Pınar Evrim Mandacı | Dokuz Eylül University (original) (raw)
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Thesis Chapters by Pınar Evrim Mandacı
In financial markets of 21st century, stock markets are no longer considered as places where peop... more In financial markets of 21st century, stock markets are no longer considered as places where people gamble their savings in a win-lose game but are rather considered as one of the main arteries of Turkish economy which represent financial stability and economical development. Especially after recent structural reformations, Borsa Istanbul’s (BIST) predictability and stability is a much bigger concern for authorities and regulatory institutions in Turkey as well. Central Bank of Republic of Turkey’s (CBRT) decision to retarget its objectives from just maintaining price stability to also maintaining financial stability may be an outcome of this new perspective. It is thought that when concluding interest rate decisions, CBRT considers volatility of stock market as an important factor.
In this study, the changes in policy rate announced by CBRT’s effects on volatility of BIST 100 session closing prices are analyzed under structural breaks for period between 02.01.2002 - 15.11.2013. Results of analysis indicate that a decision of change in policy rate by CBRT has a negative impact on volatility of BIST 100 index session closing prices. Additionally, when structural breaks are added through Kappa 2, a modified algorithm of iterative cumulative sum of squares (ICSS) model, there is a significant reduction in persistence of volatility on closing price series.
Papers by Pınar Evrim Mandacı
The scope of internal auditing has widened in recent years due to increasing business complexity ... more The scope of internal auditing has widened in recent years due to increasing business complexity and the consequences of corporate scandals. Being aware of the big picture is fundamental for internal auditing to contribute to the Enterprise Risk Management (ERM) and corporate governance in an organization. Internal auditing can enforce the ERM process, however enterprise-wide initiatives necessitate strong support from top management and board members to initiate successfully and carry on the strategic management objectives. Comprehending an organization's business strategy is the key for a successful ERM program, in other words, it is impossible to prioritize risks without understanding the key strategic objectives of a business. Helping an organization to prioritize risks is as vital as assessing risks for the internal audit plan. Auditors utilize risk-based approaches that differentiate risks based on impact, likelihood, and other factors. Prioritization is important for the best possible use of scarce resources as well as for directing resources where they can produce the best results. Hence, internal auditors can support the establishment of risk steering committees with a common risk language and business risk method, and recommend an ERM road map with time lines. They can also assist an initial top-down risk assessment, ensure the organization to have risk owners responsible for addressing the top risks, and encourage development of key risk indicators. Internal auditors can use their numerous skills to facilitate an organization to develop its ERM and corporate governance programs and to test and report results. In this paper, we aim at analyzing the role of internal auditing and corporate governance in Enterprise Risk Management by providing empirical evidence on the Turkish non-financial firms listed in Istanbul Stock Exchange (ISE). We use publicly available information of these firms announced via their annual reports, corporate governance compliance reports and also their daily stock prices to build our empirical model. The paper is organized as follows: Firstly, we present the role of modern internal auditing and corporate governance by relating these issues to the relevant literature on ERM, corporate governance and internal auditing. Secondly, we provide facts and figures on Turkish experience depending on the selected non-financial firm data listed at ISE. We then explain the data, methodology, and empirical model. Finally, based on the empirical findings we conclude the paper by some policy recommendations.
Dokuz Eylul Universitesi Isletme Fakultesi Dergisi, 2003
Expert Systems With Applications an International Journal, Aug 1, 2013
This study examines the impact of volatility shifts on volatility persistence for three major sec... more This study examines the impact of volatility shifts on volatility persistence for three major sector indices of Istanbul Stock Exchange (ISE) and ISE National 100 index over the period beginning from 1997 and ending in 2009. The exponential generalized autoregressive conditional heteroskedasticity (EGARCH) model is extended by taking account of the volatility shifts which are determined by using iterated cumulative
This study examines the stock market integration between major emerging markets in different regi... more This study examines the stock market integration between major emerging markets in different regions of the world, namely, Turkey, Russia, Brazil, Korea, South Africa, and Poland. The study employs a variety of co-integration tests; i.e., Engle-Granger (EG) (1987), Johansen (1988), Johansen and Juselius (1990), the Bounds test (Pesaran et al) (2001) to measure the long-term relationship, and Granger causality approach
Finansal Araştırmalar ve Çalışmalar Dergisi, 2014
International Journal of Economic Policy in Emerging Economies, 2014
The 6th International Scientific Conference "Business and Management 2010". Selected papers, 2010
6th International Scientific Conference May 1314, 2010, Vilnius, Lithuania BUSINESS AND MANAGEME... more 6th International Scientific Conference May 1314, 2010, Vilnius, Lithuania BUSINESS AND MANAGEMENT 2010 Selected papers. Vilnius, 2010 ... ISSN 2029-4441 print / ISSN 2029-428X CD doi:10.3846/bm.2010.018 http://www.vgtu.lt/en/editions/proceedings © Vilnius ...
South East European Journal of Economics and Business, 2010
International Journal of Economic Policy in Emerging Economies, 2010
MUFAD Muhasebe Finansman Dergisi, Nisan, 2005
African Journal of …, 2009
1 Department of Finance, Faculty of Economics and Administrative Sciences, Yasar University, Selc... more 1 Department of Finance, Faculty of Economics and Administrative Sciences, Yasar University, Selcuk Yasar Campus, University Caddesi, No. 35-37, 35100 Bornova, Izmir, Turkey. 2 Dokuz Eylül University, Faculty of Business Administration, Kaynaklar Campus, ...
In financial markets of 21st century, stock markets are no longer considered as places where peop... more In financial markets of 21st century, stock markets are no longer considered as places where people gamble their savings in a win-lose game but are rather considered as one of the main arteries of Turkish economy which represent financial stability and economical development. Especially after recent structural reformations, Borsa Istanbul’s (BIST) predictability and stability is a much bigger concern for authorities and regulatory institutions in Turkey as well. Central Bank of Republic of Turkey’s (CBRT) decision to retarget its objectives from just maintaining price stability to also maintaining financial stability may be an outcome of this new perspective. It is thought that when concluding interest rate decisions, CBRT considers volatility of stock market as an important factor.
In this study, the changes in policy rate announced by CBRT’s effects on volatility of BIST 100 session closing prices are analyzed under structural breaks for period between 02.01.2002 - 15.11.2013. Results of analysis indicate that a decision of change in policy rate by CBRT has a negative impact on volatility of BIST 100 index session closing prices. Additionally, when structural breaks are added through Kappa 2, a modified algorithm of iterative cumulative sum of squares (ICSS) model, there is a significant reduction in persistence of volatility on closing price series.
The scope of internal auditing has widened in recent years due to increasing business complexity ... more The scope of internal auditing has widened in recent years due to increasing business complexity and the consequences of corporate scandals. Being aware of the big picture is fundamental for internal auditing to contribute to the Enterprise Risk Management (ERM) and corporate governance in an organization. Internal auditing can enforce the ERM process, however enterprise-wide initiatives necessitate strong support from top management and board members to initiate successfully and carry on the strategic management objectives. Comprehending an organization's business strategy is the key for a successful ERM program, in other words, it is impossible to prioritize risks without understanding the key strategic objectives of a business. Helping an organization to prioritize risks is as vital as assessing risks for the internal audit plan. Auditors utilize risk-based approaches that differentiate risks based on impact, likelihood, and other factors. Prioritization is important for the best possible use of scarce resources as well as for directing resources where they can produce the best results. Hence, internal auditors can support the establishment of risk steering committees with a common risk language and business risk method, and recommend an ERM road map with time lines. They can also assist an initial top-down risk assessment, ensure the organization to have risk owners responsible for addressing the top risks, and encourage development of key risk indicators. Internal auditors can use their numerous skills to facilitate an organization to develop its ERM and corporate governance programs and to test and report results. In this paper, we aim at analyzing the role of internal auditing and corporate governance in Enterprise Risk Management by providing empirical evidence on the Turkish non-financial firms listed in Istanbul Stock Exchange (ISE). We use publicly available information of these firms announced via their annual reports, corporate governance compliance reports and also their daily stock prices to build our empirical model. The paper is organized as follows: Firstly, we present the role of modern internal auditing and corporate governance by relating these issues to the relevant literature on ERM, corporate governance and internal auditing. Secondly, we provide facts and figures on Turkish experience depending on the selected non-financial firm data listed at ISE. We then explain the data, methodology, and empirical model. Finally, based on the empirical findings we conclude the paper by some policy recommendations.
Dokuz Eylul Universitesi Isletme Fakultesi Dergisi, 2003
Expert Systems With Applications an International Journal, Aug 1, 2013
This study examines the impact of volatility shifts on volatility persistence for three major sec... more This study examines the impact of volatility shifts on volatility persistence for three major sector indices of Istanbul Stock Exchange (ISE) and ISE National 100 index over the period beginning from 1997 and ending in 2009. The exponential generalized autoregressive conditional heteroskedasticity (EGARCH) model is extended by taking account of the volatility shifts which are determined by using iterated cumulative
This study examines the stock market integration between major emerging markets in different regi... more This study examines the stock market integration between major emerging markets in different regions of the world, namely, Turkey, Russia, Brazil, Korea, South Africa, and Poland. The study employs a variety of co-integration tests; i.e., Engle-Granger (EG) (1987), Johansen (1988), Johansen and Juselius (1990), the Bounds test (Pesaran et al) (2001) to measure the long-term relationship, and Granger causality approach
Finansal Araştırmalar ve Çalışmalar Dergisi, 2014
International Journal of Economic Policy in Emerging Economies, 2014
The 6th International Scientific Conference "Business and Management 2010". Selected papers, 2010
6th International Scientific Conference May 1314, 2010, Vilnius, Lithuania BUSINESS AND MANAGEME... more 6th International Scientific Conference May 1314, 2010, Vilnius, Lithuania BUSINESS AND MANAGEMENT 2010 Selected papers. Vilnius, 2010 ... ISSN 2029-4441 print / ISSN 2029-428X CD doi:10.3846/bm.2010.018 http://www.vgtu.lt/en/editions/proceedings © Vilnius ...
South East European Journal of Economics and Business, 2010
International Journal of Economic Policy in Emerging Economies, 2010
MUFAD Muhasebe Finansman Dergisi, Nisan, 2005
African Journal of …, 2009
1 Department of Finance, Faculty of Economics and Administrative Sciences, Yasar University, Selc... more 1 Department of Finance, Faculty of Economics and Administrative Sciences, Yasar University, Selcuk Yasar Campus, University Caddesi, No. 35-37, 35100 Bornova, Izmir, Turkey. 2 Dokuz Eylül University, Faculty of Business Administration, Kaynaklar Campus, ...