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Öğe 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, SaffetIn 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.Öğe A research for the competitive environment hypothesis in the short-run for the Turkish manufacturing industry(ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD, 2016) Iskenderoglu, Omer; Ozturk, IlhanThe competitive environment hypothesis is one of the basic ideas in mainstream economic theory. It states that the competitive process eliminates all economic profits and losses in the long-run so profits do not persist. This article studies the competitive environment hypothesis of 125 Istanbul Stock Exchange (ISE) quoted manufacturing firms that survived during the period of 2009:1-2010:4, which can be considered as the short-run. Net income after tax to total assets (return on assets [ROA]) and net income after tax to total equity (return on equity [ROE]) are both used as profit measures. Starting with Levin et al. and Im et al.'s panel unit root tests, pooled Ordinary Least Squares (OLS), panel fixed effects and cross-sectional analysis are employed. The results indicate that competitive environment hypothesis is viable and profits do not persist in the short-run.Öğe AN INVESTIGATION OF EFFICIENT MARKET HYPOTHESIS IN OECD COUNTRIES(NATL ACAD MANAGEMENT, 2012) Karadeniz, Erdinc; Ozturk, Ilhan; Iskenderoglu, OmerThis study aims to investigate whether stock price returns are on a random walk for OECD countries. Using quarterly data for the 2005:1 - 2011:2 period, LM unit root test is employed which endogenously determines up to two structural breaks in level and trend. The empirical findings suggest a combination of random walk and mean reversion results for OECD countries. The results show that efficient market hypothesis (EMH) is confirmed in 13 out of 34 OECD countries. However, with regard to the panel unit root test, the OECD countries share price index returns are mean reverting which highlights the fact that the EMH is not valid.Öğe Banking sector performance and economic growth: evidence from Southeast European countries(Routledge Journals, Taylor & Francis Ltd, 2020) Zeqiraj, Veton; Hammoudeh, Shawkat; Iskenderoglu, Omer; Tiwari, Aviral KumarUsing a dynamic panel generalized method of moments (GMM), this paper examines the dynamic impact of banking sector performance on economic growth in thirteen Southeast European countries over the period 2000-2015 by taking into account human capital, investment, and trade openness, among other factors. The main empirical finding suggests a positive and significant impact of banking sector performance on economic growth, which implies that banking efficiency is among the main determinants of overall economic growth. Further, the impact of investment, human capital, and trade openness is found to be positive and significant. The major policy recommendation is that the governments in the respective countries should foster their banking system because of its direct impact on economic growth.Öğe 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, SaffetThis 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.Öğe Conformity of Earthquake Magnitudes to Benford's Law: the Case of Kahramanmaras Earthquakes(Afet ve Acil Durum Yonetimi Baskanligi (AFAD), 2023) Ayyildiz, Nazif; Karadeniz, Erdinc; Iskenderoglu, OmerThe aim of this study is to determine whether the earthquake magnitude data comply with Benford's Law. To this end, magnitude data of 14.565 earthquakes that occurred in Turkey between January 1, 2023, and February 27, 2023, were analyzed by comparing them with the numerical distribution of Benford's Law. According to the results obtained from the analysis, it has been determined that the earthquake magnitude digits conform to Benford's Law and closely follow Benford's Law with very small deviations. These small deviations are thought to arise from the rounding of magnitude data to a single decimal place, the inability to detect very small magnitude earthquakes occurring deeper than a certain depth, or very small measurement errors in the existing data. Therefore, it can be said that earthquake occurrences occur as a result of natural processes and earthquake magnitudes are determined correctly. © 2023 The Author(s).Öğe Does the level of financial development affect renewable energy? Evidence from developed countries with system generalized method of moments (System-GMM) and cross-sectionally augmented autoregressive distributed lag (CS-ARDL)(Wiley, 2022) Saygin, Oguz; Iskenderoglu, OmerThe relationship between financial development and energy consumption is the most frequently research subject in economy and finance. The main objective of conducting this paper is to answer does financial development have an impact on renewable energy in developed countries? Many papers performed in energy literature, the findings were pointing to the existence of this kind of relationship. In order to examine the relationship between financial development and renewable energy consumption, a total of 23 developed countries, benefited from annual frequency data between 1990 and 2015. In addition to the widely used system generalized method of moments estimation method, models are also estimated with modern estimators using the cross-sectionally augmented autoregressive distributed lag. As a result of the analysis performed indicates that there is a strong relationship between financial development and renewable energy consumption in developed countries when financial development is measured using banking variables. Otherwise, the estimated coefficients on stock market variables are negative and none of them found statistically significant in all models. These findings are consistent for both estimators.Öğe Dynamic Impact of Banking Performance on Financial Stability: Fresh Evidence from Southeastern Europe(Sciendo, 2021) Zeqiraj, Veton; Mrasori, Flamur; Iskenderoglu, Omer; Sohag, KaziThis study addresses the issue of whether banking performance impacts financial stability in Southeastern European countries. To answer this question, the GMM approach has been applied in the analyses of the panel data over the period 2000-2015 for Southeastern Europe. The findings reveal the presence of significant positive long-run relationship between ROA, ROE, trade openness, and human capital, while government expenditures have negative impact on financial stability. Trade openness, human capital and government expenditures can keep the financial system stable as a whole. The Granger causality analysis discloses the main hypothesis where the banking system in this part of Europe accounts for more than 80% of the financial system. The study sheds light to the policymakers and research about the role of banking performance on financial stability for this region of Europe.Öğe Financial Failure Risk- Firm Value Nexus: Evidence from The European Lodging Companies(Sosyoekonomi Soc, 2022) Karadeniz, Erdinc; Iskenderoglu, Omer; Ocek, CemileThis research study aims to determine the relationship between the financial failure risk and firm value in lodging companies operating in the European lodging industry. The impact of financial failure risks on firm value in lodging companies is tested with the Generalized Method of Moments (GMM) on several econometric models established for the research study. As a result of the analysis, according to the Fulmer H Score, Ohlson Score, and Springate Score models, it is determined that the firm values increase as the financial failure risks of lodging companies decrease. There is a limited number of studies in the finance literature examining the effect of the financial failure of lodging companies on financial performance. In this context, the study tries to reveal the relationship between the risk of financial failure and firm value in lodging companies by contributing to the tourism and finance literature.Öğe How effective is machine learning in stock market predictions?(Cell Press, 2024) Ayyildiz, Nazif; Iskenderoglu, OmerIn this study, it is aimed to compare the performances of the algorithms by predicting the movement directions of stock market indexes in developed countries by employing machine learning algorithms (MLMs) and determining the best estimation algorithm. For this purpose, the movement directions of indexes such as the NYSE 100 (the USA), NIKKEI 225 (Japan), FTSE 100 (the UK), CAC 40 (France), DAX 30 (Germany), FTSE MIB (Italy), and TSX (Canada) were estimated by employing the decision tree, random forest k -nearest neighbor, naive Bayes, logistic regression, support vector machines and artificial neural network algorithms. According to the results obtained, artificial neural networks were found to be the best algorithm for NYSE 100, FTSE 100, DAX 30 and FTSE MIB indices, while logistic regression was determined to be the best algorithm for the NIKKEI 225, CAC 40, and TSX indices. The artificial neural networks, which exhibited the highest average prediction performance, have been determined as the best prediction algorithm for the stock market indices of developed countries. It was also noted that artificial neural networks, logistic regression, and support vector machines algorithms were capable of predicting the directional movements of all indices with an accuracy rate of over 70 %.Öğe Investigating the Risk Appetite Index with Markov Regime Model: Case of Turkey(Ege Univ, Fac Economics & Admin Sciences, 2019) Akdag, Saffet; Iskenderoglu, OmerFinancial 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.Öğe Is PMI a Leading Indicator: Case of Turkey(Sosyoekonomi Soc, 2020) Akdag, Saffet; Deran, Ali; Iskenderoglu, OmerIn 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.Öğe PERSISTENCE OF PROFIT IN TURKISH BANKING FIRMS: EVIDENCE FROM PANEL LM TESTS(NATIONAL ACAD MANAGEMENT, 2011) Iskenderoglu, Omer; Asian, Alper; Ozturk, IlhanThis paper examines the persistence of profit within Turkish banking system for the period 1998:1-2009:4 by focusing on both net income after tax to total assets (ROA) and net income after tax to total equity (ROE) as profit measures by utilizing panel LM unit root test. We found that competition among surviving banks is high within the Turkish banking system for the studied period. When we compare ROA and ROE results in terms of persistence, competition is higher in Turkish banking system for ROE than for ROA.Öğe Persistence of profit in Turkish banking firms: Evidence from panel lm tests(National Academy of Management, 2011) Iskenderoglu, Omer; Aslan, Alper; Ozturk, IlhanThis paper examines the persistence of profit within Turkish banking system for the period 1998:1 2009:4 by focusing on both net income after tax to total assets (ROA) and net income after tax to total equity (ROE) as profit measures by utilizing panel LM unit root test. We found that competition among surviving banks is high within the Turkish banking system for the studied peri od. When we compare ROA and ROE results in terms of persistence, competition is higher in Turkish banking system for ROE than for ROA. © Omer Iskenderoglu, Alper Aslan, Ilhan Ozturk, 2011.Öğe Profit persistence in energy industry: A comparison between listed and unlisted companies(Econjournals, 2018) Iskenderoglu, Omer; Haykir, OzkanIn this paper, we examine the profit persistency for energy industry around the world during the sample period between 2010 and 2016. We distinguish our dataset into two groups: The listed and unlisted companies to see whether these groups show a different pattern. Profit is measured using four different proxies; namely, return on asset, return on equity, return on capital employed and profit margin. The results of this study indicates that profits do not persist. Where it means that competition in the energy industry is high. In addition, the competition is found to be higher in listed companies compare to unlisted companies. © 2018, Econjournals. All rights reserved.Öğe The nexus between financial development and renewable energy consumption: a review for emerging countries(Springer Heidelberg, 2022) Saygin, Oguz; Iskenderoglu, OmerThe relationship between financial development and energy consumption is the most frequently research field in finance and economy. The main objective of performing this study is to answer that is there a relationship between financial development and renewable energy consumption in emerging countries? In many studies carried out in literature, the empirical findings were pointing to the existence of thiss relationship. To examine the relationship between financial development and renewable energy consumption, a total of 20 emerging countries were obtained from annual frequency data between 1990 and 2015. The system GMM estimation was used as the method of study. As a result of the analysis performed, it indicates that financial development does not impact renewable energy consumption in emerging countries when financial development is measured using both banking and stock market variables. Additionally, it can be said that the financial development increases renewable energy consumption if it is measured by only stock market capitalization.Öğe The volatility spillover effects among risk appetite indexes: insight from the VIX and the rise(Springer Heidelberg, 2020) Akdag, Saffet; Iskenderoglu, Omer; Alola, Andrew AdewaleThis 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.
