Investor sentiment and stock returns: Evidence from turkey

This paper investigates the relation between investor sentiment and stock returns on the Istanbul Stock Exchange, employing vector autoregressive (VAR) analysis and Granger causality tests. The sample period extends from July 1997 to June 2005. In the VAR models, stock portfolio returns and investor sentiment proxies are used as endogenous variables. Two dummy variables accounting for natural and economic crises are used as exogenous variables. The analysis results suggest that, excepting shares of equity issues in aggregate issues, stock portfolio returns seem to affect all investor sentiment proxies. copyright © 2009 M.E. Sharpe, Inc

Investigating exchange rate exposure of energy firms: Evidence from Turkey

This study investigates the exchange rate exposure of Turkish energy firms from 2002 to 2010. We employed a regression model that is constructed by adding exchange rate and oil price factors to Fama-French Three Factor Model. Empirical results suggest that exchange rate risk appears to impact energy firms diversely. Among the 9 energy firms in our sample, only 2 firms seem to be exposed to exchange rate risk. These two energy firms appear to have larger open foreign currency positions and do not use any hedging methods. On the contrary, rest of the energy firms that are not found to be affected by exchange rate risk either seem to have smaller open foreign currency positions or employ hedging methods to manage exchange rate risk. Overall, our results provide evidence that energy firms exposed to exchange rate risk share similar characteristics. © University of Economics, Prague

Natural gas prices and stock prices: Evidence from EU-15 countries

This study investigates the long-run relationship between natural gas prices and stock prices by using the Johansen and Juselius cointegration test and error-correction based Granger causality models for the EU-15 countries. We employ quarterly data covering the period from 1990:1 to 2008:1. Empirical findings suggest that there is a unique long-term equilibrium relationship between natural gas prices, industrial production and stock prices in Austria, Denmark, Finland, Germany and Luxembourg. However, no relationship is found between these variables in the other ten EU-15 countries. Although we detect a significant long-run relationship between stock prices and natural gas prices, Granger causality test results imply an indirect Granger causal relationship between these two variables. In addition, we investigate the Granger causal relationship between stock returns, industrial production growth and natural gas price increase for Austria, Denmark, Finland, Germany and Luxembourg. As a result, increase in natural gas prices seem to impact industrial production growth at the first place. In turn, industrial production growth appears to affect stock returns. © 2012 Elsevier B.V

The exchange rate risk of Turkish tourism firms

In this study, exchange rate exposures of tourism firms, whose shares are traded in Borsa I'stanbul (BIST), were investigated. In this manner, the data pertaining to eight tourism firms, whose shares are traded in BIST, were included in analyses for July 2002-June 2010. A regression model, which was developed by adding the exchange rate factor to the Fama-French three-factor model, was used in the study. Analysis results revealed that exchange rate risk is a crucial risk factor for three tourism firms. However, it was determined that the three tourism firms that are negatively affected by exchange rate risk have considerably larger open foreign currency positions than other tourism firms. © Association of Hospitality Financial Management Educators

Investor sentiment and stock returns: Out of sample evidence

In this chapter, the authors investigate the relationship between investor sentiment and stock returns in an out of sample market, namely Borsa Istanbul. The authors use the Consumer Confidence Index as an investor sentiment proxy, while utilizing BIST Second National Index as a measure of small capitalized stock returns. The sample period spans from January 2004 to May 2014. By using monthly data, the authors employ cointegration test and Error-Correction based Granger causality models. The authors' findings suggest that there is a long-term relationship between investor sentiment and stock returns in Borsa Istanbul. Moreover, a unidirectional causal relationship from investor sentiment to stock returns is also found. © 2015, IGI Global. All rights reserved

Investor sentiment and speculative bond yield spreads

The valuation of risky debt is central to theoretical and empirical work in corporate finance. Although much is known on the returns and valuation of bonds, there is hardly a consensus on the risk components of the yield spreads. This article aims to investigate the effect of investor sentiment as a systematic risk factor on speculative bond yield spreads. After applying correlation analysis to deter-mine the strength of linear association between these two variables, a vector autoregressive (VAR) analysis and impulse response tests are used to examine the relationship between these two variables. The sample period extends from January 1997 to August 2014. In the VAR models, speculative bond spreads and consumer confidence index are used as endogenous variables. The results show that senti-ment covaries with the yield spread and have a negative effect on them. The spread level of the previ-ous period seems to be a statistically significant determinant of the current period sentiment. Empirical findings imply that investor sentiment is a systematic risk factor in risky bond markets. © 2019 Sciendo. All rights reserved

Determinants of capital structure: Evidence from Turkish lodging companies

Purpose: The purpose of this paper is to investigate the factors affecting capital structure decisions of Istanbul Stock Exchange (ISE) lodging companies. Design/methodology/approach: A model based on the trade-off and pecking order theories is specified and implications of both theories are empirically tested. The model is estimated using a dynamic panel data approach for five ISE companies for the period of 1994-2006. Findings: The findings suggest that effective tax rates, tangibility of assets, and return on assets are related negatively to the debt ratio, while free cash flow, non-debt tax shields, growth opportunities, net commercial credit position, and firm size do not appear to be related to the debt ratio. Although the findings partially support the pecking order theory, neither the trade-off nor the pecking order theory exactly seem to explain the capital structure of Turkish lodging companies. Research limitations/implications: The data used in this paper are limited to five companies traded in the ISE, since the data on other companies are not available. A more detailed analysis would use data for other companies in the industry. Practical implications: The findings of the study clearly demonstrate the importance of capital structure decisions for financial sources. Originality/value: Although the capital structure theory is extensively examined in the finance literature, there are fewer studies covering the tourism industry, particularly Turkey. The paper establishes the determinants of the capital structure of Turkish lodging companies. The research findings should help managers to make optimal capital structure decisions. © Emerald Group Publishing Limited