Ihsan Erdem Kayral- Doctor of Philosophy
- Professor (Associate) at Başkent University
Ihsan Erdem Kayral
- Doctor of Philosophy
- Professor (Associate) at Başkent University
About
57
Publications
8,246
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134
Citations
Introduction
Current institution
Additional affiliations
September 2022 - August 2024
OSTIM Technical University
Position
- Professor (Associate)
October 2022 - present
July 2010 - September 2018
Publications
Publications (57)
Our investigation strives to unearth the best portfolio hedging strategy for the G7 stock indices through Bitcoin and gold using daily data relevant to the period 2 January 2016 to 5 January 2023. This study uses the DVECH-GARCH model to model dynamic correlation and then compute optimal hedge ratios and hedging effectiveness. The empirical finding...
We developed a novel model combining the partial least squares structural equation modeling (PLS-SEM) and Artificial Neural Network (ANN) to examine the relationships between demographic variables, spousal support, financial satisfaction, and marital satisfaction. The sample comprised 948 Turkish participants who completed the Spousal Support Scale...
Accurate forecasting of tourism demand and income holds paramount importance for both the tourism industry and the national economy. This study aims to address several objectives: (1) specify the best forecasting model in the prediction of tourist arrival volumes and tourism income for Turkey; (2) assess the degree of impact exerted by various dete...
This study provides an in-depth analysis of the dynamic connectedness among BRICS-plus stock indices, focusing on three distinct periods: pre-COVID-19 era, during the COVID-19 pandemic, and the Russia-Ukraine conflict. Utilizing the Quantile Vector Autoregressive (QVAR) connectivity approach, our methodology starts with the median quantile and syst...
This study aims to investigate the influence of the quality of governance on economic development among 38 OECD countries using a panel data approach. The data was gathered from the World Bank database for the period of 2002-2021 and consists of six governance indicators and two macroeconomic variables. The independent variables are the six governa...
This study provides an in-depth analysis of the dynamic connectedness among BRICS-plus stock indices, focusing on three distinct periods: pre-COVID-19 era, during the COVID-19 pandemic, and the Russia-Ukraine conflict. Utilizing the Quantile Vector Autoregressive (QVAR) connectivity approach, our methodology starts with the median quantile and syst...
This study examines the interconnectedness between the NASDAQ Clean Edge Green Energy Index and the primary stock indices of the G7 nations, divided into two equal periods of 948 trading days each, covering pre- and post-COVID-19 scenarios from October 22, 2015, to March 8, 2024. Employing a Quantile Vector Autoregressive (QVAR) model in conjunctio...
This study aims to analyze the drivers behind price changes in agricultural products in Türkiye from 2002 to 2021, considering the impacts of three crises of different causes which are the global food crisis, the Russia–Türkiye aircraft crisis, and the COVID-19 pandemic. The potential factors are categorized into four subgroups: governmental effect...
This study examines the impact of two significant global events, the COVID-19 and the Russia-Ukraine Conflict, on market volatility of leading exchange-traded funds (ETFs) across five sectors between 03/01/2017 and 03/01/2024. Our analysis is based on ETFs from the Health Care, Transportation, Telecommunications, Energy and Alternative Energy secto...
Purpose- The purpose of this study is to elaborate the current impressive standing of the market in order to pave the way for future academic work. Methodology- The study employs primary data analysis of the P2P lending market. Also a detailed update literature analysis is realized. Findings- The analysis reveals that the financial conditions preva...
Çin, ilk COVID-19 vakasını 31.12.2019 tarihinde Dünya Sağlık Örgütü'ne bildirmiştir. Bununla birlikte söz konusu virüs kısa sürede aralarında Türkiye’nin de bulunduğu çok sayıda ülkeye yayılmıştır. 22.04.2021 tarihi itibariyle Dünyada 145 milyondan fazla vaka tespit edilirken, 3.2 milyonda fazla insan hayatını kaybetmiştir. COVID-19, bu ülkelerdeki...
Bu çalışmanın amacı, Türkiye’de TÜRİB Arpa (TRBARP), TÜRİB Buğday (TRBBGD) ve TÜRİB Mısır (TRBMSR) endekslerinde haftanın günü etkisinin varlığını incelemektir. Bu amaçla 01.04.2021 (endekslere ait ilk işlem günü) ile 24.01.2022 arasındaki dönemde endekslerin getiri serileri kullanılmıştır. Endeks getirilerinde değişen varyans (heteroskedastisite)...
Bu çalışmanın amacı, Türkiye’de TÜRİB Arpa (TRBARP), TÜRİB Buğday (TRBBGD) ve TÜRİB Mısır (TRBMSR) endekslerinde haftanın günü etkisinin varlığını incelemektir. Bu amaçla 01.04.2021 (endekslere ait ilk işlem günü) ile 24.01.2022 arasındaki dönemde endekslerin getiri serileri kullanılmıştır. Endeks getirilerinde değişen varyans (heteroskedastisite)...
Çalışmada 2019 yılı ve öncesi piyasaya çıkmış 5 milyar dolar pazar
hacminin üzerindeki 20 kripto paranın COVID-19 öncesi ve COVID-19
dönemde zayıf formda piyasa etkinliği test edilmiştir. Bu amaçla 18.07.2010
- 07.04.2021 tarihlerinden oluşan analiz dönemi pandemi öncesi ve pandemi
dönemi olmak üzere iki alt döneme ayrılmış, birim kök testleri k...
Bu çalışmada, Türkiye’de yatırımcılar tarafından
yakından izlenen konut piyasası ve benzer şekilde
yatırımcıların yakından takip ettiği yatırım araçları
arasındaki kısa ve uzun dönemli ilişkinin incelendiği bir
ampirik çalışma gerçekleştirilmiştir. Söz konusu ampirik
çalışmada Ağustos 2012 – Ağustos 2021 arasındaki veri setinin kullanılmasına...
Çin, ilk SARS-CoV-2 (COVID-19) vakasını 31.12.2019 tarihinde Dünya Sağlık Örgütü'ne (DSÖ) bildirmiştir. Bununla birlikte söz konusu virüs kısa sürede Dünya'da 200'den fazla ülkeye yayılmıştır. 07.04.2021 tarihi itibariyle Dünyada 133 milyondan fazla vaka tespit edilirken, yaklaşık 2.9 milyon kişi hayatını kaybetmiştir. Pandemi koşullarında hükümetl...
The Coronavirus (COVID-19) pandemic has had a significant impact on most countries’ social and economic perspectives worldwide. Unemployment has become a vital challenge for policymakers as a result of COVID-19′s negative impact. Because of the nonstationary and nonlinear nature of the dataset, researchers applied various time series models to fore...
Amaç: Bu çalışmanın amacı, 11.3.2020 ve 9.9.2020 tarihleri arasında Türkiye’deki koronavirüs hastalığı-2019 [coronavirus disease (COVID-19)] hasta sayılarını ve üstel düzgünleştirme modelini (exponential smoothing model) kullanılarak 2020 yılı sonuna kadar hasta sayılarının tahmin edilmesidir. Gereç ve Yöntemler: Türkiye Cumhuriyeti Sağlık Bakanlığ...
EXTENDED ABSTRACT Throughout history, the countries have experienced many national, regional, and global crises and these crises have a significant effect on the economies. Not only the political and economic development but also wars, natural disasters, and pandemics are the important crises on the economies. In this sense, the world economy has e...
COVID-19 infection data of Emerging 7 (E7) countries, namely Brazil, China, India, Indonesia, Mexico, Russia, and Turkey were described by an empirical model or a special case of this empirical model. Near-future forecasts were also performed. Moreover, the causalities between the Stringency Index's indicators and total cases in E7 countries in COV...
COVID-19 infection data of Emerging 7 (E7) countries, namely Brazil, China, India, Indonesia, Mexico, Russia, and Turkey were described by an empirical model or a special case of this empirical model. Near-future forecasts were also performed. Moreover, the causalities between the Stringency Index’s indicators and total cases in E7 countries in COV...
The aim of this study is to analyze the efficiency of 28 EU member countries’ stock exchanges in a precrisis, postcrisis, and after-crisis period country based and group based including the 2008 Global Financial Crisis and the EU Debt Crisis period in weak form. For this purpose, the data of these 28 countries are divided into four groups as precri...
The aim of this study is to compare volatility persistence with daily volatility and to analyze the asymmetry effect of volatilities in stock markets of emerging economies. Using daily observations of stock market indices of selected major emerging countries during the period of January 1, 2002 to December 31, 2018, the authors estimate the persist...
https://nobelyayin.com/detay.asp?u=16177
Globalization plays an important role in the world trade thanks to its
integrative effect on economics, politics and cultures. However, it does not
have only advantages but disadvantages as well. It is clear that the financial
crisis spreads suddenly all around the world due to globalization (Davulis,
2012). While markets have interrelations and de...
https://www.peterlang.com/view/9783631815786/html/ch23.xhtml
Bu çalışmada krizin başladığı 2008 ve takip eden beş yıllık süreç kriz dönemine dahil edilmiş, takip eden 6 yıllık dönem ise ikinci alt dönem olarak benzer analizlerle incelenmiştir. Buna göre, küresel piyasalardaki konumunu sahip oldukları yüksek potansiyel ile hızlı bir şekilde artıran Brezilya, Çin, Hindistan, Rusya ve G. Afrika’dan oluşan BRICS...
Within the scope of this study, the weak-form efficiency of BIST Sector Indices are
analyzed using traditional unit root tests, structural break unit root tests and panel
unit root tests for the period 01.01.2015- 01.01.2020. According to the Augmented
Dickey-Fuller (ADF) and PP Test results, which are traditional unit root tests, all
indices are f...
Finansal zaman serilerinde görülen değişen varyans sorununun (ARCH etkisi) sonucu olarak otoregresif koşullu değişen varyans modelleri bulunmuştur. Çalışmamızda, piyasa değeri en yüksek üç kripto paranın [Bitcoin (BTC), Ethereum (ETH) ve Ripple (XRP)] getirileri incelenmiş ve söz konusu getirilerde finansal zaman serilerine benzer şekilde ARCH etki...
This study aims to examine the long-term and short-term relationships between BIST Istanbul, BIST Ankara and BIST Izmir City Indices in Borsa Istanbul (BIST) City Indices and Dollar and Euro for the period of 07.01.2009 - 07.01.2019. Models in the context of the study, natural logarithms of closing prices of the variables are used. Relations betwee...
Bu çalışmanın amacı, Borsa İstanbul (BİST) Şehir Endeksinde yer alan nüfusu en yoğun beş şehirde (İstanbul, Ankara, İzmir, Bursa, Antalya) 01.08.2010 – 01.08.2019 döneminde ay içi ve ay dönümü anomalilerin varlığının incelenmesidir. Çalışma kapsamında, getirilerin hesaplanması için söz konusu şehirlerin borsa endekslerinin (XSIST, XSANK, XSIZM, XSB...
As a crucial component of the financial sector, banks play an intermediary role in creating and providing financial services to customers. Therefore, the evaluation of banking sector activity is important for stakeholders and managers. This paper investigates the key criteria in analyzing bank performance and efficiency and the relative performance...
Within the scope of this study, the existence of short-term and long-term relationship between BIST Food Beverage Index, which is one of the sub-indices covering food and beverage companies listed on Borsa Istanbul, and Food Indices on global market are analyzed for the period of 07.01.2013 – 07.01.2019. In this sense, the aim of this study is to d...
In Borsa Istanbul, volatility data is calculated as subtracting five different trading days from the current trading day. From these calculations, the shortest-term period, the medium-term calculation period and the longest-term period are determined as 21, 63 and 252 respectively. Within the scope of our study, the aim is to analyse the dynamic fo...
The purpose of this study is to test the presence of the day of the week and turn-of-the-month (tom) anomalies in Benelux Countries stock markets in ten years (03.01.2010 – 03.01.2019) period. Three stock markets’ daily closing prices in Belgium (BEL20), Netherlands (AEX) and Luxembourg (LUXX) are used to obtain return series. It is found that the...
Bu çalışmada E-7 ülke borsalarında 01.01.2009-
31.12.2018 döneminde ay içi anomalisinin varlığı incelenmiş ve tüm borsalarda farklı dönemlerde söz konusu anomalinin bulunduğu tespit edilmiştir.
This chapter examines whether the central bank policy behaviors of E-7 countries are valid by using a Taylor type monetary policy response function. In this context, the policy response function of banks is analyzed by using monthly data for the 2008-2018 period. Then, unit root tests of ADF (Augmented Dickey Fuller), PP (Philips Perron), IPS (Im P...
In developed and emerging economies, capital markets play a major role in tranforming savings into investment. The high profit expectation of the investors in the capital markets of the emerging economies increase the curiosity about predicting future prices. The aim of this study is to test weak-form efficiency of 20 stock markets in G-20 members...
This paper investigates the key criteria in the bank efficiency and performance analysis and the relative performances of 11 Turkish banks based on these predetermined criteria over the years 2015-2017. The main purpose of this study is to introduce a robust and easy-to-calculate mathematical model for the assessment of the financial performance of...
Borsa İstanbul, volatilite verilerini geçmiş 21, 42, 63, 126, 252 işlem günü için hesaplamaktadır. Çalışmamız kapsamında BİST100 endeksinin 01/01/2002-31/12/2018 döneminde kapanış fiyatlarından borsa getirileri hesaplanmıştır. Söz konusu borsa getirilerinden yola çıkılarak analiz döneminin son tarihinden Borsa İstanbul’un hesaplamalarında baz aldığ...
Borsa İstanbul, volatilite verilerini geçmiş 21, 42, 63, 126, 252 işlem günü için hesaplamaktadır. Çalışmamız kapsamında BİST100 endeksinin 01/01/2002-31/12/2018 döneminde kapanış fiyatlarından borsa getirileri hesaplanmıştır. Söz konusu borsa getirilerinden yola çıkılarak analiz döneminin son tarihinden Borsa İstanbul’un hesaplamalarında baz aldığ...
Kriz, hayatın birçok aşamasında küçük ve büyük ölçekte karşılaşılan sorunlar için kullanılan bir sözcük olmakla birlikte bu kitap kapsamında, kriz kelimesini uzmanlık alanım açısından ekonomi ve finans literatüründeki kullanımıyla sınırladım. Alanda uzmanlaşmış meslektaşlarım kriz kavramına ilişkin kapsamlı bir bilgiye sahip olsalar da, 1929 Dünya...
Autoregressive conditional heteroskedasticity models are found in consequence of heteroskedasticity problem in financial time series. In our study, we find that returns of the Istanbul Stock Exchange Food And Beverage Index have an ARCH effect but they have not a unit root problem according to results of PP and ADF Tests. We apply ARCH (1) and GARC...
In this paper, the effects of the US stock market returns, exchange rate changes and volatilities on stock market volatilities in 10 emerging market economies between 2000-2013 (also two sub-periods covering the time between 2000-2007, and between 2008-2013) have been analysed with separate 30 VAR models. According to the analysis, the fact that th...
Within the scope of this paper, causalities of the US stock market returns and volatilities on stock market volatilities in Group of 7 (G-7) economies between 2000-2013 have been analysed with Granger causality tests. All volatilities are obtained from conditional variance of returns in stock exchange with GARCH (1,1)
model (except Japan stock exch...
Turkish Abstract: Bu çalışmada Türkiye’nin nüfus açısından en büyük üç şehrinin konut fiyatlarındaki değişimleri etkileyen faktörler incelenmiştir. Bu kapsamda Ocak 2010 – Ağustos 2016 döneminde İstanbul, Ankara ve İzmir’in hedonik konut fiyat endeksindeki değişimleri etkileyen faktörler çift log modelleri kullanılarak ileriye doğru seçim yöntemiyl...
Turkish Abstract: Finansal zaman serilerinde görülen değişen varyans sorununun sonucu olarak otoregresif koşullu değişen varyans modelleri bulunmuştur. Bu kapsamda simetrik ve asimetrik modeller uygulanmıştır. Bu çalışmada, Türkiye’de altın piyasası endeksi volatiliteleri için en uygun koşullu değişen varyans modeli araştırılmıştır. Çalışma kapsamı...
In this paper, the most suitable models are determined for exchange rate volatilities by
using the daily Dollar and Euro returns data from 2002 to 2015, and the causalities between
these volatilities and returns have been studied. TARCH (1,1) model is determined as the most
appropriate model for Dollar and Euro exchange rates by using symmetric ARC...
In this study, we examine the presence of day-of-the-week anomaly on the daily returns at Borsa Istanbul (BIST) and eight major stock exchanges in developed countries with regression models for the period 1993-2012. Also, this time period is seperated into subperiods of five to ten years in lenght and regression analysis is applied for these time p...
Although London appeared as the first international financial center on the world, the number of these kind of centers show a notable increase in the recent years. Those centers are regarded as magnetic places for the economic issues and they also serve as important economic centers. In the scope of this work, the definition and criteria for the in...
