Vedat Akgiray | Bogazici University (original) (raw)

Papers by Vedat Akgiray

Research paper thumbnail of Emeklilik Fonlar? ve Finansal ?stikrar

International Journal of Finance & Banking Studies, Jul 21, 2016

*Bu çalışmaya değerli katkılarından dolayı Sermaye Piyasası Profesyonelleri"ne teşekkür ediyoruz.... more *Bu çalışmaya değerli katkılarından dolayı Sermaye Piyasası Profesyonelleri"ne teşekkür ediyoruz. Ayrıca, OECD verilerinin derlenmesi ve yorumlanması sırasındaki yardımlarından dolayı Pablo Antolin ve Serdar Çelik"e teşekkürlerimizi sunuyoruz.

Research paper thumbnail of The Stable-Law Model of Stock Returns

Journal of Business & Economic Statistics, 1988

... For example, now there is no known model of portfolio analysis in which portfolio returns are... more ... For example, now there is no known model of portfolio analysis in which portfolio returns are not assumed to be stable or normal. Second, most alternative models (for in-stance, continuous or discrete mixtures of normals) require much more complex specifications, making ...

Research paper thumbnail of Good Finance

Research paper thumbnail of Emeklilik Fonlar? ve Finansal ?stikrar: ?ili ve Türkiye Örneklerinden Dersler

Emeklilik fonlar?, i) uzun vadeli yat?r?m perspektifine sahip olmas?, ii) finansal piyasalardaki ... more Emeklilik fonlar?, i) uzun vadeli yat?r?m perspektifine sahip olmas?, ii) finansal piyasalardaki oynakl??? uzun vadeye yayarak absorbe edebilmesi, ve iii) yat?r?mlar?n? hisse senedi ve altyap? fonlar? ile reel ekonomiye aktarmalar? sayesinde; finansal piyasalardaki oynakl???n azalmas?na katk?da bulunmaktad?r. Bu çal??ma, geli?mekte olan ülkelerde (GOÜ),  emeklilik fonlar?n?n ekonomideki pay?n?n en dü?ük oldu?u ülkelerden Türkiye'de (%2) ve en yüksek oldu?u ülkelerden ?ili'de (%66) emeklilik sistemlerinin kar??la?t?rmal? analizini sunarak, emeklilik fonlar?n?n finansal piyasalardaki oynakl??a olan etkisini 2004-2014 dönemi için incelemektedir. Çal??ma ayn? zamanda, Türkiye’de uygulanmas? planlanan ‘otomatik kat?l?m sistemi’ ve bu sistemi tamamlay?c? ‘fon ürünleri’ üzerine politika önerilerini de kapsamaktad?r

Research paper thumbnail of The Effect of the Issuer-Underwriter Relationship on IPOs: The Case of an Emerging Market

The Journal of Entrepreneurial Finance

The aim of this paper is to investigate the impact o f the issuer-underwriter relationship on the... more The aim of this paper is to investigate the impact o f the issuer-underwriter relationship on the price performance of IPOs in the Turkish market. IPOs by related underwriters are found to exhibit higher levels of underpricing. Empirical evidence does not lend support for the certification effect. The outcome o f higher underpricing may be due to deliberate underpricing by the related underwriter in order to make subsequent IPOs by the same group more attractive or may have to do with market recognition of potential conflict of interest. The pricing behavior of initial public offerings (IPOs) has attracted widespread research attention both in developed and emerging markets. Explanations for the widely documented IPO underpricing phenomenon differ according to firm characteristics, market regulations and other contextual factors. Different factors are found to affect the magnitude and causes of underpricing across both developed and emerging markets. The main purpose o f this paper is to investigate the impact of the issuer-underwriter relationship on the price performance of IPOs in one of the emerging market settings, namely Turkey. Emerging markets are characterized by severe agency and information asymmetry problems stemming from ineffective regulatory environment, weak minority shareholder protection. Bengi Ertuna is an associate professor of finance ia the School o f Applied Disciplines at Bogazi9i University. Her research interests include small business finance, initial public offerings and corporate governance (bengie@boun.edu.tr). Metin Ercan is Associate Professor of Finance at Bogazici University. He has published extensively in the areas of privatization, reform of the social security system, capital market development and the performance of the banking system in Turkey (mercan@boun.edu.tr). Vedat Akgiray is a professor of finance and the chairman of Financial Engineering Department at Bogazici University. His current research is in the area of stochastic modeling in risk management

Research paper thumbnail of Emeklilik Fonlari ve Finansal Istikrar:Sili ve Turkiye Orneklerinden Dersler

International Journal of Finance & Banking Studies, 2016

*Bu çalışmaya değerli katkılarından dolayı Sermaye Piyasası Profesyonelleri"ne teşekkür ediyoruz.... more *Bu çalışmaya değerli katkılarından dolayı Sermaye Piyasası Profesyonelleri"ne teşekkür ediyoruz. Ayrıca, OECD verilerinin derlenmesi ve yorumlanması sırasındaki yardımlarından dolayı Pablo Antolin ve Serdar Çelik"e teşekkürlerimizi sunuyoruz.

Research paper thumbnail of The statistical evolution of prices on the Istanbul Stock Exchange

This study documents the statistical properties of the stock returns on the Istanbul Stock Exchan... more This study documents the statistical properties of the stock returns on the Istanbul Stock Exchange (ISE) for the January 1988 to December 1999 period and tries to assess the evolution of the underlying stochastic structure over this time period. It also investigates empirically the relative efficiency of the ISE to test whether the rapid development of this market over the last decade caused it to become a relatively more efficient market. This is accomplished through a number of parametric and non-parametric tests of the random walk hypothesis using daily, weekly and monthly observations of the value-weighted ISE-100 index series. The emphasis is more on the evolution of the price process than on static tests of a random walk model as such. The findings indicate that the price mechanism in the ISE has evolved into a more informationally efficient process in little more than a decade of existence.

Research paper thumbnail of Evolution of prices on the Istanbul Stock Exchange 511 Table 1

This study documents the statistical properties of the stock returns on the Istanbul Stock Exchan... more This study documents the statistical properties of the stock returns on the Istanbul Stock Exchange (ISE) for the January 1988 to December 1999 period and tries to assess the evolution of the underlying stochastic structure over this time period. It also investigates empirically the relative efficiency of the ISE to test whether the rapid development of this market over the last decade caused it to become a relatively more efficient market. This is accomplished through a number of parametric and non-parametric tests of the random walk hypothesis using daily, weekly and monthly observations of the value-weighted ISE100 index series. The emphasis is more on the evolution of the price process than on static tests of a random walk model as such. The findings indicate that the price mechanism in the ISE has evolved into a more informationally efficient process in little more than a decade of existence.

Research paper thumbnail of Good Finance

Research paper thumbnail of Empirical tests of two stochastic processes for stock market prices (stable, diffusion, jump, bootstrap, pareto distribution)

ABSTRACT Thesis (Ph. D.)--Syracuse University. Vita. Includes bibliographical references (leaves ... more ABSTRACT Thesis (Ph. D.)--Syracuse University. Vita. Includes bibliographical references (leaves 146-155). Microfilm. s

Research paper thumbnail of The Impact of Financial Innovation and Risk Management on Economic Performance

The last 25 years have witnessed extensive financial innovation and this had led to revolutionary... more The last 25 years have witnessed extensive financial innovation and this had led to revolutionary changes in the international financial system. It is true that financial innovation has been going on since the 17th century and most of the products developed during the last two decades, although mentioned as new, are only versions of much older products. When the history of financial innovation is studied, it is seen that the seemingly new instruments, such as options and futures are not entirely new. For example, organised futures exchanges were established in Chicago, Frankfurts and London in the 19th century. Options and futures-like contracts in Amsterdam and forward contracts in rice in Japan were traded in the 17th century. However, the proliferation of organised markets in derivatives securities around the world during the last two decades is unparalleled in history. Miller (1992) describes the 1970-1990 period as unique in history, in that “no 20-year in financial history has...

Research paper thumbnail of The Role of the State in MENA Capital Markets

Within the Middle East and North Africa (MENA) region, a common feature of corporate financial st... more Within the Middle East and North Africa (MENA) region, a common feature of corporate financial structures is that governments have always been majority owners of many commercial companies. This chapter provides a detailed picture of state ownership in the region. It finds evidence of a decline in the privatization effort in the 2000s. Privatization may be important for the development of institutional ownership, yet, in some cases, it may not be in the best interests of the public, when cronyism is prevalent. In this context, it is important to understand the role of the state in the growth of capital markets in the region, and the efficiency of the overall development model.

Research paper thumbnail of Modeling the Stochastic Behavior of Canadian Foreign Exchange Rates

This paper investigates the statistical properties ol' seven Canadian foreign exchange rates.... more This paper investigates the statistical properties ol' seven Canadian foreign exchange rates. Empirical densities 01' these exchange rate returns have thicker tails and more peaked centers than a normal density. Further, these returns exhibit significant degrees of linear and nonlinear statistical dependence. The presence of leptokurtosis, however, cannot be attributed fully to time dependence. Autoregressive conditionally heteroscedastic processes with conditional t-distributions for their increments are shown to model all of the seven empirical processes.

Research paper thumbnail of The European Union Portfolio-Diversification Opportunities in the New Members vs. the Candidate: Turkey

This paper investigates the comparative long term diversification benefits of Czech Republican, H... more This paper investigates the comparative long term diversification benefits of Czech Republican, Hungarian, Polish and Turkish stock markets in the EU portfolio during the accession. The contribution is explored within the Mean- Variance framework using Jobson and Korkie’s asset set spanning test. Furthermore, Stein estimation is employed. It is found that among the studied emerging markets, only inclusion of Turkish stock market in the EU portfolio provided a significant leftward shift of the efficient frontier. This finding confirms the higher integration of Czech Republic, Hungary and Poland stock markets with the EU portfolio while also suggesting the partial integration of Turkey.

Research paper thumbnail of The Potential for Blockchain Technology in Corporate Governance

OECD Corporate Governance Working Papers

OECD Corporate Governance Working Papers provide timely analysis and information on national and ... more OECD Corporate Governance Working Papers provide timely analysis and information on national and international corporate governance issues, including capital market developments, state ownership and privatisation policies. The working paper series is designed to make select studies by the OECD Corporate Governance Committee, OECD staff members and outside consultants available to a broad audience. OECD CORPORATE GOVERNANCE WORKING PAPERS are published on www.oecd.org/daf/corporateaffairs/wp This document and any map included herein are without prejudice to the status of or sovereignty over any territory, to the delimitation of international frontiers and boundaries and to the name of any territory, city or area.

Research paper thumbnail of Les tremblements de terre de 1999 dans la région de la mer de Marmara en Turquie

Catastrophes de grande ampleur, 2005

Le 17 aout 1999, un seisme d’une magnitude de 7.6 a frappe les circonscriptions administratives d... more Le 17 aout 1999, un seisme d’une magnitude de 7.6 a frappe les circonscriptions administratives de Kocaeli et de Sakarya dans le nord-ouest de la Turquie. Il a rapidement ete suivi d’un autre grand seisme d’une magnitude de 7.2 dans une region voisine centree autour de Duzce. Ces catastrophes ont touche une large zone englobant les villes de Kocaeli...

Research paper thumbnail of The 1999 Marmara earthquakes in Turkey

Large-Scale Disasters, 2004

... A government-controlled insurance pool called the “Turkish Catastrophic Insurance Pool (TCIP)... more ... A government-controlled insurance pool called the “Turkish Catastrophic Insurance Pool (TCIP)” has been put in place to transfer the national risk into worldwide risk-sharing markets, managed by international reinsurance companies and backed by substantial capital ...

Research paper thumbnail of Emeklilik Fonları ve Finansal İstikrar: Şili ve Türkiye Örneklerinden Dersler(Pension Funds and Financial Stability: Lessons from Chili and Turkey )

International Journal of Finance & Banking Studies (2147-4486)

<p&amp... more <p>Emeklilik fonları, i) uzun vadeli yatırım perspektifine sahip olması, ii) finansal piyasalardaki oynaklığı uzun vadeye yayarak absorbe edebilmesi, ve iii) yatırımlarını hisse senedi ve altyapı fonları ile reel ekonomiye aktarmaları sayesinde; finansal piyasalardaki oynaklığın azalmasına katkıda bulunmaktadır. Bu çalışma, gelişmekte olan ülkelerde (GOÜ), emeklilik fonlarının ekonomideki payının en düşük olduğu ülkelerden Türkiye'de (%2) ve en yüksek olduğu ülkelerden Şili'de (%66) emeklilik sistemlerinin karşılaştırmalı analizini sunarak, emeklilik fonlarının finansal piyasalardaki oynaklığa olan etkisini 2004-2014 dönemi için incelemektedir. Çalışma aynı zamanda, Türkiye’de uygulanması planlanan ‘otomatik katılım sistemi’ ve bu sistemi tamamlayıcı ‘fon ürünleri’ üzerine politika önerilerini de kapsamaktadır.</p><p> </p>

Research paper thumbnail of Robust term structure estimation in developed and emerging markets

Annals of Operations Research, 2016

Research paper thumbnail of Compound Distribution Models of Stock Returns: An Empirical Comparison

Journal of Financial Research, 1987

ABSTRACT The study provides empirical tests and comparison of mixed diffusion-jump processes and ... more ABSTRACT The study provides empirical tests and comparison of mixed diffusion-jump processes and finite mixtures of normal processes as models of stock price behavior. For weekly returns, both specifications have significantly higher descriptive validity than a stationary normal distribution, and, in most cases, mixed diffusion-jump processes are empirically superior to finite normal mixtures. The distribution of monthly returns, however, can be safely assumed to be approximately normal.

Research paper thumbnail of Emeklilik Fonlar? ve Finansal ?stikrar

International Journal of Finance & Banking Studies, Jul 21, 2016

*Bu çalışmaya değerli katkılarından dolayı Sermaye Piyasası Profesyonelleri"ne teşekkür ediyoruz.... more *Bu çalışmaya değerli katkılarından dolayı Sermaye Piyasası Profesyonelleri"ne teşekkür ediyoruz. Ayrıca, OECD verilerinin derlenmesi ve yorumlanması sırasındaki yardımlarından dolayı Pablo Antolin ve Serdar Çelik"e teşekkürlerimizi sunuyoruz.

Research paper thumbnail of The Stable-Law Model of Stock Returns

Journal of Business & Economic Statistics, 1988

... For example, now there is no known model of portfolio analysis in which portfolio returns are... more ... For example, now there is no known model of portfolio analysis in which portfolio returns are not assumed to be stable or normal. Second, most alternative models (for in-stance, continuous or discrete mixtures of normals) require much more complex specifications, making ...

Research paper thumbnail of Good Finance

Research paper thumbnail of Emeklilik Fonlar? ve Finansal ?stikrar: ?ili ve Türkiye Örneklerinden Dersler

Emeklilik fonlar?, i) uzun vadeli yat?r?m perspektifine sahip olmas?, ii) finansal piyasalardaki ... more Emeklilik fonlar?, i) uzun vadeli yat?r?m perspektifine sahip olmas?, ii) finansal piyasalardaki oynakl??? uzun vadeye yayarak absorbe edebilmesi, ve iii) yat?r?mlar?n? hisse senedi ve altyap? fonlar? ile reel ekonomiye aktarmalar? sayesinde; finansal piyasalardaki oynakl???n azalmas?na katk?da bulunmaktad?r. Bu çal??ma, geli?mekte olan ülkelerde (GOÜ),  emeklilik fonlar?n?n ekonomideki pay?n?n en dü?ük oldu?u ülkelerden Türkiye'de (%2) ve en yüksek oldu?u ülkelerden ?ili'de (%66) emeklilik sistemlerinin kar??la?t?rmal? analizini sunarak, emeklilik fonlar?n?n finansal piyasalardaki oynakl??a olan etkisini 2004-2014 dönemi için incelemektedir. Çal??ma ayn? zamanda, Türkiye’de uygulanmas? planlanan ‘otomatik kat?l?m sistemi’ ve bu sistemi tamamlay?c? ‘fon ürünleri’ üzerine politika önerilerini de kapsamaktad?r

Research paper thumbnail of The Effect of the Issuer-Underwriter Relationship on IPOs: The Case of an Emerging Market

The Journal of Entrepreneurial Finance

The aim of this paper is to investigate the impact o f the issuer-underwriter relationship on the... more The aim of this paper is to investigate the impact o f the issuer-underwriter relationship on the price performance of IPOs in the Turkish market. IPOs by related underwriters are found to exhibit higher levels of underpricing. Empirical evidence does not lend support for the certification effect. The outcome o f higher underpricing may be due to deliberate underpricing by the related underwriter in order to make subsequent IPOs by the same group more attractive or may have to do with market recognition of potential conflict of interest. The pricing behavior of initial public offerings (IPOs) has attracted widespread research attention both in developed and emerging markets. Explanations for the widely documented IPO underpricing phenomenon differ according to firm characteristics, market regulations and other contextual factors. Different factors are found to affect the magnitude and causes of underpricing across both developed and emerging markets. The main purpose o f this paper is to investigate the impact of the issuer-underwriter relationship on the price performance of IPOs in one of the emerging market settings, namely Turkey. Emerging markets are characterized by severe agency and information asymmetry problems stemming from ineffective regulatory environment, weak minority shareholder protection. Bengi Ertuna is an associate professor of finance ia the School o f Applied Disciplines at Bogazi9i University. Her research interests include small business finance, initial public offerings and corporate governance (bengie@boun.edu.tr). Metin Ercan is Associate Professor of Finance at Bogazici University. He has published extensively in the areas of privatization, reform of the social security system, capital market development and the performance of the banking system in Turkey (mercan@boun.edu.tr). Vedat Akgiray is a professor of finance and the chairman of Financial Engineering Department at Bogazici University. His current research is in the area of stochastic modeling in risk management

Research paper thumbnail of Emeklilik Fonlari ve Finansal Istikrar:Sili ve Turkiye Orneklerinden Dersler

International Journal of Finance & Banking Studies, 2016

*Bu çalışmaya değerli katkılarından dolayı Sermaye Piyasası Profesyonelleri"ne teşekkür ediyoruz.... more *Bu çalışmaya değerli katkılarından dolayı Sermaye Piyasası Profesyonelleri"ne teşekkür ediyoruz. Ayrıca, OECD verilerinin derlenmesi ve yorumlanması sırasındaki yardımlarından dolayı Pablo Antolin ve Serdar Çelik"e teşekkürlerimizi sunuyoruz.

Research paper thumbnail of The statistical evolution of prices on the Istanbul Stock Exchange

This study documents the statistical properties of the stock returns on the Istanbul Stock Exchan... more This study documents the statistical properties of the stock returns on the Istanbul Stock Exchange (ISE) for the January 1988 to December 1999 period and tries to assess the evolution of the underlying stochastic structure over this time period. It also investigates empirically the relative efficiency of the ISE to test whether the rapid development of this market over the last decade caused it to become a relatively more efficient market. This is accomplished through a number of parametric and non-parametric tests of the random walk hypothesis using daily, weekly and monthly observations of the value-weighted ISE-100 index series. The emphasis is more on the evolution of the price process than on static tests of a random walk model as such. The findings indicate that the price mechanism in the ISE has evolved into a more informationally efficient process in little more than a decade of existence.

Research paper thumbnail of Evolution of prices on the Istanbul Stock Exchange 511 Table 1

This study documents the statistical properties of the stock returns on the Istanbul Stock Exchan... more This study documents the statistical properties of the stock returns on the Istanbul Stock Exchange (ISE) for the January 1988 to December 1999 period and tries to assess the evolution of the underlying stochastic structure over this time period. It also investigates empirically the relative efficiency of the ISE to test whether the rapid development of this market over the last decade caused it to become a relatively more efficient market. This is accomplished through a number of parametric and non-parametric tests of the random walk hypothesis using daily, weekly and monthly observations of the value-weighted ISE100 index series. The emphasis is more on the evolution of the price process than on static tests of a random walk model as such. The findings indicate that the price mechanism in the ISE has evolved into a more informationally efficient process in little more than a decade of existence.

Research paper thumbnail of Good Finance

Research paper thumbnail of Empirical tests of two stochastic processes for stock market prices (stable, diffusion, jump, bootstrap, pareto distribution)

ABSTRACT Thesis (Ph. D.)--Syracuse University. Vita. Includes bibliographical references (leaves ... more ABSTRACT Thesis (Ph. D.)--Syracuse University. Vita. Includes bibliographical references (leaves 146-155). Microfilm. s

Research paper thumbnail of The Impact of Financial Innovation and Risk Management on Economic Performance

The last 25 years have witnessed extensive financial innovation and this had led to revolutionary... more The last 25 years have witnessed extensive financial innovation and this had led to revolutionary changes in the international financial system. It is true that financial innovation has been going on since the 17th century and most of the products developed during the last two decades, although mentioned as new, are only versions of much older products. When the history of financial innovation is studied, it is seen that the seemingly new instruments, such as options and futures are not entirely new. For example, organised futures exchanges were established in Chicago, Frankfurts and London in the 19th century. Options and futures-like contracts in Amsterdam and forward contracts in rice in Japan were traded in the 17th century. However, the proliferation of organised markets in derivatives securities around the world during the last two decades is unparalleled in history. Miller (1992) describes the 1970-1990 period as unique in history, in that “no 20-year in financial history has...

Research paper thumbnail of The Role of the State in MENA Capital Markets

Within the Middle East and North Africa (MENA) region, a common feature of corporate financial st... more Within the Middle East and North Africa (MENA) region, a common feature of corporate financial structures is that governments have always been majority owners of many commercial companies. This chapter provides a detailed picture of state ownership in the region. It finds evidence of a decline in the privatization effort in the 2000s. Privatization may be important for the development of institutional ownership, yet, in some cases, it may not be in the best interests of the public, when cronyism is prevalent. In this context, it is important to understand the role of the state in the growth of capital markets in the region, and the efficiency of the overall development model.

Research paper thumbnail of Modeling the Stochastic Behavior of Canadian Foreign Exchange Rates

This paper investigates the statistical properties ol' seven Canadian foreign exchange rates.... more This paper investigates the statistical properties ol' seven Canadian foreign exchange rates. Empirical densities 01' these exchange rate returns have thicker tails and more peaked centers than a normal density. Further, these returns exhibit significant degrees of linear and nonlinear statistical dependence. The presence of leptokurtosis, however, cannot be attributed fully to time dependence. Autoregressive conditionally heteroscedastic processes with conditional t-distributions for their increments are shown to model all of the seven empirical processes.

Research paper thumbnail of The European Union Portfolio-Diversification Opportunities in the New Members vs. the Candidate: Turkey

This paper investigates the comparative long term diversification benefits of Czech Republican, H... more This paper investigates the comparative long term diversification benefits of Czech Republican, Hungarian, Polish and Turkish stock markets in the EU portfolio during the accession. The contribution is explored within the Mean- Variance framework using Jobson and Korkie’s asset set spanning test. Furthermore, Stein estimation is employed. It is found that among the studied emerging markets, only inclusion of Turkish stock market in the EU portfolio provided a significant leftward shift of the efficient frontier. This finding confirms the higher integration of Czech Republic, Hungary and Poland stock markets with the EU portfolio while also suggesting the partial integration of Turkey.

Research paper thumbnail of The Potential for Blockchain Technology in Corporate Governance

OECD Corporate Governance Working Papers

OECD Corporate Governance Working Papers provide timely analysis and information on national and ... more OECD Corporate Governance Working Papers provide timely analysis and information on national and international corporate governance issues, including capital market developments, state ownership and privatisation policies. The working paper series is designed to make select studies by the OECD Corporate Governance Committee, OECD staff members and outside consultants available to a broad audience. OECD CORPORATE GOVERNANCE WORKING PAPERS are published on www.oecd.org/daf/corporateaffairs/wp This document and any map included herein are without prejudice to the status of or sovereignty over any territory, to the delimitation of international frontiers and boundaries and to the name of any territory, city or area.

Research paper thumbnail of Les tremblements de terre de 1999 dans la région de la mer de Marmara en Turquie

Catastrophes de grande ampleur, 2005

Le 17 aout 1999, un seisme d’une magnitude de 7.6 a frappe les circonscriptions administratives d... more Le 17 aout 1999, un seisme d’une magnitude de 7.6 a frappe les circonscriptions administratives de Kocaeli et de Sakarya dans le nord-ouest de la Turquie. Il a rapidement ete suivi d’un autre grand seisme d’une magnitude de 7.2 dans une region voisine centree autour de Duzce. Ces catastrophes ont touche une large zone englobant les villes de Kocaeli...

Research paper thumbnail of The 1999 Marmara earthquakes in Turkey

Large-Scale Disasters, 2004

... A government-controlled insurance pool called the “Turkish Catastrophic Insurance Pool (TCIP)... more ... A government-controlled insurance pool called the “Turkish Catastrophic Insurance Pool (TCIP)” has been put in place to transfer the national risk into worldwide risk-sharing markets, managed by international reinsurance companies and backed by substantial capital ...

Research paper thumbnail of Emeklilik Fonları ve Finansal İstikrar: Şili ve Türkiye Örneklerinden Dersler(Pension Funds and Financial Stability: Lessons from Chili and Turkey )

International Journal of Finance & Banking Studies (2147-4486)

<p&amp... more <p>Emeklilik fonları, i) uzun vadeli yatırım perspektifine sahip olması, ii) finansal piyasalardaki oynaklığı uzun vadeye yayarak absorbe edebilmesi, ve iii) yatırımlarını hisse senedi ve altyapı fonları ile reel ekonomiye aktarmaları sayesinde; finansal piyasalardaki oynaklığın azalmasına katkıda bulunmaktadır. Bu çalışma, gelişmekte olan ülkelerde (GOÜ), emeklilik fonlarının ekonomideki payının en düşük olduğu ülkelerden Türkiye'de (%2) ve en yüksek olduğu ülkelerden Şili'de (%66) emeklilik sistemlerinin karşılaştırmalı analizini sunarak, emeklilik fonlarının finansal piyasalardaki oynaklığa olan etkisini 2004-2014 dönemi için incelemektedir. Çalışma aynı zamanda, Türkiye’de uygulanması planlanan ‘otomatik katılım sistemi’ ve bu sistemi tamamlayıcı ‘fon ürünleri’ üzerine politika önerilerini de kapsamaktadır.</p><p> </p>

Research paper thumbnail of Robust term structure estimation in developed and emerging markets

Annals of Operations Research, 2016

Research paper thumbnail of Compound Distribution Models of Stock Returns: An Empirical Comparison

Journal of Financial Research, 1987

ABSTRACT The study provides empirical tests and comparison of mixed diffusion-jump processes and ... more ABSTRACT The study provides empirical tests and comparison of mixed diffusion-jump processes and finite mixtures of normal processes as models of stock price behavior. For weekly returns, both specifications have significantly higher descriptive validity than a stationary normal distribution, and, in most cases, mixed diffusion-jump processes are empirically superior to finite normal mixtures. The distribution of monthly returns, however, can be safely assumed to be approximately normal.