Testing Integration between the Major Emerging Markets

This study examines the stock market integration between major emerging markets in different regions of the world, namely, Turkey, Russia, Brazil, Korea, South Africa, and Poland. The study employs a variety of co-integration tests; i.e., Engle-Granger (EG) (1987), Johansen (1988), Johansen and Juselius (1990), the Bounds test (Pesaran et al) (2001) to measure the long-term relationship, and Granger causality approach for the short-term relationship between those markets. The results unfolded that between Brazil and Polish markets long and short-term relationship could be diagnosed through the aforementioned tests save the Bounds test; whilst the same Bounds test confirmed the existence of a significant co-integration between Russian and Korean stock markets.Stock Markets, Co-integration, Diversification

UTJECAJ VANBILANČNIH AKTIVNOSTI NA POSLOVANJE KOMERCIJALNIH BANAKA: PERSPEKTIVA TRŽIŠTA U NASTAJANJU

This paper examines the effect of off-balance sheet (OBS) activities on performance of the banks listed on Istanbul Stock Exchange (ISE). We use four measures of performance including bank’s risk exposures, profitability, leverage, and liquidity position. We find that both bank-specific risk and foreign exchange rate risk are positively related with OBS activities. This indicates that OBS activities increase bank-specific and foreign exchange risk exposures of the banks in Turkey. The positive relationship might serve as a warning to bank’s speculative action using OBS transactions in the market. The results also indicate that OBS activities, due to its hedging perception, improve bank’s stock returns but have a negative impact on return on equity. In addition, OBS activities do not have a statistically significant impact on leverage or liquidity.Ovaj rad istražuje utjecaj vanbilančnih aktivnosti na poslovanje banaka koje kotiraju na Istambulskoj burzi (ISE). Istraživanje je provedeno na četiri mjere uspješnosti bankovnog poslovanja: izloženost rizicima, profitabilnost, zaduženost i likvidnost. Rezultati pokazuju da su nesistemski, bankovno-specifični rizik te valutni rizik u pozitivnoj vezi s vanbilančnim aktivnostima. Ovakvo stanje je pokazatelj da vanbilančne aktivnosti povećavaju nesistemski i valutni rizik banaka u Turskoj. Dokazana pozitivna veza može služiti kao upozorenje u slučaju špekulativnog korištenja vanbilančnih aktivnosti na tržištu. Dobiveni rezultati također pokazuju da zbog percepcije njihovog korištenja u svrhu zaštite, vanbilančne aktivnosti povećavaju prinose na bankovne dionice ali istovremeno smanjuju prinos na kapital banaka. Osim toga, vanbilančne aktivnosti nemaju statistički signifikantan utjecaj na zaduženost i likvidnost banke

Co-movements of REIT indices with structural changes before and during the subprime mortgage crisis: evidence from Euro-Med markets

This paper examines the long-run relationships between the REIT indices of the UK, Turkey and Israel in the Euro-Med zone with that of MSCI US REIT Index by using weekly data over the period 2003Q3 through 2009Q3, which includes the latest US subprime mortgage crisis and its effects on global stock markets. Although our EG test results do not indicate a long-run relationship, after taking account of the structural changes by applying the GH test, we find a long-run interaction between the REIT indices of UK and Israel with that of the US. However, our results indicate the lack of co-movement between REIT index of Turkey with the US. In addition, our dynamic OLS test results indicate a perfect relationship between the UK and the US indices. Our findings show that international investors who make long-term investments can only gain from diversifying into the real estate market of Turkey among the involved markets in the Euro-Med zone