Empirical studies have revealed that many financial asset returns are characterized by an asymmetric behavior of the volatility. Aside from asymmetry, another important stylized fact about the volatility is its long memory effect. Given that the computation of the volatility is …
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Using data sets on orders, order packages, quotes, trades and market-limit orders, we investigate several aspects of the microstructure of the Saudi Stock Market (SSM) under the computerized trading system, ESIS (Electronic Securities Information System). We study the interactio…
This study examines the potential integration between Middle Eastern stock markets, especially Arab countries. I investigate the efficiency, diversification, correlation, and potential integration in Middle Eastern countries stock markets, in particular Egypt, Israel, Jordan, Mo…
The dissertation comprises three essays on the East Asian market integration. Chapter 1 examines the differences in the degree of market integration for Indonesia, Korea, Malaysia, the Philippines, and Thailand for the pre-1997-crisis and the post-1997-crisis periods using a reg…
THE PROBLEM. The purpose of this study is to investigate the impact of Turkish and U.S. investor sentiments on the Istanbul Stock Exchange (ISE) and to examine whether investor sentiment, stock returns, and volatility are related. METHOD. This study examined the impact of invest…
Scope and method of study. The main objective of this dissertation is to identify the determinants of stock market and currency crises and investigate the direction of causality between stock market and currency crises in emerging markets. The timing of stock market and currency…
This dissertation consists of three chapters. The first chapter analyzes the stock market transmission channel of the monetary policy of the Turkish economy not only at the aggregate but also at the sectoral level in a structural vector autoregression (SVAR) framework. I adopt a…
Bu çalışmada, hanehalkındaki finansal sıkıntının riskli yatırımlardan sakınmak veya riskli yatırım oranını düşürmek yoluyla yatırım riskini düşürme etkisi araştırılmıştır. Amerika Birleşik Devletleri’nde 2016 yılında yapılan Tüketici Finansı Anketi verileri kullanılarak Tobit mo…