13 research outputs found
Asymmetric Volatility Dynamics: Evidence From the Istanbul Stock Exchange
This paper considers estimating the conditional mean and variance from a single-equation dynamic model with the mean following an ARMA (1,7) process, and the conditional variance with time-dependent conditional heteroskedasticity as represented by ARCH models. The volatility is measured by a linear GARCH and an EGARCH process. Our results suggests that EGARCH provides better estimates than a linear standard GARCH model. The EGARCH also can capture most of the asymmetry, supporting the hypothesis that negative return shocks cause higher volatility than positive return shocks at the Istanbul Stock Exchange
Analysis of ESCO Activities Using Country Indicators
Energy Service Companies (ESCOs) are private sector instruments that offer energy-/emission-improvement (energy saving, energy efficiency, energy conservation, emission reduction) projects in the developed and in some developing countries. Literature reveals that energy-/emission-improvements of countries may be related to their innovation- and R&D-activity levels. In this work, we use a literature data on the activities and the sectors targeted by ESCOs in 38 countries, summarized in terms of the age of ESCO market (AEM), number of ESCO companies (NE), and total value of ESCO projects (VE). Along with the Global Innovation Index (GII) data of the countries, we investigate the relationships among the ESCO Indicators (EIs: AEM, NE, VE, sectors targeted by ESCOs), and the Country Indicators (CIs: GII and per-capita GDP, energy consumption, CO2 emission). We observe noteworthy dependencies between the EIs and CIs. Using the simple trend equations we estimate the missing VEs in the original data. We also project, as a hint for the size and orientation of the upcoming Turkish ESCO market, the set of EIs and the distribution of the sectors that are likely to be targeted by ESCOs in Turkey
Deciphering Liquidity Risk on the Istanbul Stock Exchange
This paper examines the impact of illiquidity and liquidity risk on expected
stock returns in the Turkish stock markets. Using daily data of the ISE-100
stock index from 2005 to 2012 and Amihud (2002) illiquidity measure, we test the
liquidity-adjusted capital asset pricing model (L-CAPM) of Acharya and Pedersen
(2005). Performing cross-sectional regression tests across test portfolios, we
find supporting evidence that illiquidity is significantly and positively priced.
Specifically, our results indicate that liquidity risk arising from the
commonality in liquidity is the most important component of liquidity risk. The
strong interrelationship between the market liquidity and the liquidity of
individual stocks suggests that market-wide shocks on the Istanbul Stock
Exchange might quickly affect every stock in this market. Hence, liquidity
commonality might create a systemic risk in which case liquidity shocks can be
perfectly correlated across all stocks.
Our study is the first to investigate stock liquidity-return relationship at
daily frequency and to apply the L-CAPM on the Turkish stock markets. Our
findings provide interesting conclusions for investors, risk managers and
regulators in emerging economies, and in particular, Turkey. Investors should
incorporate liquidity risk into their trading and hedging strategies to improve
their risk profile and increase their investment returns. Furthermore, an
improved understanding of systemic liquidity is vital for regulatory authorities
to design improved regulations against systemic shocks
Re-examining Turkey's trade deficit with structural breaks: Evidence from 1989-2011
The goal of this paper is to examine the sustainability of the trade deficit of
Turkey with cointegration techniques allowing for structural breaks. We follow
Husted (1992) model, which shows that if a country’s exports and imports are
cointegrated, and if the cointegrating vector is (1,-1), then its trade deficit
is sustainable. First, classical cointegration tests indicate that exports and
imports are cointegrated, but the cointegrating vector significantly differs
from (1,-1). Next, the existence of cointegration is confirmed with an
alternative method proposed by Silvestre and Sanso (2006) controlling for
structural breaks. Our analysis detects two breaks in the cointegration
relationship on 2001:01, and 2008:09, coinciding with economic crises. We show
that since 2001, Turkish trade deficit has not been sustainable in the strong
form, and after 2008, the country has moved away from sustainability. Based on
our analysis, the sustainability of Turkey’s widening trade deficit is highly
doubtful
Analysis of ESCO Activities Using Country Indicators
Energy Service Companies (ESCOs) are private sector instruments that offer energy-/emission-improvement (energy saving, energy efficiency, energy conservation, emission reduction) projects in the developed and in some developing countries. Literature reveals that energy-/emission-improvements of countries may be related to their innovation- and R&D-activity levels. In this work, we use a literature data on the activities and the sectors targeted by ESCOs in 38 countries, summarized in terms of the age of ESCO market (AEM), number of ESCO companies (NE), and total value of ESCO projects (VE). Along with the Global Innovation Index (GII) data of the countries, we investigate the relationships among the ESCO Indicators (EIs: AEM, NE, VE, sectors targeted by ESCOs), and the Country Indicators (CIs: GII and per-capita GDP, energy consumption, CO2 emission). We observe noteworthy dependencies between the EIs and CIs. Using the simple trend equations we estimate the missing VEs in the original data. We also project, as a hint for the size and orientation of the upcoming Turkish ESCO market, the set of EIs and the distribution of the sectors that are likely to be targeted by ESCOs in Turkey
Volatility Spillovers in Emerging Markets During the Global Financial Crisis: Diagonal BEKK Approach
The fundamental aim of the paper is to analyze the presence and magnitude of the
volatility transmissions in emerging markets, namely India, Hungary, Poland,
Turkey and Brazil prior to, and during the latest financial turmoil. Using weekly
returns of stock market indices from 2005 to 2011, the study applies
Multivariate BEKK Methodology. The empirical results indicate that there exist
significant volatility spillover effects for all five countries, though the
spillovers are not homogeneous across the pairs. Results exhibit very large
GARCH and relatively low ARCH effects. The study provides evidence of high
level of financial integration in emerging markets. From an investor perspective,
one important implication is that adding stocks from different emerging markets
to a porfolio does not lead to risk reduction
Analysis of Innovation and Energy Profiles in the Turkish Manufacturing Sector
We present Turkey’s manufacturing-sector innovation data and, for the first
time, analyze likely relationships among GDP growth, sectoral innovation
intensities, energy consumptions, and energy-saving potentials. We detect a
power-law-like relationship between the projected energy-saving potentials and
realized energy consumptions of the manufacturing-sector groups. We observe
that the energy consumptions of the sectors do not change significantly despite
varying innovation levels during transitions from economic crisis and recovery
periods. We conclude that the Turkey’s manufacturing sectors’ energy
consumptions are insensitive to their innovation levels, or their innovation
activities are not energy-efficiency- and energy-saving-oriented, reflecting
Turkey’s past supply-oriented energy policy. The leader innovating sectors are,
nevertheless, expected to contribute more to Turkey’s energy-saving and energyefficiency
policies if their innovation potentials can be directed to achieve higher
energy savings and energy efficiencies via government incentives within the
agenda of the recent energy-efficiency and R&D laws
Analysis of ESCO activities using country indicators
Energy Service Companies (ESCOs) are private-sector instruments that offer energy-/emission-improvement (energy saving, energy efficiency, energy conservation and emission reduction) projects, or renewable-energy projects, in the developed and in some developing countries. There has been an increased interest for the provision of such energy services, driven by a restructuring of the gas and electricity sectors, and the push to mainstream sustainable forms of energy into the market. ESCOs are destined to deliver sustainable-energy solutions, especially in emerging markets. Literature reveals that energy/emission improvements of countries may be related to their innovation- and R&D-activity levels. In this work, we use a literature data on the activities and the sectors targeted by ESCOs in 38 countries, summarized in terms of the age of ESCO market (AEM), number of ESCO companies (NE), and total value of ESCO projects (VE). Along with the Global Innovation Index (GII) data of the countries, we investigate the relationships among the ESCO Indicators (EIs: AEM, NE, VE, sectors targeted by ESCOs), and the Country Indicators (CIs: GII and per-capita GDP, energy consumption, CO2 emission). We observe noteworthy dependencies between the EIs and CIs. Using the simple trend equations we estimate the missing VEs in the original data. We also project, as a hint for the size and orientation of the upcoming Turkish ESCO market, the set of EIs and the distribution of the sectors that are likely to be targeted by ESCOs in Turkey.Energy service companies Energy-emission indicators Country innovations
Views on Turkey's impending ESCO market: Is it promising?
Turkey's Energy Efficiency Law (EEL) came into force in May 2007. The EEL will transform energy policies implemented in the government and private sectors. The law and upcoming regulations will offer opportunities for the impending Energy Service Company (ESCO) market in Turkey. In this work, we briefly review the ESCO literature and its financing mechanisms in the world, and present our views with regard to the funding and related risks that are likely to be associated with the forthcoming Turkish ESCO market. These views are backed up with Turkish credit and banking market performance and the lessons learned from implementation of some EU-related projects involving the banking sector and small-and-medium-sized firms. We conclude that in order to create a promising competitive ESCO market, Turkey's policy must be to sustain its average 5% growth rate achieved lately for the coming decade, finish the structural reforms which will invite necessary capital inflows to ensure an economic stability and financing.