Number of researchers report that past losers (negative or lowest return-stocks) outperform past winners (positive or highest return-stocks) or vice versa over...
Financial academics and practitioners have recognized that average stock returns are related to past performance and cross-section of stock returns is that predictable based on past returns. Number of researchers report that past losers (negative or lowest return-stocks) outperform past winners (positive or highest return-stocks) or vice versa over...
Previous evidence of US stock markets has shown that stocks included in (excluded from) index exhibit significant positive (negative) abnormal returns on the announcement day and trading volume is effected by the event. However the existing literature has not provided a unique explanation of the results. This is the first study that examines the pr...
Dramatic volatility increases following financial market crashes over the last two decades has attracted the attention of regulators, investors and academics. There has been much discussion in policy circles to control volatility by imposing price limits on asset prices. This study examines the effects of price limits on stock market by testing the...
Price ticks represent the smallest price changes of securities trading. Previous studies have shown that changes in price ticks led to significant changes in the depth, spread, volatility and clustering figures in most of the stock markets. On April 4th, 2003 the Istanbul Stock Exchange (ISE), one of the leading emerging markets, has changed its pr...
