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Öğe The Effects of Terrorism on Turkish Financial Markets(TAYLOR & FRANCIS LTD, 2-4 PARK SQUARE, MILTON PARK, ABINGDON OR14 4RN, OXON, ENGLAND, 2019) Aksoy, Mine; Demiralay, SercanIn this research, we analyzed how Turkish financial markets and foreign investors in the stock market reacted to the terror attacks in Turkey. Our analysis, which was performed using the terror index for the stock market and the foreign exchange market, revealed that returns, abnormal returns, and cumulative abnormal returns were not affected by the terror attacks; however, foreign investors in the stock market were affected. When the geographic regions of the terror attacks were analyzed, the findings showed that foreign investors were negatively affected mainly by the terror attacks that occurred in southeast Anatolia. Attack type and target type were important only for foreign investors. An evaluation of the interaction between the terror attacks and the markets with the involvement of the terrorist organizations indicated that only the foreign investors in the stock market were affected by Al-Qaeda and PKK-linked terror attacks. An evaluation of the effect of terror attacks in foreign countries on Turkish financial markets revealed no effect on the domestic stock market and foreign exchange markets. We also examined the volatility spillovers from the terror index to the stock market and found that terrorist attacks increased the volatility of the stock market.Öğe Energy demand and stock market development in OECD countries: A panel data analysis(Pergamon-Elsevier Science Ltd, 2017) Ulusoy, Veysel; Demiralay, SercanThis paper investigates the impact of stock market developments on oil and electricity demand of OECD member countries. We conduct different panel data methodologies and use annual data ranging from 1996 to 2011. The overall findings substantiate that income, real prices, size of the stock market and liquidity are important determinants for both oil and electricity demand. We also compute long-run elasticity coefficients by using a simple Partial Adjustment Model (PAM) and find that the long run elasticity coefficients are larger than the short run parameters. Moreover, our results show that the demand for oil and electricity is inelastic with respect to both own real price and real income over the short-run and the long-run. From a policy making perspective, the findings suggest that potential policy tools to reduce energy consumption may not be useful as the demand for energy is inelastic with respect to energy prices. Our results also manifest that although stock market deepening variables do not have a large effect on energy use as energy price and economic growth have, market size and liquidity significantly affect energy consumption. Therefore, energy demand estimations based on solely energy price and income may be inaccurate when some stock market development indicators are excluded. The empirical findings of this paper provide further insights for policy makers, energy companies and energy economists in terms of demand management policies and pricing decisions.Öğe Global Risk Factors and Stock Returns During Bull and Bear Market Conditions: Evidence From Emerging Economies in Europe(UNIV ECONOMICS-PRAGUE, OECONOMICA PUBL, NAM W CHIRCHILLA 4, PRAGUE 3, CZ-130 67, CZECH REPUBLIC, 2019) Demiralay, SercanThis paper explores the dependence of emerging European stock markets (Bulgaria, Croatia, Czech Republic, Hungary, Poland, Romania, Russia, Turkey and Ukraine) on global risk factors (changes in gold prices, US implied volatility index and oil prices) based on daily data from 6 January 2004 to 31 December 2013. We employ a quantile regression model to analyse how the global factors affect stock returns under different market circumstances, such as bearish (lower quantiles), normal (intermediate quantile) and bullish (higher quantiles) times. Empirical results reveal that the response of stock markets is heterogeneous; larger equity markets, such as Poland, Russia and Turkey, are highly sensitive to the global factors while Bulgaria is the least sensitive. Overall, the dependence on gold and oil prices is positive while the dependence on US stock market uncertainty is negative. Additionally, in most of the cases, the dependence intensifies during bear market conditions, in which stock prices fall.Öğe STOCK-BOND CO-MOVEMENTS AND FLIGHT-TO-QUALITY IN G7 COUNTRIES: A TIME-FREQUENCY ANALYSIS(Blackwell Publishing Ltd, 2018) Bayraci, Selcuk; Demiralay, Sercan; Gencer, Hatice GayeThis paper examines co-movement between stock returns and changes in 10-year government bond yields as well as flight-to-quality behaviour in G7 countries. We conduct the wavelet squared coherence analysis to explore the dynamics in both time and frequency domain. Our results provide evidence of positive co-movements, which vary over time and across investment horizon. The higher co-movement is found to be more concentrated in the lower frequency bands. We further analyse the dynamic nature of the scale-dependent wavelet correlations and find that the correlations are highly volatile and significantly increase across different time scales during the episodes of equity market turbulence. The increase in correlations reflects flights from stocks to safer bond investments as a result of dramatic changes in investor sentiment and risk aversion at times of market stress. © 2017 Board of Trustees of the Bulletin of Economic Research and John Wiley & Sons LtdÖğe Time-varying diversification benefits of commodity futures(PHYSICA-VERLAG GMBH & CO, PO BOX 10 52 80, 69042 HEIDELBERG, GERMANY, 2019) Demiralay, Sercan; Bayracı, Selçuk; Gencer, Hatice GayeThis paper analyzes the conditional diversification benefits (CDBs) of commodity futures. We utilize three distinct classes of empirical models in order to explore the additional value of commodities in stock portfolios. Firstly, the dynamic equicorrelation model is conducted which allows us to compute the average conditional correlations for a large number of assets. Secondly, we employ the dynamic conditional correlation (DCC) technique to examine pairwise correlations between commodity futures and equity markets. Thirdly, using the time-varying correlations derived from the DCC model, we quantify the diversification benefits through time within the context of CDB measure. By constructing six hypothetical portfolios, our results point out that the portfolio consisting of the commodity futures and the emerging stock markets exhibits the lowest equicorrelation level. The cross-sectional differences in the bivariate correlations show that the energy and metal futures have the highest level of co-movements with the equities. Our findings also reveal that the inclusion of commodity futures into the emerging and developed market portfolios increases the diversification benefits although these benefits deteriorate negligibly in the episodes of financial turmoil. The futures that offer the highest diversification benefits are lean hogs, feeder cattle, natural gas, orange juice, and gold. Our empirical results provide significant insights for portfolio managers and global investors to assess the gains from investments in commodity futures.
