Cointegration and Extreme Value Analyses of Bovespa and the Istanbul Stock Exchange

This paper investigates the long-term financial integration and bivariate extreme dependence between Bovespa and the Istanbul Stock Exchange. While a static cointegration test presents no evidence of long-term cointegration, the introduction of a structural break into the model shows that Bovespa and the ISE were cointegrated following the local crisis in Turkey in 2000. Dynamic cointegration tests and DCC-GARCH analysis also reveal that Bovespa and the ISE reacted strongly not only to systemic crises as expected, but also unexpectedly to local crises in each other. This shows that equity prices in two emerging markets in distant regions of the world can co-move in the absence of significant trade and financial linkages. This suggests that there are underlying processes that affect equity prices other than trade, financial linkages, macroeconomic ties, and FDI as the prior literature suggests. While episodic cointegration is found for Bovespa and the ISE, the extremes of these markets still possess asymptotic independence, suggesting diversification opportunities.cointegration, structural break, dynamic conditional correlations, bivariate extreme value, emerging markets, Turkey, Brazil

AN OPERATIONAL RISK MANAGEMENT FRAMEWORK FOR FINANCIAL SERVICES INDUSTRY

Financial corporations are considered to be adept at measuring and managing their operational risks. The rapid adoption of information systems in every part of the finance industry has forced the actors to measure and manage their information-systems risks as well. However, identifying the relationships among the information systems and the business processes and how those relations affect the operational risks of those business processes has proven to be quite difficult resulting in a multitude of different frameworks that measure IS related risks separately from the operational risks of business processes. Those approaches obviously yield an incomplete picture as the integrity, security or the availability of a financial transaction can’t be approximated without considering the enormous IS infrastructure used to create and store it. Our research aims to create a framework that treats IS related risks as variables in the overall operational risk function for a holistic risk measurement by using enterprise architecture perspective and improving on existing operational risk management and IS risk management frameworks

Determination of some biological characteristics and population parameters of the blotched picarel (Spicara flexuosa Rafinesque, 1810) distributed in the Eastern Black Sea (Rize - Hopa)

This study was carried out in order to determine some biological characteristics of the fish species of Spicara flexuosa, which is distributed on the Eastern Black Sea coast, and to contribute to the management of the picarel in all the seas of our country. Between October 2015 and September 2016, 599 fish samples were obtained and examined in the laboratory. It was determined that the examined individuals were distributed between the ages of I-VII which 31.22% of the population was male and 68.78% was female. The minimummaximum total length values of the samples were between 8.7 and 21.8 cm; and the weight values ranged from 7.1 to 129.94 g. It has been determined that the mean total length of males is statistically different from that of females (P<0.05). Von Bertalanffy growth equilibrium was calculated as “L∞=22.71 cm TL, K=0.243 year-1, t0=-2.306 year-1; W∞=118.27 g” for females, “L∞=38.34 cm TL, K=0.063 year -1, t0 = -6.381 year-1; W∞=755.37 g” for males, and “L∞=33.42 cm TL, K=0.080 year -1, t0=-5.381 year-1; W∞=401.24 g” for all individuals. The length-weight relation of all individuals was found as W= 0.0118*L2.9727 (R2 =0.9487). When the ratio of gonadosomatic index (GSI) data and gonadal maturity stages were examined over the year, it was determined that the reproduction of the picarel in the Black Sea occurred between June and Septembe

European integration and corporate financing

This paper explores the importance of supply of capital for corporate financing. To identify this relation, we examine the impact of two exogenous events, entry to the EU and the adoption of Euro, which caused shifts in equity and credit markets during European integration. Following membership to EU, which eased access to equity capital, firms increase equity financing. Firms increase debt financing after the adoption of Euro, which improved access to international debt capital. We control for globalization, ongoing developments in equity and credit channels, firm characteristics, and the moderating effects of the country of origin

A Co-integration Analysis Approach to European Union Integration: The Case of Acceding and Candidate Countries

This paper examines the long-term financial integration of second-round acceding and candidate countries’ with the European Union and the US stock markets during the Accession Process. The lowpair wise correlations between these markets imply portfolio diversification opportunities, yet correlation is a short-term measure. The long-term stock market interdependence is analyzed with Johansen (1991) cointegration approach, which indicates no long-term relationship between the second-round countries and the EU and US stock markets. Yet Engle-Granger (1987) causality test presents evidence of a casual flow from European and US equity markets to Croatian stock market and from Turkish Stock market to Bulgarian stock market suggesting a short-term lead-lag relationship amongst. The results indicate that the completion of accession negotiations with Bulgaria and Romania and ongoing negotiations with Croatia and Turkey have not yet resulted in the complete financial integration of these markets with the European Union. They still offer significant long-term diversification opportunities for the European as well as the US investors.economic integration; financial markets; enlargement; globalization; international trade; EMU; liberalization; East-Central Europe; EU-East-Central Europe; Euro; economics