The Relationship between Corporate Performance and Ownership Structure: Evidence from Turkey

This study investigates the effects of ownership structure on the performance of the listed companies in Borsa Istanbul Stock Exchange 30 Firms (BIST 30). The main hypothesis of our study is that there is a significant relationship between companies' performances and their ownership structures.The statistical population includes 19 non-financial companies in the period of years between 2008 and 2013. The results show that the concentration of the large shares of companies one or a few share holders has a negative effect on related firm’s performance

Exchange Rates’ Effect on Spot and Futures Equity Index Markets: A Study on Borsa Istanbul

This paper examines the linkages between the foreign exchange rates, spot equity index and equity index futures. The study aims to investi-gate whether there is difference between the spot and futures markets in the scope of relation with the foreign exchange rates’ returns and which leads the other. The relationships are examined by using the vector autoregression (VAR) model, impulse-response functions, variance decomposition and Granger Causality tests. The sample of the study consists of US dollar to Turkish Lira rate (USD/TRY), Euro to Turkish Lira rate (EUR/TRY), BIST 30 Index and BIST 30 Index Futures. The data of the study includes the period between January 2011 and December 2014 with daily data range. Our results have evidence that the foreign exchange rate markets in Turkey are driven by the equity market

The Relationship between Exchange Rates and Stock Markets for the Fragile Five Countries

This paper aims to determine the significance relation and direction of stock markets and exchange rate on Fragile five Countries (South Africa, Turkey, Indonesia, India, and Brazil) between January 2010 to December 2019. This study applied the VAR Analysis and Granger Causality Test to determine the relationship among exchange rates and stock indexes. The results show that South Africa and Turkey exchange rates and stock indexes are in bidirectional relationships, for India and Brazil, there is a one-way causality finding from exchange rate to stock price, and the results for Indonesia show no causality

The Effect of FDI and Financial Development Markets on Sub-Sahara African Economy: An Empirical Study Based on VAR Model

This paper investigates the effect of FDI and financial development markets on GDP growth in 35 Sub-Sahara African (SSA) economies over the period 1980-2020. The results in the Vector Autoregression (VAR) Models indicate that FDI has no significant impact on the GDP growth of SSA. However, two variables of financial development have got positive significant effect on the economic growth of SSA. Moreover, the result of the granger causality test show that financial development have significant causality effects on the economic growth of SSA

Relationship between Stock Markets in Africa: A Case of Five Selected Countries

It is aimed in this study to analyze the relationship between the stock markets in Africa (Egypt, Kenya, Morocco, Nigeria and South Africa). The sample used in the study is beginning from 2009 to 2018 in a weekly data range. The main findings in the study are: (1) price indices of Casablanca stock exchange are not influenced by other stock markets in the long run (2) Egyptian stock market can be used to predict the Kenyan stock market but not Morocco, South Africa, or Nigeria, (3) South African stock market can be used to predict the Egyptian, Nigerian, and Kenya stock markets, and (4) Johannesburg stock exchange plays a vital role in effecting the stock prices of other African countries

Initial Public Offering Effects on Volatility in US Stock Market

This paper aims to investigate the effect of Initial Public Offerings (IPOs) on stock market volatility in the United States using the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model. The study utilizes daily data from January 2020 to October 2022 on the Standard & Poor's 500 Index (S&P 500) and IPO firms listed on the New York Stock Exchange (NYSE) their IPO dates during the same period. The GARCH model is employed to estimate the volatility of the S&P 500 index stock prices after the IPOs announcements during the first day, first five days, and first ten days. The study finds that IPOs significantly impact volatility in the US market, and the effect is more pronounced in the short term. We discovered that IPOs after their announcements during the first five days have a negative impact on other stock prices in the S&P500 index. The effects are stronger for the first day of initial public offering come to the market while there is a negative impact on the 10th day of IPOs in the market but it is not statistically significant. The downward-sloping demand curve hypothesis is supported by these findings. These results have important implications for investors, market regulators, and policymakers. Investors should be aware of the potential for increased volatility during periods of IPO activity and adjust their investment strategies accordingly. Market regulators may need to consider implementing measures to mitigate the impact of IPOs on market volatility. Policymakers may also need to consider the potential economic effects of IPOs and the associated increase in market volatility to ensure a stable and efficient stock market

Euro ve ABD Dolar? Kurlar? ile Pay Senedi Endeksleri Aras?ndaki ?li?kinin ?ncelenmesi: Borsa ?stanbul Verileri Üzerine Ampirik Bir Çal??ma

Bu çal??mada Türkiye’de pay senetleri fiyatlar? ile döviz kurlar? aras?ndaki ili?ki, VAR metodu (vektör oto regresyon modeli) kullan?larak ara?t?r?lm??t?r. Döviz kurlar? ve pay senedi fiyatlar?ndan olu?an de?i?kenler aras?nda do?rusal bir ba??nt? olup olmad???n?n tespiti amac?yla bu model kullan?lm??t?r. Bu amaçla, döviz kurlar?, B?ST Banka ve B?ST S?nai endeksleri ele al?nm??t?r. Veriler Ocak 2011’den Aral?k 2014’e kadar olan döneme ait günlük de?i?meleri içermektedir. Türkiye’de en fazla i?lem yap?lan döviz kurlar? ABD dolar? ve Euro oldu?u için, bu kurlar tercih edilmi?tir

Mutual Switching Behavior between High Growth and Low Growth Economies’ Stock Markets

Due to the evolutions in the financial markets, characteristics of markets have been changed. It has become important to discuss the markets which the fast and frequent fluctuations are observed among the regimes they belong to. There are two main purpose of the study. The first purpose of the study is to investigate whether mutual regime switching behavior exists in the selected equity markets. To investigate the importance of growth of the selected economies which the equity markets belong, is the second purpose of the study. Three regime multivariate Markov switching vector autoregressive (MSI(M)-VAR(p)) models are used to define common regime switching behavior of the indices calculated

The Effect of FDI and Financial Development Markets on Sub-Sahara African Economy: An Empirical Study Based on VAR Model

This paper investigates the effect of FDI and financial development markets on GDP growth in 35 Sub-Sahara African (SSA) economies over the period 1980-2020. The results in the Vector Autoregression (VAR) Models indicate that FDI has no significant impact on the GDP growth of SSA. However, two variables of financial development have got positive significant effect on the economic growth of SSA. Moreover, the result of the granger causality test show that financial development have significant causality effects on the economic growth of SSA

Borsa İstanbul Sektör Endekslerinin Volatilite Modellemesi

DergiPark: 827011trakyaiibfPay piyasalarında yatırımcıların karar almalarını etkileyen önemli bir gösterge olan volatilite, akademik finans literatüründe geniş bir çalışma alanı oluşturmaktadır. Çalışmada, BİST Banka, BİST Hizmetler, BİST Sınai ve BİST Ticaret endekslerinin 2011 - 2014 yılları arasındaki günlük kapanış fiyatlarından elde edilen zaman serilerine Genelleştirilmiş ARCH ailesi modelleri (GARCH-EGARCH-TARCH) uygulanmıştır. Elde edilen sonuçlar doğrultusunda, çalışmada kullanılan her sektör endeksi için farklı ARMA(p,q) düzey- lerde ARCH etkisi mevcuttur ve en iyi sonuç veren model sektöre göre değişmektedir