Yazar "Akdag, Saffet" seçeneğine göre listele

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    A COMPARISON OF PORTFOLIO OPTIMIZATION RESULTS WITH FUZZY KONNO-YAMAZAKI LINEAR PROGRAMMING IN BULL AND BEAR MARKETS: THE CASE OF TURKEY
    (Acad Economic Studies, 2019) Iskenderoglu, Omer; Akdag, Saffet
    In this study, it is aimed to test whether or not the market regimes have impacts on portfolio optimization results by using fuzzy linear programming model.In this context, the bull and the bear market regimes of BIST 100 index as an accepted market indicator, between January 2000 and December 2016, are determined by Markov regime switching model. Portfolio optimization is carried out by using the fuzzy linear programming model for each of two different bulls and two different bear markets determined as the result of the analysis.According to optimization results, the bear markets have similarities within themselves while the bull markets differ. Thus, optimization results in the bull and the bear markets indicate discrepancies.
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    COMPARISON OF THE EFFECT OF VIX FEAR INDEX ON STOCK EXCHANGE INDICES OF DEVELOPED AND DEVELOPING COUNTRIES: THE G20 CASE
    (Walter De Gruyter Gmbh, 2020) Iskenderoglu, Omer; Akdag, Saffet
    This study aims to examine the potential causal relationship between the VIX and the indicator stock exchange index returns of G20 (9 developed and 10 developing) countries. Nineteen countries of the sample are G20 countries with available data. In this respect, the frequency domain Granger causality test of Breitung and Candelon (2006) is employed for the daily data between March 2011 and December 2017. The results obtained from the study indicate that there is no causal relationship between the VIX and the returns of the NASDAQ 100 index in developed countries. Similarly, no causal relationship is detected which runs from the VIX to the BIST100, BOVESPA, MERVAL, S&P/BMV IPC and TADAWUL stock index returns in developing countries. As a result, the causal relationship is more tend to be found in developed countries in comparison to developing countries.
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    Investigating the Risk Appetite Index with Markov Regime Model: Case of Turkey
    (Ege Univ, Fac Economics & Admin Sciences, 2019) Akdag, Saffet; Iskenderoglu, Omer
    Financial markets changes dynamically along with many internal and external factors. Investors' risk appetite is one of the key elements of volatility in financial markets. Risk appetite indexes are data published by the Central Securities Depository Institution having importance in terms of positioning besides determination for markets and investors. In this study, it is examined whether or not the calculated risk appetite index of all investors in Turkey is separated into regimes parametrically. On this respect, an analysis of Markov Regime Model has been employed on riskappetite index of all investors utilizing the weekly frequency data spanning from 2008 to 2016. The results from the study reveals that the risk appetite can be divided into high volatility and low volatility regimes parametrically. In addition, the economic crisis, political instability, increasing terror attacks in the World and Turkey are found to occur during the period of high volatility regime of risk apetite.
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    Is PMI a Leading Indicator: Case of Turkey
    (Sosyoekonomi Soc, 2020) Akdag, Saffet; Deran, Ali; Iskenderoglu, Omer
    In this study, the causal relationships of the Purchasing Managers Index (PMI) with various financial factors are examined. As a result of the analysis, it is determined that the change in the Istanbul-Stock-Exchange-Industry Index (ISEIND) causes the change in the PMI and the changes in the PMI also causes the changes in the Industrial-Production Index (IPI) and the Capacity-Utilization-Rates (CUR). It is also determined that the causality towards to PMI from the ISEIND and causality towards IPI from PMI is valid in the medium- and long-run, whereas the causality towards PMI to CUR are valid for the all periods. According to these results, PMI can be considered as a leading indicator for the real sector. However, the same result does not apply to the financial sector.
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    The volatility spillover effects among risk appetite indexes: insight from the VIX and the rise
    (Springer Heidelberg, 2020) Akdag, Saffet; Iskenderoglu, Omer; Alola, Andrew Adewale
    This study aims to test the volatility spillover effects among the global risk appetite, the VIX (also known as the fear index) and the RISE index (known as the indicator of investor risk appetite index in Turkey). A temporary or permanent causality Granger and Breitung Candelon (Breitung and Candelon in J Econom 132(2):363-378, 2006) frequency domain causality analyses were performed by using the weekly dataset spanning from January 2010 to December 2018. The results obtained from the study reveals a unilateral causal relationship running from the VIX toward the RISE index. This causality inference is also observed separately in the short-, medium- and the long-run. Consequently, the investigation found that there is a permanent causal relationship running from the VIX toward the RISE index. These results also indicate the existence of the volatility spillover effect among the risk appetite indexes. Consequently, the current study offers significant policy directives from the side of the government and other stakeholders especially that are targeted at mitigating fear factors in the economy.