Turkey Stock Research Articles

The impact of stock market development on economic growth in Turkey: ARDL analysis

The stock market has become more significant due to the globalization of financial markets, and there is a widespread perception that it propels economic growth. Nonetheless, some recent research has found that this effect differs throughout countries based on their financial infrastructures and degrees of development. In nations with established financial infrastructure and economic stability, the stock market aids in economic growth; nevertheless, it has no such effect in economies characterized by macroeconomic instability and uncertainty. Based on this, this study used quarterly data from 2006 to 2023 to examine the effects of Turkey's stock market development on economic growth using an autoregressive distributed lag (ARDL) method. The results show that while there was a negative and considerable short-term effect, stock market development in Turkey did not have a long-term detrimental impact on economic growth. According to the findings, for Turkey's stock market to positively impact economic growth, the country's financial system has to be modernized.

Asymmetry in Return and Volatility Spillovers Between Stock and Bond Markets in Turkey

In this study to analyze the asymmetric volatility spillovers. We study in the stock and bond markets in Borsa Istanbul. The research covers 2003-2019. Financial crises have increased the importance of the transition between the stock and bond market. Apart from the full period, the 2008 financial crisis period examines separately in order to see the effects of the spillovers during the crisis period. First, asymmetric volatility tests with the sign bias test. Then, whether the stock and bond market volatility is asymmetric, investigate with the GJR-GARCH model. Finally, asymmetric volatility between the two markets test with the VARMA-AGARCH model. According to the asymmetric volatility test results, negative volatility asymmetry exists in the bond market in full period. Asymmetric volatility is positive in both market in the crisis time. Return spillovers from the stock market to bond market in full period. It is opposite direction during the crisis period. We have found volatility spillovers bidirectional among the stock market and the bond market. However, during the global crisis period, volatility spillover is bidirectional from the stock market to the bond market.

TARGET DISPLACEMENT CALCULATION ACCORDING TO TBEC 2019 AND EUROCODE 8

Aim: After the earthquakes with high loss of life and property in our country and in the world, engineers have come to a consensus that the design method, in which the criteria are defined by displacement and deformation limits, should be used in building design. A lot of research has been done on this method, which provides performance-based design and evaluation for existing structures. The amount of displacement demanded from the building by the earthquake, which is expressed as target displacement in the Turkish Building Earthquake Code (TBEC 2019), is directly effective in determining the building performance. Method: In this study, the target displacement calculation of a 5-story reinforced concrete building that represents the medium-height building stock in Turkey, with a symmetrical carrier system in the X and Y directions was done according to TBEC 2019 and Eurocode 8. Results: According to TBEC 2019, the elastic design spectral displacement of the building was determined as 0.19 m. Since the CR coefficient is 1, the nonlinear spectral displacement of the building is calculated as 0.19 m and the target displacement as 0.12 m. According to Eurocode 8, the dt* 0.086m and the target displacement was calculated as 0.11 m. Conclusion: In the target displacement calculation according to both codes a 10% difference was obtained between Eurocode 8 and the TBEC 2019.

Investigation of Fractal Market Hypothesis in Emerging Markets: Evidence from the MINT Stock Markets

This study aims to investigate the market efficiency of emerging stock markets, namely the Mexico, Indonesia, Nigeria, and Turkey (MINT) stock markets based on the Fractal Market Hypothesis. For this purpose, the ARFIMA and ARFIMA-FIGARCH type models are used to analyze the MINT stock return series. In this study, the dataset encompasses the daily frequency data of the MINT stock market indices from January 12, 2018, to January 12, 2022. The empirical findings show that long memory is reported for the MINT stock returns. The long memory in the returns implies that the MINT stock prices follow a predictable behavior that is consistent with the Fractal Market Hypothesis. The long memory in the volatility implies that the uncertainty or risk is an important factor in the formation of price movements in the MINT stock prices. Moreover, the MINT stock prices consist of the effect of shocks and news that occurred in the recent past. Thus, this study contributes to investors, academics, and market regulatory authorities. Besides, as far as we know, the current literature on the analysis of the fractal market hypothesis to explore the efficiency of the MINT stock markets has not been found.

Lateral load performance of a reinforced concrete frame with pultruded GFRP box braces

Reinforced concrete buildings, which constitute most of the building stock in Turkey, should be examined in terms of earthquake resistance. Many studies have been carried out to increase the seismic resistance of reinforced concrete (RC) structures against earthquakes. In this study, a single-story, single-span RC frame stiffened with chevron steel braces was chosen as a reference frame and laterally loaded to failure. In the first step, the experimentally obtained static lateral load-deflection curve was verified by non-linear finite element (FE) analysis. Then, the uniaxial tensile properties of the selected glass fiber reinforced polymer (GFRP) materials were verified using FE analysis with the results found in the literature. In the second step, three different GFRP box braces with different axial stiffnesses were investigated and the results were compared with those of the steel chevron braces. Finally, the lateral load performance and expected buckling failure of the GFRP box braces in an RC moment frame have been presented and discussed in this study. Considering the lightweight of the GFRP sections, the lateral load capacity of the RC frame with GFRP braces was improved as much as the steel braces, and the maximum gain was about 47% more when the equal axial stiffness of steel brace was provided to GFRP brace. Ductility and story drift of the considered braced moment frames are presented.

Long term characterization of the vehicle stock in Turkey

• A framework is developed to characterize the vehicle fleet for policy assessment. • The fleet is profiled based on size, age, fuel, technology, engine volume, mileage. • The fleet profile is characterized based on five scenarios for the 2020–2030 period. • Business-as-usual scenario results presented a rapidly increasing and aging fleet. • Scenarios on implementing incentives resulted in a younger and fuel-efficient fleet. Projections of vehicle profiles play an essential role in developing government policies for emissions reductions in the automotive sector. Determining the trends of key parameters related to tailpipe emissions is critical for analyzing the adverse effects of vehicle emissions on air quality. This study presents a framework that can be used to assess the impacts of the vehicle fleet characteristics on pollutant emissions . Passenger cars and light commercial category vehicles in the Turkish vehicle fleet are analyzed in terms of size (sales and scrappage rates), age distribution, fuel type, engine displacement, and mileage. The distributions based on these parameters are forecasted for the 2020–2030 period under five alternative policy scenarios for Turkey. Should no scrappage incentives be imposed, the average vehicle age is estimated to increase significantly, and shares of hybrid and electric vehicles will be minor.

Effects of Bank Specific Factors on Stock Returns of Listed Commercial Banks in Kenya

The objective of this study was to establish the effects of bank specific factors on stock returns of listed commercial banks in Kenya, with four specific objectives; to determine the effect of capital adequacy on stock returns of listed commercial banks in Kenya, to determine the effect of asset quality on stock returns of listed commercial banks in Kenya, to determine the effect of earnings ability on stock returns of listed commercial banks in Kenya and to determine the effect of liquidity on stock returns of listed commercial banks in Kenya. The Kenyan banking sector instability within the stock market has been of great concern as depicted by continuous fluctuations in the stock prices of listed banks. Studies undertaken in other stock markets displayed mixed findings and much concentration has been on the United States, Turkey and Indonesian stock markets. Hence, a study providing a Kenyan perspective on the link between banks’ internal environment and stock returns of listed banks was crucial. The study was based on market portfolio theory, efficiency structure hypothesis and the buffer capital theory. The research targeted all the 11 listed commercial banks at the Nairobi Securities Exchange. Quarterly data was collected for the period 2010-2019. A pooled panel regression model was used in the estimation of the significance of the impact of the variables. Findings of the research established that capital adequacy and earnings had a significant effect on stock returns. The study recommends that commercial banks should improve their capital base and expand their asset quality through better loan management.

The impacts of foreign portfolio flows and monetary policy responses on stock markets by considering COVID-19 pandemic: Evidence from Turkey

This study researches the impacts of foreign portfolio flows (proxied by foreign investors' retention share) and monetary policy responses (proxied by the repurchase interest rate) on Turkey's stock market index taking the COVID-19 pandemic into consideration. A volatility index, credit default swap spreads, and foreign exchange rates are used as control variables, with a daily dataset between January 2, 2017, and October 20, 2020. After examining the stationarity and nonlinearity characteristics of the variables, we applied a nonlinear autoregressive distributed lag (NARDL) model and then conducted a Markov switching regression (MSR) for a robustness check. The results reveal that both foreign portfolio flows and monetary responses have an important effect on the index, and foreign portfolio flows have a higher effect than monetary responses. Accordingly, the results obtained from the NARDL and MSR models are robust and consistent.

Vine copula approach for modelling dependence of commodity and stock markets

This paper examines vine copula dependency between commodity markets and stock markets [ISE 30 (Turkey Stock Index), SP 500 (American Stock Index and FTSE 100 (United Kingdom Stock Index)] by applying the dependence parameter of copula. The dataset consists of the closing prices of seven commodities and the ISE 30, SP500 and FTSE 100 indices In this study, to reveal this dependency structure we used copula families; Gauusian, Student t, Gumbel, Joe, BB6, BB8, Survival Clayton, Survival BB1 and Tawn Type copula.

Estimating Firm‐Level Capital Stock: The Evidence From Turkey

In this study, we mainly discuss the validity of estimating the capital stock at the firm level. Unlike the macro‐level estimates, the micro‐level estimates require a different treatment on the capital accumulation equation, especially on the estimate of the initial level of capital stock, controlling for firms' entry and exit, and changing composition of firm‐level investments. We also consider the ownership of capital assets acquired by different types of finance other than direct purchases—by leasing or by rent. Considering these situations, we elaborate on the controversial issues of existing methods. We then, to some extent, refine alternative methods for estimating the capital stock in Turkey for the period 2005–15 using extensive firm‐level data. Using these estimates, we focus on the behavioral trends of firms (i.e., capital‐related variables) in manufacturing, services, and information and communication sectors in Turkey.

Is Turkey's Stock Market More Affected by Covid-19 Indicators at National Scales or Global Scales

In the context of wait-and-see policies due to uncertainties in the economy, both real and financial economic decisions bring to the agenda a slowdown. Considering that uncertainty gets ever deeper in accidental situations like wars and disasters, we observe that Covid-19 has not only surrounded the world, but has also further deepened this uncertainty. On the other hand, countries continue to struggle with health problems, while receding back to Keynesian economics to minimize the effects on their socio-economic structure, as economies try to relieve both real and financial economies by implementing expansionary monetary and financial policies. These expansionary policies and interventions by governments against such negativities have created opposite effects. This study examines the oscillations regarding the BIST-100 index, an important indicator of the Turkish economy, against national and global Covid indicators. Using policies expansionary policies and stock exchange alternatives as control variables, this study included MS-VAR analyses for the period of 2019/12/31-2020/06/30. It was observed that BIST-100 was affected by Covid indicators at both national and global levels and that it showed oscillations in the form of expansion and shrinking. These findings indicate that the monetary and fiscal policies in Turkey should be designed based on a proactive approach to minimize the wait-and-see effects of global and national uncertainties on the real and particularly the financial decisions of economic actors.

Shock and volatility spillovers between oil and emerging seven stock markets

Purpose This study aims to examine the volatility spillover effects between oil and stock returns in the emerging seven economies. Design/methodology/approach In this study, the Granger causality test and vector autoregression-generalized autoregressive conditional heteroskedasticity approach to analyze the volatility spillover from 1995 to 2019 were used. The findings provide evidence of significant volatility spillover between oil and Brazil, China, India, Indonesia, Mexico, Russia and Turkey (E7) stock markets. Findings All emerging seven stock markets exhibit positive and low constant conditional correlations with oil assets. The magnitude of the correlation changes in respond to the country’s net position in the crude oil market. While a relatively high level of correlation exists between oil and the stock markets of net oil-exporting countries, a relatively low level of correlation exists between oil and the stock markets of net oil-importing countries. Originality/value The findings suggest that oil asset improves the risk-adjusted performance of a well-diversified portfolio of stocks. However, investors should invest a larger portion of their portfolios in E7 stock markets than in oil.

TESTING THE RELATIONSHIP BETWEEN THE STOCK MARKET INDEX AND VOLATILITY INDEX IN BRICS-T COUNTRIES BY PANEL DATA ANALYSIS

Sermaye piyasalarındaki yatırım atmosferinin önde gelen göstergelerinden biri olan volatilite gelişmekte olan ülke piyasalarını önemli ölçüde etkilemektedir. Türkiye son yıllarda gösterdiği performans ile küresel ekonomiye yön veren gelişmekte olan ülkelerden oluşturulan BRICS grubuna aday olarak gösterilmektedir. Bu çalışmada, uluslararası volatilite göstergesi olarak kabul edilen korku endeksinin BRICS ülkeleri ve Türkiye hisse senedi piyasaları üzerinde yaratacağı etkinin ortaya çıkarılması amaçlanmıştır. Bu kapsamda; korku endeksi, döviz kuru, tüketici güven endeksi ve özgürlük endeksinin kompozit hisse senedi endeksi üzerindeki etkisi panel veri analizi yöntemleri ile incelenmiştir. Analiz sonuçlarına göre, borsa endeksi üzerinde korku endeksi ve döviz kurunun negatif, özgürlük endeksinin ise pozitif etkisi bulunduğu belirlenmiştir. Tüketici güven endeksi ile borsa endeksi arasında anlamlı bir ilişki tespit edilememiştir.

THE STRUCTURE ANALYSIS OF BUILDINGS IN TURKEY AND SELECTION OF THE STRUCTURE

Aim Building structures are assessed with several parameters such as cost, construction time, fire resistance, life cycle, maintenance and repair frequency, and environmental impacts. Building structures are reviewed as masonry, steel framed, wood framed, reinforced concrete framed, composite and prefabricated structures. This study aims to analyze the existing building stock of Turkey and assess the existing buildings in terms of their structural system decisions. Method: Following the comparative assessment of the types of structures based on literature review, assessment criteria for the selection of structural system are determined and a statistical analysis of the existing building stock in Turkey has been made in terms of the use of different structures. A questionnaire was prepared for the architects who decided the structural system in the design phase. Respondents evaluate the structural systems and selection criteria. Statistical analysis is made with the results of the survey. Findings: There is a clear preference for reinforced concrete framed structures in Turkey. A quantitative assessment of the structural systems in the existing buildings in Turkey by 2018 shows that 93.13% of the building stock has reinforced concrete framed. Looking at the individual years in the 2009 to 2018 period, the rate of preference of using reinforced concrete framed structures never went below 89% among all types of structures, but steel framed structure is the most preferred structural system at the end of the survey. Conclusion: It is thought-provoking that although different structures have different comparative advantages, structures other than reinforced concrete framed are preferred so little. The findings will contribute to making the right decision in building structure with the assessment of different structures in different aspects.

Volatility Jump: The Effect of COVID-19 on Turkey Stock Market

This paper investigates the effect of Coronavirus (COVID-19) on Turkey stock market. For this purpose, montly realized volatilities of 23 primary sector indices traded on Borsa İstanbul are calculated for the period of June 2019 to July 2020. After analyzing realized volatility values, it is found that: (1) COVID-19 caused volatility jump for all sector indices in March 2020, when cases in Turkey appeared and increased rapidly; (2) While the most volatility jump occurred in stocks of sports companies due to COVID-19, the least volatility jump occurred in stocks of insurance firms; (3) After March 2020, realized volatility values back to normal for all sector indices and the effect of COVID-19 on Turkey stock market volatility has disappeared. This paper, showing the impact of COVID-19 on the Turkish stock market and the recent state of the markets, is believed to provides important implications for not only investors, portfolio managers, and policymakers, but also for academics in economics and finance, who are all looking to demonstrate economic and financial effects of COVID-19.

The Impact of COVID-19 Pandemic on the Financial Contagion among Turkey, US, and China Stock Markets

Purpose – The aim of this study is to empirically examine the impact of COVID-19 on the dynamic correlation among the stock markets of Turkey, the United States, and China, and demonstrate the effects of search-based investor attention and newspaper-based infectious disease equity market volatility on the correlation among these markets. Design/methodology/approach – In this study, VAR(1)-DCC-GARCH(1,1) methodology is employed to examine the changes in the variances and dynamic correlations among markets after the outbreak of Covid-19. Then, least square regression analyses are done to examine the influences of search-based sentiment and newspaper-based infectious disease equity market volatility on the correlations obtained from VAR(1)-DCC-GARCH(1,1) model. Findings – Findings of this study demonstrate that the integration of the China stock market with Turkey and the US markets diminishes after the outbreak of a pandemic, while the dynamic correlation between the US and Turkey stock markets does not change significantly after Covid-19. Moreover, we present that increase in the media coverage of the Covid-19 related equity market volatility and search-based sentiment have explanatory power on the correlation between Turkey and US markets, especially after the Covid-19 is pronounced as a pandemic. Likewise, individual attention to Covid-19 negatively influences the correlation between Turkey and China. Discussion – This study presents that stock market integration is highly related to human health. Therefore, the results of this study offer inputs to investors and policymakers that can be used during infectious disease periods. Moreover, as public attention has a significant impact on the international stock market correlation, media coverages and information releases during low frequency, high severity events should be managed wisely.

FARKLI KITALARDA YER ALAN BORSA ENDEKSLERİNİN VIX(KORKU) ENDEKSİ İLE İLİŞKİSİ

This study attempts to analyze the relationship between the VIX index, which is expressed as the global fear index, and the stock exchange indexes of developed and developing countries located on different continents. In this context, by using daily data for time period between 30.01.2012 and 13.02.2020, whether there is a long term and causal relationship between Japan and China stock indices representing the continent of Asia, United States and Brazil stock indices representing the continent of America; Australian and New Zealand stock indices representing the continent of Australia; South Africa and Nigeria stock indices representing the continent of Africa and Germany and Turkey stock indices representing the continent of Europe and the VIX index were tested. As a result of the analysis, the long term relationship between VIX index and all of the stock indices was found. Additionally, in the short term, the causality relationship was found from VIX index to Dax (Germany), BIST 100 (Turkey), Shanghai (China ), S & P / ASX 200 (Australia), South Africa Top 40 (South Africa), Bovespa (Brazil), NSX 50 (New Zealand), NSE 30 (Nigeria), Nikkei 225 (Japan) except Dow 30 (United States).

Evaluation of biodiesel produced from tea seed oil in terms of fatty acid components

Factors such as increased energy demand, environmental pollution, energy security and ensuring energy sustainability have accelerated the search for alternative energy. The interest in renewable energy sources has increased with the decrease of oil, oil crises and the increase of environmental awareness. Biodiesel is an alternative energy source that is renewable with chemical methods from vegetable and animal oils. It does not cause CO₂ release and greenhouse effect compared to petro diesel. It is an environmentally friendly fuel. The tea seeds used in this study have been selected as an alternative from the idle tea seed for biodiesel production without harming the cooking oil stock in Turkey, which is an agricultural country where tea growing and tea consumption is increasing. Biodiesel production was investigated with the transesterification method, which is a method that reduces the production cost and viscosity of the oil obtained from tea seeds by using less chemicals to bring the idle tea seeds to the economy in Turkey and in the world.

EXAMINATION OF VOLATILITY STRUCTURE BETWEEN TURKISH STOCK MARKET AND COMMODITY MARKETS: A PERSPECTIVE FOR THE PERIOD OF 2015-2019

Commodity markets, both in the past and in modern times, have had an extraordinary economic impact on individuals and societies. Although it is not known exactly when and where commodity markets started, it is thought that it started about 6000 years ago with rice trade in China. Commodities, as raw material providers used in production, have an intensive usage area. This study aims to examine the global commodity prices such as gold ounce price, silver ounce price, copper price, Brent crude oil price, and natural gas prices, and the volatility structure in the Borsa Istanbul 100 index, representing the Turkey Stock Market. For this purpose, daily closing prices for the period of 2015 January-2019 December were examined in the study. To investigate the time evolution of correlations between the commodities and stock market, the dynamic conditional correlation (DCC) GARCH model is used. The results show that the volatility between the BIST 100 index and commodity prices has constant effects and a comprehensive volatility clustering arises.

Time-varying propagations between oil market shocks and a stock market: Evidence from Turkey

We use a Bayesian time-varying parameter vector autoregression (TVP-VAR) model to examine the time-varying transmission mechanisms between structural oil price shocks and Borsa Istanbul, Turkey's stock market (BIST). Our data span the period February 1988 to December 2018, and include monthly West Texas Intermediate (WTI) spot crude oil prices, world crude oil production data, a measure of global real economic activity (the Kilian Index), and BIST data. Accordingly, we contribute to the literature by using a novel approach to estimate the time-varying propagations between oil-specific shocks and financial activity in Turkey. Our results are in line with those of related studies, thus verifying the consistency of the TVP-VAR model in capturing the time-varying nature of oil price shocks.