Uluslararası Ticaret ve Finans Bölümü Koleksiyonu
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Article Citation Count: 29Bank credit in uncertain times: Islamic vs. conventional banks(Elsevier Ltd, 2020) Bilgin, Mehmet Hüseyin; Danışman, Gamze Öztürk; Demir, Ender; Tarazi, AmineThis paper explores whether the impact of economic uncertainty on credit growth differs for Islamic vs. conventional banks. Using a sample of 416 banks (58 Islamic and 358 conventional) in 12 countries, the findings indicate that an increase in economic uncertainty significantly decreases the credit growth of conventional banks but does not have any significant impact on Islamic banks’ credit growth. Our results are robust to alternative specifications and addressing endogeneity concerns using GMM estimators. We further observe that our findings are stronger for the following countries: (1) countries with explicit deposit insurance protection system for Islamic banks, (2) lower foreign dominance, and (3) countries with a higher share of deposits and assets in Islamic banks.Article Citation Count: 11Bivariate Pseudo-Gompertz distribution and concomitants of its order statistics(Elsevier Science Bv, 2013) Gebizlioğlu, Ömer Lütfi; Gebizlioğlu, Ömer LütfiThis paper presents a new bivariate Pseudo-Gompertz distribution that sprouts from the classical Gompertz distribution and possesses the features of pseudo-distribution functions. In addition to some standard properties of the proposed distribution distributions of order statistics and their concomitants for samples drawn from the new distribution are obtained. The survival and hazard functions of the concomitants are shown and their values are tabled. Interpretations of the results are given in connection with risk events and risk management. (C) 2013 Elsevier B.V. All rights reserved.Article Citation Count: 4Computing finite time non-ruin probability and some joint distributions in discrete time risk model with exchangeable claim occurrences(Elsevier Science, 2017) Gebizlioğlu, Ömer Lütfi; Gebizlioğlu, Ömer LütfiIn this paper we study a discrete time risk model based on exchangeable dependent claim occurrences. In particular we obtain expressions for the finite time non-ruin probability and the joint distribution of the time to ruin the surplus immediately before ruin and the deficit at ruin. An illustration of the results is given and some implications of the results are provided. Comparisons are made with the corresponding results for the classical compound binomial model of independent and identically distributed claim occurrences. (C) 2016 Elsevier E.V. All rights reserved.Article Citation Count: 44Economic Policy Uncertainty And Bank Credit Growth: Evidence From European Banks(Elsevier B.V., 2020) Ersan, Oğuz; Ersan, Oğuz; Demir, EnderUsing a sample of 2977 private and listed banks in the EU-5 countries (the United Kingdom, Germany, Spain, Italy, France) for the years 2009–2018, this paper explores the impact of Economic Policy Uncertainty (EPU) on credit growth. Using panel data fixed effects methodology and controlling for endogeneity using two-step difference GMM estimators, our findings indicate that uncertainty in economic policies hampers the credit growth of European banks. Our bank type-based analyses indicate that the effect is mainly valid for cooperative banks. Additional analyses imply that the negative impact of EPU on credit growth is more pronounced in civil law countries, increases with debt maturity, and weakens for banks with a larger number of employees and branches. Furthermore, the unfavorable effects are stronger in well-capitalized banks, banks with foreign subsidiaries, and banks with a higher share of wholesale funding. We also provide several policy implications for different economic actors.Article Citation Count: 62Economic policy uncertainty, stakeholder engagement, and environmental, social, and governance practices: The moderating effect of competition(Wiley, 2020) Vural-Yavaş, Çiğdemhis paper investigates the effect of the economic policy uncertainty (EPU) on corporate environmental, social, and governance practices (ESG), using 6,562 firm-year observations from 15 developed European countries covering the period from 2004 to 2017. The results show that during periods of high uncertainty, firms increase their overall ESG performance, corporate environmental performance, and performance in governance. The relationship is valid for emission, resource use, workforce, management, and corporate social responsibility (CSR) strategy subdimensions of ESG. Furthermore, during periods of high uncertainty, firms operating in concentrated industries increase their overall ESG activities and corporate environmental performance. These results suggest that firms use ESG practices as risk-reducing activities like insurance, during high periods of uncertainty. Overall, consistent with the stakeholder theory, the results indicate that firms increase their ESG practices not only to reduce corporate risk-taking but also to follow value-increasing activities during periods of high uncertainty, implying an improved stakeholder engagement.Article Citation Count: 3Information cascades, short-selling constraints, and herding in equity markets(Borsa İstanbul Anonim Şirketi, 2020) Tiniç, Murat; Iqbal, Muhammad Sabeeh; Mahmud, Syed F.This paper examines the relationship between informed trading and herding in Borsa İstanbul. Our firm-level cross-sectional analysis asserts that informed trading can significantly increase future herding levels. Furthermore, we show that the relationship between informed trading and herding intensifies under short-selling restrictions. Our results confirm the predictions of the informational cascades framework where the individuals disregard their private information to follow others. We show that information cascades are relevant both for buy-side herding and sell-side herding. Short-selling restrictions may reinforce the herding behaviour since informed investors may not be able to clear out potential price misalignments.Article Citation Count: 1A max–min model of random variables in bivariate random sequences(Elsevier, 2021) Gebizlioğlu, Ömer Lütfi; 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 Count: 1Measurement of bivariate risks by the north-south quantile points approach(Elsevier Science, 2014) Gebizlioğlu, Ömer Lütfi; Gebizlioğlu, Ömer LütfiThis paper attempts to determine the Value at Risk (VaR) and Conditional Value at Risk (CVaR) measures for the sum of bivariate risks under dependence. The computation of these risk measures is performed by the north-south quantile points of bivariate distributions. The Farlie-Gumbel-Morgenstern (FGM) copula model is chosen to express dependence of bivariate risks. The behaviors of VaR and CVaR are examined by varying dependence parameter values of the copula model and probability levels of the risk measures. The findings are interpreted from the view point of portfolio risk management. (C) 2013 Elsevier B.V. All rights reserved.Article Citation Count: 5On concomitants of upper record statistics and survival analysis for a pseudo-Gompertz distribution(Elsevier Science, 2014) Gebizlioğlu, Ömer Lütfi; Gebizlioğlu, Ömer LütfiThis paper presents upper record statistics and their concomitants for a bivariate pseudo-Gompertz distribution about paired lifetime variables. Survival and hazard functions are derived for the distribution. The survival and hazard functions are displayed for some selected values of the parameters of concern. Interpretations are given for the potential reliability and actuarial applications of the obtained results. (C) 2013 Elsevier B.V. All rights reserved.Article Citation Count: 4Political 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.Article Citation Count: 2Profit sharing between managers and investors: An experimental investigation(Elsevier Science Bv, 2015) Öztürkkal, BelmaThis study analyzes the effect of interest and power structures and conflict of interest among managers and investors and tests the effect of different payout mechanisms on willingness to pay. In this study 74 student subjects are involved in a setting where the manager is determining his own compensation. A series of experiments that vary managers' ability to determine their own compensation and investors' ability to punish inappropriate behavior are reported. The experiments involve pairs of subjects consisting of an investor and a manager with asymmetric decision making powers. When managers compensate themselves inappropriately investors' recourse is to shun the company's shares-a model that arguably corresponds more closely to reality than the accepted efficient market traditional paradigm. The experiment shows that managers share profits even when investors cannot withhold investment and investors fairly compensate managers as well. This pattern explains both the ability of capital markets to function despite the presence of inherent moral hazard and occasional managerial misbehavior. Copyright (C) 2015 Borsa Istanbul Anonim Sirketi. Production and hosting by Elsevier B.V.Editorial Citation Count: 1Recent Advances in Applied and Computational Mathematics: ICACM-IAM-METU(Elsevier, 2014) Gebizlioğlu, Ömer Lütfi; Gebizlioğlu, Ömer Lütfi; Karasözen, Bülent; Uğur, Ömür; Weber, Gerhard Wilhelm[Abstract Not Available]Article Citation Count: 3The 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.
