Testing for long memory in ISE using Arfima-Figarch model and structural break test

This study examines long memory in Istanbul Stock Exchange (ISE) by using the structural break test in variance and ARFIMA-FIGARCH model. Our findings indicate that long memory does not exist in the equity return; however, it exits in volatility. Consequently, ISE is found as a weak form inefficient market due to volatility as it has a predictable component

Testing CAPM using Markov switching model: the case of coal firms

In this study, the relation between the coal firms that are traded in New York Stock Exchange and S&P500 index is analyzed. The return of the coal firms and the market return are analyzed by using traditional CAPM and two-state Markov regime switching CAPM (MS-CAPM). According to the Likelihood Ratio test, two-state regime MS-CAPM gives better results and indicates a non-linear relation between return and risk. It is found that beta shows variability in regard to low and high volatile periods making linear CAPM to provide deviated results

KKTC bankacılık sisteminin sermaye yeterliliği sorununun gelişmiş ülkeler ve özellikle avrupa birliği bankacılık sistemi ışığında irdelenmesi ve bir modelin geliştirilmesi

ÖZETÇalisma, banka sermayesi, fonksiyonlari, kaynaklari ve yapisi üzerinde dururarak , bankacilik riskleri ve sermaye arasindaki iliski incelenerek sermaye yapisinin tarihsel seyrinin yaninda literatürede sermaye yeterliliginin gösterdigi gelisim ve yaklasimlar, gelismis ülkelerdeki uygulamalar detayli olarak irdelenmistir. 1988'den beri gelismis ülkeler ortak bir sermaye yeterliligi standardi çerçevesinde uygulamalarini sürdürmektedirler. Benimsenen BIS kurallari gelismekte olan ülkelerce de uygulanmaktadir. KKTC'de mevcut sermaye yeterliligi kriterleri irdelenmis korelasyon ve regresyon testleri ile mevcut kriter ve gelismis ülkelerce uygulanan ve önerilen kriter degerlendirilerek daha sonra da aktif büyüklüklerin hareketleri ile finansal rasyolarin bagimliliklari ki-kare ile test edilmistir. Analizler sonrasinda gelismis ülkelerin uygulamalarina paralel bir sermaye yeterliligi uygulamasi önerilmistir. SUMMARYThe work presents the importance of the issue of captal structure and its adequacy. In the early 1980's , a global capital inadequacy was a growing problem in the international banking market emphasised the importance of capital adequacy regulation. It is found that some countries based capital adequacy measurement on simple leverage ratios, some on balance - sheet risk asset ratios and it become clear that there is a need for a standard capital definitions and requirements across countries. Since 1988 capital adequacy has been redefined and culminated in the BIS rules as aggregate risk weighted credit exposure. In TRNC, the capital adequacy measurement depends on simple leverage ratio. The objective of the work is to show the effectiveness of the present criteria and suggest new criteria within the light of the applications accepted by developed countries. TRNC, which is a small country, has to follow the developments in the world of globalisation. A correlation and a simple regression model are applied to test the relation between banking risks with the leverage ratio and the risk asset ratio. Moreover, the dependency of correlated variables with asset growth is tested by a chi-square test. Consequently, the statistical tests indicated the need for the new criteria in the application of capital adequacy

KKTC bankacılık sisteminin sermaye yeterliliği sorununun gelişmiş ülkeler ve özellikle avrupa birliği bankacılık sistemi ışığında irdelenmesi ve bir modelin geliştirilmesi

Çalisma, banka sermayesi, fonksiyonlari, kaynaklari ve yapisi üzerinde dururarak , bankacilik riskleri ve sermaye arasindaki iliski incelenerek sermaye yapisinin tarihsel seyrinin yaninda literatürede sermaye yeterliliginin gösterdigi gelisim ve yaklasimlar, gelismis ülkelerdeki uygulamalar detayli olarak irdelenmistir. 1988'den beri gelismis ülkeler ortak bir sermaye yeterliligi standardi çerçevesinde uygulamalarini sürdürmektedirler. Benimsenen BIS kurallari gelismekte olan ülkelerce de uygulanmaktadir. KKTC'de mevcut sermaye yeterliligi kriterleri irdelenmis korelasyon ve regresyon testleri ile mevcut kriter ve gelismis ülkelerce uygulanan ve önerilen kriter degerlendirilerek daha sonra da aktif büyüklüklerin hareketleri ile finansal rasyolarin bagimliliklari ki-kare ile test edilmistir. Analizler sonrasinda gelismis ülkelerin uygulamalarina paralel bir sermaye yeterliligi uygulamasi önerilmistir. SUMMARY The work presents the importance of the issue of captal structure and its adequacy. In the early 1980's , a global capital inadequacy was a growing problem in the international banking market emphasised the importance of capital adequacy regulation. It is found that some countries based capital adequacy measurement on simple leverage ratios, some on balance - sheet risk asset ratios and it become clear that there is a need for a standard capital definitions and requirements across countries. Since 1988 capital adequacy has been redefined and culminated in the BIS rules as aggregate risk weighted credit exposure. In TRNC, the capital adequacy measurement depends on simple leverage ratio. The objective of the work is to show the effectiveness of the present criteria and suggest new criteria within the light of the applications accepted by developed countries. TRNC, which is a small country, has to follow the developments in the world of globalisation. A correlation and a simple regression model are applied to test the relation between banking risks with the leverage ratio and the risk asset ratio. Moreover, the dependency of correlated variables with asset growth is tested by a chi-square test. Consequently, the statistical tests indicated the need for the new criteria in the application of capital adequacy

TESTIRANJE MODELA PROCJENJIVANJA KAPITALNE IMOVINE (CAPM) KORISTEĆI MARKOVLJEV KOMUTACIJSKI MODEL: SLUČAJ RUDARSKIH PODUZEĆA

In this study, the relation between the coal firms that are traded in New York Stock Exchange and S&P500 index is analyzed. The return of the coal firms and the market return are analyzed by using traditional CAPM and two-state Markov regime switching CAPM (MS-CAPM). According to the Likelihood Ratio test, two-state regime MS-CAPM gives better results and indicates a non-linear relation between return and risk. It is found that beta shows variability in regard to low and high volatile periods making linear CAPM to provide deviated results.Ovo istraživanje analizira vezu između rudarskih poduzeća prisutnih na njujorškoj burzi i S&P500 indeksa. Zarada rudarskih poduzeća i tržišna zarada analiziraju se tradicionalnim CAPM modelom i komutacijskim CAPM modelom Markovljevog režima dva stanja. Sudeći po testu omjera vjerojatnosti, MS-CAPM režim dva stanja daje bolje rezultate i ukazuje na nelinearni odnos između zarade i rizika. Zaključeno je da beta pokazuje varijabilnost u odnosu na periode niske i visoke volatilnosti zbog čega linearni CAPM prikazuje devijantne rezultate