Cointegration Relations between Turkish and International Equity Markets and Portfolio Choices

In this study monthly equity index values of twenty two emerging and twelve developed markets are used for the determination of cointegration relations developed by Johansen. The results of cointegration analysis show that Turkish stock market is cointegrated with seven developed and five emerging markets. After determining the integrated equity markets, different international portfolio scenarios are created by using Markowitz mean-variance model. These findings suggest that Turkish portfolio managers are able to monitor their asset allocations and minimize risks if they obtain a better understanding of how emerging and developed equity markets are integratedCointegration, Emerging Markets, Developed Markets, Portfolio, ISE.

Volatility Spillover Effect from Volatility Implied Index to Emerging Markets

This study has investigated the effect of VIX, created as an implied volatility in the US, on 15 emerging stock markets with the application of GJR-GARCH model. According to the results obtained, the emerging stock markets have leverage effect in conditional variance and emerging bad news concludes that volatility further increases. The results of the analysis show that implied volatility index affect Argentina, Brazil, Mexico, Chili, Peru, Hungary, Poland, Turkey, Malaysia, Thailand and Indonesia stock markets through volatility increasesImplied Volatility, Spillover Effect, GJR-GARCH Model,Emerging Markets

Testing causal relation among central and eastern European equity markets: evidence from asymmetric causality test

The aim of this study is to analyse the presence of a causal link among financial markets of Central and Eastern Europe (CEE) countries by adopting an asymmetric causality test. The standard causality test results suggest a causal relation running from the Czech Republic to Poland. Also, the Poland stock market is found to be a Granger cause of Turkey stock markets. Asymmetric causality test results indicate only a causal link going from the Czech Republic to Hungary and Poland. In addition, the presence of financial integration between Germany and CEE equity markets cannot be determined

Oil Prices and Global Stock Markets: A Time-Varying Causality-In-Mean and Causality-in-Variance Analysis

This study examines the Granger-causal relationships between oil price movements and global stock returns by using time-varying Granger-causality tests in mean and in variance. We use the daily returns from Morgan Stanley Capital International (MSCI) G7 and the MSCI Emerging Stock Market Indexes to distinguish between the effects of daily oil price movements on G7 countries' and emerging market countries' stock markets. We further divide the emerging markets into two groups as oil-exporting and oil-importing countries. For the oil market, we use both the West Texas Intermediate (WTI) and Brent oil daily price movements. While the Granger-causality-in-mean tests indicate a causal link from WTI oil prices and G7 countries' stock returns to MSCI emerging countries' stock returns, the Granger-causality-in-variance tests suggest no causal link from global oil market prices to stock market returns. Nonetheless, a causal link from the G7 countries' stock returns to the MSCI emerging countries' stock returns is detected. In addition, G7 countries' stock market volatility is found to Granger-cause Brent oil price volatility. The time-varying Granger-causality-in-mean and Granger-causality-in-variance tests present new and further insights. A causal relationship between oil price changes and G7 countries' stock returns is found for some periods during and after the global financial crisis. Time-varying Granger-causality-in-variance test results indicate evidence of causal linkages among oil prices and global stock market returns that are specific only to certain time periods. We also find that there might be a difference between the movements in Brent and WTI oil prices with respect to their Granger-causal effects on oil-importing emerging markets' stock returnsespecially after the global financial crisis. Our results provide further evidence that the effects of oil price movements on stock returns might be different depending on the volatility in the stock markets

Oksipital Ensefalosel

Encephalocele is a neural tube defect characterized by sac-like protrusions of the brain and the covering membranes through an opening in the skull. Encephalocele is less common than other neural tube defects. In this case we presented a 21 years old 20 weeks pregnant woman with fetal occipital encephalocele accompanying lemon sign, normal posterior fossa imaging and normal level of maternal serum alpha-fetoprotein (MSAFP).Ensefalosel beyin dokusunun kafa tasındaki bir açıklıktan dışarıya çıkmasıdır. Ensefalosel diğer nöral tüp defektlerine kıyasla daha az yaygındır. Bizim vakada ultrason görüntelemesinde oksipital ensefalosele eşlik eden limon belirtisi ve normal bir posterior fossa izlenmekle birlikte, normal düzeyde maternal serum alfafetoproteini (MSAFP) olan 21 yaşındaki 20 haftalık gebe sunulmaktadır

Nonlinearity and nonstationarity in international art market prices: evidence from Markov-switching ADF unit root tests

This study investigates the presence (or lack thereof) of nonlinear dynamics and nonstationarity in international art market prices using quarterly data for the period 1990-2011. We first test whether art market price indices follow stochastic trends or whether they are stationary by means of linear unit root tests. Next, we estimate the Markov regime-switching ADF model and test whether the linear or the nonlinear regime-switching model provides a better characterization of the global art market price series. We find that all art market price indices (except for Drawings) exhibit nonlinearity. To our knowledge, our study is the first one in the literature to suggest that a nonlinear (Markov regime-switching) model provides a better characterization of the behavior of price dynamics in international art markets. In particular, our findings indicate that the market for the overall global art market, paintings, old masters, sculptures, photographs, prints, and contemporary art might indeed be stationary while exhibiting nonlinear regime-switching properties. On the other hand, the market for drawings and the Nineteenth century art are found to be nonstationary. Overall, despite the common ground of a regime-switching framework, we still find that the sub-segments of the art market have their own inner regime switching dynamics and hence they can evolve differently overtim

Downside Business Confidence Spillovers in Europe: Evidence from Causality-in-Risk Tests

This paper employs Hong et al.’s (2009) extreme risk spillovers test to investigate the bilateral business confidence spillovers between Greece, Italy, Spain, Portugal, France, and Germany. After controlling for domestic economic developments in each country and common international factors, downside risk spillovers are detected as a causal feedback between Spain and Portugal and unilaterally from Spain to Italy. Extremely low business sentiments in France, Germany, and Greece are mostly due to the common adverse economic environment and to each country’s own domestic economic developments

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 the international capital asset pricing model with Markov switching model in emerging markets

The purpose of this article is to examine the relationship between emerging markets and world index and to evaluate the risk of these countries. For this purpose Markov switching model (MS) is used to test ICAPM. The data range of 23 emerging markets that focused on is between January 1995 and April 2009. Empirical results obtained by using likelihood ratio (LR) test shows that MS-ICAPM is preferable to the linear model. The estimated beta coefficients (β) from linear model are between of the estimated beta coefficients (β0 and β1) from MS-ICAPM. These findings suggest that risk can be varying according to the current regime. With this perspective, it is clear that the empirical results in this study would be extremely useful for investors who invest in different countries’ stock market