Uluslararası Ticaret ve Finans Bölümü Koleksiyonu
Permanent URI for this collectionhttps://hdl.handle.net/20.500.12469/67
Browse
Browsing Uluslararası Ticaret ve Finans Bölümü Koleksiyonu by browse.metadata.publisher "Elsevier"
Now showing 1 - 5 of 5
- Results Per Page
- Sort Options
Article Citation - WoS: 8Citation - Scopus: 11Does mood affect institutional herding?(Elsevier, 2020) Gavriilidis, Konstantinos; Kallinterakis, Vasileios; Öztürkkal, BelmaDrawing on a unique data set of daily portfolio holdings for Turkish mutual funds we investigate the relationship between mood and institutional herding on the premises of various established mood proxies (weekend effect; holiday effect; Ramadan; sunshine). Results indicate that fund managers in Turkey herd significantly, with their herding growing in magnitude as the number of active funds per stock rises and appearing stronger on the buy-than the sell-side. Although the relationship of mood with institutional herding occasionally assumes the correct sign as per theoretical expectations, institutional herding is found to be insignificantly different across various mood states, thus denoting that mood does not impact the propensity of fund managers to herd. (C) 2020 Elsevier B.V. All rights reserved.Article Citation - WoS: 1Citation - Scopus: 1A Max–min Model of Random Variables in Bivariate Random Sequences(Elsevier, 2021) Bayramoğlu, Ismihan; Gebizlioğlu, Ömer LütfiWe introduce a max–min model to bivariate random sequences and applying bivariate binomial distribution in fourfold scheme derive the distributions of associated order statistics in a new model. Some examples for special cases are presented and applications of the results in reliability analysis and actuarial sciences are discussed.Article Citation - WoS: 6Citation - Scopus: 6Political Turmoil and the Impact of Foreign Orders on Equity Prices(Elsevier, 2020) Tiniç, Murat; Savaşer, TanseliThis paper examines whether foreign investors possess an information advantage over local investors in the Turkish stock market between 2007 and 2015. We find that foreign investors have an information advantage in 24 stocks, corresponding to seven percent of the sample firms. Foreign investors' information advantage tends to prevail primarily during a period of political instability, which started with the Gezi Park protests in June 2013. The adverse selection component of the foreign trade spreads, which reflects a permanent change in stock prices, rises significantly after June 2013, by 66 bps. Our results suggest that domestic investors' funding constraints, which limit their ability to impart their information on stock prices, may give foreign investors a relative information advantage during periods of political turmoil. (C) 2020 Elsevier B.V. All rights reserved.Editorial Citation - Scopus: 1Recent Advances in Applied and Computational Mathematics: Icacm-Iam(Elsevier, 2014) Akyildiz, Ersan; Gebizlioğlu, Ömer Lütfi; Karasözen, Bülent; Uğur, Ömür; Weber, Gerhard Wilhelm[Abstract Not Available]Article Citation - WoS: 3Citation - Scopus: 4The Speed of Stock Price Adjustment To Corporate Announcements: Insights From Turkey(Elsevier, 2020) Ersan, Oğuz; Şimşir, Serif Aziz; Şimsek, Koray D.; Afan, HasanThe market reaction speeds to the news flow are currently measured at the millisecond level in developed markets. We investigate, using a unique setting from Turkey, whether the market reaction speeds in less sophisticated markets are on par with those of developed markets. We find that market reaction times to corporate announcements are slower than documented in recent studies, although markets react to positive news more quickly than negative news. When high-frequency traders are more active in the market prior to announcements, the speed of price adjustment is slower. Finally, we find sizable profit opportunities for investors following event-driven strategies.
