Stock Market In Turkey Research Articles

The impact of gold and crude oil prices on stock market in Turkey: Empirical evidences from ARDL bounds test and combined cointegration

This paper investigates the long-run and short-run interaction between stock prices, gold prices and crude oil prices by applying monthly data from Turkey for the period between January 1986 and November 2016. This study uses the autoregressive distributed lag (ARDL) model to estimate the cointegration and short-run relationship. The robustness of the ARDL bounds test of cointegration is confirmed using the newly-developed combined cointegration, which also provides the same evidence for a strong long-run relationship. Additionally, this study uses FMOLS, DOLS and CCR cointegrating equations to examine the long-run coefficients between the variables. The evidence reveals that both short-run and long-run results confirm negative relationship between the gold price and stock prices, and a positive relationship between crude oil and stock prices. Furthermore, stock price converges to its long-run equilibrium position by 0.39% speed of adjustments using channel of gold prices and crude oil prices. Finally, the result of the Granger causality test indicates a short-run, long-run and joint unidirectional causation from gold prices to stock prices.

Stock market anomalies: the day of the week effects, evidence from Borsa Istanbul

This study was conducted to investigate the market anomalies in the Borsa Istanbul Index (BIST). The scope of this study is to examine the Monday effects in BIST that are stock index of Turkey with an data set that contains daily stock prices between 02.01.2010 and 22.10.2014. The stock returns of the 289 companies were calculated according to the daily historical stock prices of companies. These returns were classified based on the sectors, and statistically analysed if the days of the week had any effects on Monday when the daily stock returns of Monday were fixed constant. The findings showed that the stock returns on Monday were affected by the other days. These effects were mostly negative, and varied according to the stocks and sectors. Thursday and Friday had the highest effect, whereas Tuesday had the least effect on the stocks. The results show that the stock market in Turkey has market anomaly, and BIST is not an efficient market.

Individual Pension Funds and Capital Market Development in Turkey

AbstractBeginning with the 1980s, when the sustainability of the public pension systems became endangedered, many countries have developed their individual pension plans and/or occupational pension plans in order to supersede or support their public pension systems,. This study examines the impact of individual pension funds on the development of both debt securities market and stock market in Turkey during the period October 2006-May 2015, using Hatemi (2008) cointegration test and Toda and Yamamoto (1995) causality test with monthly data. We found that, in the long run, the private pension funds had positive impact on both development of debt securities market and stock market. Furthermore, causality appears to exist between the market for private pension funds, the debt securities market and the stock market.

The effect of futures trading on spot market volatility: evidence from Turkish Derivative Exchange

High volatility during the 1990s in Turkey's stock market discouraged many small investors from entering the markets. The financial and economic stabilisation program which started in 2002, coupled with the setup of TURKDEX in 2005, allowed investors to hedge their financial risks. In this study, in conjunction with the GARCH, using EGARCH and TARCH models, we analysed the effect of futures trading in Turkish spot market volatility with BIST30 index that reflects the robust capital structure of the companies within the index. Unlike what is extant in the literature, this study uses two dummy variables which are for constant and slope coefficients and an independent variable, Dollar-Euro basket to improve the significance of the model, and a dummy variable to decrease spurious effects during the crises period of 2001 and 2008. Findings indicate with the setup of TURKDEX in 2005, the BIST30 index volatility level has decreased.

Impact of short selling activity on market dynamics: Evidence from an emerging market

With unique daily short sale data of Borsa Istanbul (stock exchange of Turkey), we investigate the dynamic relationship between short selling activity and volatility, liquidity and market return from January 2005 to December 2012 using a VAR(p)-cDCC-FIEGARCH(1,d,1) approach. Our findings suggest that short sellers are contrarian traders and contribute to efficient stock market in Turkey. We also show that increased short selling activity is associated with higher liquidity and decreased volatility. However this relation weakens during the financial turmoil of 2008. Our results indicate that any ban on short sales may be detrimental for financial stability and market quality in Turkey.

Correlation between the Economy News and Stock Market in Turkey

Depending on the market strength and structure, it is a known fact that there is a correlation between the stock market values and the content in newspapers. The correlation increases in weak and speculative markets, while they never get reduced to zero in the strongest markets. This research focuses on the correlation between the economic news published in a highly circulating newspaper in Turkey and the stock market closing values in Turkey. In the research several feature extraction methodologies are implemented on both of the data sources, which are the stock market values and economic news. Since the economic news is in natural language format, the text mining technique, term frequency – inverse document frequency is implemented. On the other hand, the time series analysis methods like random walk, Bollinger band, moving average or difference are applied over the stock market values. After the feature extraction step, the classification methods are built on the well-known classifiers support vector machine, k-nearest neighborhood and decision tree. Moreover, an ensemble classifier based on majority voting is implemented on top of these classifiers. The success rates show that the results are satisfactory to claim the methods implemented in this study can be spread to future research with similar data sets from other countries.

Regulation in Stock Market of Turkey

Capital Markets Board of Turkey (CMB) is the regulatory and supervisory authority in charge of the securities markets in Turkey along with ISE which provides the platform for the trading of securities. Empowered by the Capital Markets Law (CML), which was enacted in 1981, the CMB has been making detailed regulations for organizing the markets and developing capital market instruments and institutions in Turkey. Based on the main objectives of fair and orderly functioning of the markets and protecting the rights of investors, the CMB has a wide range of responsibilities. Its first and foremost function is to make innovative regulations, and perform supervision with the aim of ensuring fairness, efficiency and transparency in Turkish capital markets, and improving their international competitiveness. The paper talks about the functions of the ISE and the stock market prevailing in Turkey. It then goes ahead to discuss the CMB and its objectives and finally states the legal framework of capital markets and the way CMB acts as a regulatory framework of the stock market in Turkey.

Estimating the Effects of Interest Rates on Share Prices in Turkey Using a Multi-Scale Causality Test

This paper examines the impact of changes in interest rates on stock returns in Turkey by using wavelet analysis with Granger causality tests. By using daily closing values of the ISE 100 Index and interest rates, it is proven that starting with the 9 day time-scale effect, Granger interest rates cause the ISE 100 index and the effect of interest rates on stock returns to increase with higher time-scales. This evidence shows that the bond market has a significant long-term effect on the stock market in Turkey.

The effects of the exchange rate movements on the Istanbul stock exchange

This study examines the effects of exchange rate movements on the stock market in Turkey using a monthly VAR model for the period from January 1997 to November 2003. The full sample period contains two main changes in the exchange rate policy which happened in January 1990 and December 1999. To account for these changes, two different sub-periods January 1997 to November 1999 and January 2000 to November 2003 are also considered. The first period results indicate that there is a positive relationship between currency depreciation and most of the market indices. However, in the second period, the currency depreciation shows a negative impact in the initial level.

Trading Turkey's External and Internal Risks: A Value at Risk Analysis

In earlier work we showed we could not reject the hypothesis that returns to investments in Turkey's stock market were positive functions of risk generated by the World outside Turkey and by risks unique to Turkey. We found statistical evidence of Turkey's internal risks producing substantial returns and changes in returns over time. This article carries the analysis further by bringing our earlier results into a more concrete environment, asking whether these risks can be profitably managed as a practical matter. In particular we consider results of two strategies in trading cross-market portfolios. We examine a long position in the ISE Dollar Return Index, offset by a short position in the S&P 500 Composite Total Returns Index. In this analysis we verify profitability directly by computing actual profit produced by an implementable trading strategy. We identify our two portfolio management strategies using Value-at-Risk-inspired measures of risk and return. We also examine the importance of secondary issues in portfolio management, such as identification of buy and sell signals and selection of a trading position. We examine two issues determining the performance of a trading position in this cross-market portfolio. First, are there predictable and substantial periods of time when it is good to be long Turkey and short the Rest of the World and the reverse? Second, how important is it to monitor the time path of the risks unique to Turkey's Financial Markets in comparing returns in Turkish and World Markets? Our answers are first, Yes and second, Very.