Ugur Ergun - Academia.edu (original) (raw)

Papers by Ugur Ergun

European Journal of Therapeutics, May 30, 2019

Abstract: In this study we analyze the relationship between the Consumer Price Index (CPI) and th... more Abstract: In this study we analyze the relationship between the Consumer Price Index (CPI) and the Producer Price Index (PPI) in Turkey. We test long run, short run and causality relationship of these series. Johansen’s cointegration tests present a long run relationship between these series. Vector error correction (VEC) model specification suggests these series move together. There is a unidirectional long run causality from CPI to PPI. On the other hand VEC Granger causality test indicates no causality in short run. Thus our results suggest demand pull inflation in long run.

Using Autoregressive Distributed Lag (ARDL) and Johansen cointegration with structural break, the... more Using Autoregressive Distributed Lag (ARDL) and Johansen cointegration with structural break, the long run and short run interactions between stock market (KLCI) and monetary policy (M1, M2 and Interest Rate) are examined in Malaysia with monthly data after 2000 to date. Our results indicate that; a) There is significant long run and short run relationship in the sample period, b) Johansen test with structural break gives more robust result.

Eurasian Journal of Business and Economics

This study investigates the impact of the US monetary policy, represented through the volatility ... more This study investigates the impact of the US monetary policy, represented through the volatility of the US government bonds rate, on the return of Dow Jones UK Islamic index. Monthly observations spans, in the period between December 2006 and June 2017, are obtained from the International Monetary Fund database. The OLS regression and granger causality analysis are used to investigate the impact. The results of the analysis show that there is significant impact of the US monetary policy on the Dow Jones UK Islamic index return.

Journal of Economic Cooperation and Development, 2009

This paper investigates the comovements and linkages between selected Organization of the Islamic... more This paper investigates the comovements and linkages between selected Organization of the Islamic conference (OIC) stock markets. Comovement and linkages are two different phenomenon and need to be differentiated in the analyses. Time series can move together or share same path in the short or long run without linkages. Performing only cointegration analyses can mislead our result. In order to gauge out and clarify the nature or form of the relationship, multivariate cointegration test, vector error correction model and Granger causality test are employed for the daily stock market indices of Indonesia, Malaysia, Pakistan and Turkey for the period spanning from the first day of January 2000 to 24 th October, 2008. Empirical findings indicate that; (a) there is evidence for stock market linkages between Indonesia, Malaysia, Pakistan and Turkey in the sample period. (b) Turkish stock market granger cause the other sample countries` stock markets.

Asian Academy of Management Journal of Accounting and Finance, 2010

The main aim of this paper is to investigate the dynamic relationship and volatility spillover be... more The main aim of this paper is to investigate the dynamic relationship and volatility spillover between the stock markets in Turkey and the United States under the conditions for Turkey's accession to the European Union. This study uses bivariate cointegration, ECM, CGARCH and threshold cointegration for daily data spanning from 1988 to 2008. The presence of nonlinear error correction terms is evaluated using threshold cointegration. Our empirical findings indicate that (a) there were strong dynamic linkages between the Istanbul Stock Exchange and National Association of Securities Dealers Automated Quotation (NASDAQ) after the Custom Union Agreement between Turkey and the European Union was signed, (b) threshold and negative error correction effects exist during the full sample period and (c) significant volatility spillovers exist from NASDAQ to the Istanbul Stock Exchange for the full sample period.

International? Research Journal of Finance and Economics, 2009

We examine the impact of external shocks on the linkages of Istanbul stock exchange with monetary... more We examine the impact of external shocks on the linkages of Istanbul stock exchange with monetary and macroeconomic indicators in Turkey. To do so, we employ the multivariate cointegration, impulse response function analyses and variance decomposition analysis using the monthly data of Istanbul stock exchange index, industrial production index, broad money supply (M3), short term interest rate and USA exchange rates for the period span from 1996 to 2008. Our analyses results indicate the absence of US Dollar effect on the internal linkages of Istanbul stock exchange and bilateral causality between Istanbul stock exchange and interest rate.

Throughout the world, shifts in population demographics, technological modification, fluctuating ... more Throughout the world, shifts in population demographics, technological modification, fluctuating economies and alternative dynamic forces have transformed societies as never before, bringing new challenges in addition to opportunities to the forefront. Among the responses to those everyday shifting forces is an actual increase in stress on entrepreneurship by governments, organizations and the general public. Entrepreneurship cannot be a panacea for it all, but it can surely be part of the answer. Entrepreneurship is a very popular topic for the researchers in almost every part of the world. This paper seeks to create a roadmap for the entrepreneurship literature. This task is not easy since entrepreneurship itself is a multifarious and complex social and economic phenomenon. This roadmap’s sole purpose is to highlight aspects of entrepreneurship that can act as a guideline for policy makers to help them understand the most important questions and issues, and to understand better th...

Relationships of Turkish exchange rate with the European Union countries, non-member European Uni... more Relationships of Turkish exchange rate with the European Union countries, non-member European Union countries and two world financial leader countries’ exchange rates are investigated under accession period conditions by using univariate and multivariate cointegration and vector error correction model. Our result indicates that; a- Turkish currency has more significant relationship with emerging European countries, bdependency of Turkish currency with its counterparts grows over accession period especially after candidate status given, c- influence of accession period on dependency of Turkish currency is clear, d- degree of linkage relationships with emerging EU member countries fade away after they join to EU, e- co-movement of Turkish currency with two world leading countries are limited.

Journal of Management, Economics, and Industrial Organization

This paper analyzes the volatility spillover between Dow Jones UK conventional index (GBDOW) and ... more This paper analyzes the volatility spillover between Dow Jones UK conventional index (GBDOW) and Dow Jones UK Islamic index. Monthly observations spanning in a period from January 2010 until June 2017 are obtained from Investing.com database. Vector Auto-regression analysis (VAR) and Impulse response functions are used in order to estimate the impact. The results show that there is a significant impact of Dow Jones UK index volatility on Dow Jones UK Islamic index volatility.

Journal of Risk and Financial Management

The exchange rate is a key macroeconomic factor that affects international trade and the real eco... more The exchange rate is a key macroeconomic factor that affects international trade and the real economy of each country. The development of international trade creates conditions where volatility comes with the exchange rate. The purpose of this paper is to examine the effect of real effective exchange rate volatility on economic growth in the Central and Eastern European countries. Additionally, the effect, through three channels of influence on economic growth which vary on the measurement of exchange rate volatility, is examined. The study uses annual data for fourteen CEE countries for the period 2002–2018 to examine the nature and extends the impact of such movements on growth. The empirical findings using the fixed effects estimation for panel data reveal that the volatility of the exchange rate has a significant negative effect on real economic growth. The results appear robust with alternative measures of exchange rate volatility such as standard deviation and z-score. This pa...

Eurasian Journal of Business and Economics, May 30, 2018

Journal of Management, Economics, and Industrial Organization, May 15, 2018

Jurnal Pengurusan

Using Johansen multivariate cointegration test with structural break and Granger-causality based ... more Using Johansen multivariate cointegration test with structural break and Granger-causality based on vector error correction model, the interactions between stock prices (KLCI) and monetary policy variables (M1, M2 and interest rate) are examined in the Malaysian setting using monthly data for the post 1997 Asian financial crisis period from January 2000 to May 2008. Four major conclusions can be drawn from the results. First, evidence of significant cointegration relationships prevails only when structural break is considered in the models. Second, among the monetary variables, only interest rate (money market rate, MM) has a direct short-run relationship with stock prices whereas the relationships between monetary aggregates and stock prices are indirect through MM. Third, all three monetary variables consistently show long-run impacts on stock prices. Fourth, between the two monetary aggregates, M2 consistently prevails as an effective monetary policy tool whereas M1 fails to assume such function. The policy implication of this study is that Bank Negara Malaysia can rely on interest rate rather than money supply as short-term measure to manage the stock market more effectively. However, in the long-run, both interest rate and money supply (specifically M2) can be relied upon to monitor the stock market condition. Investors in the meantime may interpret results of this study as supporting evidence that the stock market in Malaysia is still inefficient. Accordingly, they should exploit new information triggered by changes in monetary policy stance to formulate their future investment strategy. ABSTRAK Menggunakan ujian kointegrasi multivariat Johansen dengan selaan struktur dan sebab-akibat Granger berdasarkan model pembetulan ralat vektor, interaksi antara harga saham (KLCI) dengan pemboleh ubah dasar monetari (M1, M2 dan kadar pasaran wang (MM)) dikaji di Malaysia menggunakan data bulanan bagi tempoh selepas krisis kewangan Asia 1997 antara Januari 2000 hingga Mei 2008. Empat rumusan utama diperoleh daripada hasil kajian. Pertama, bukti mengenai hubungan kointegrasi dikesan hanya apabila selaan struktur diambil kira dalam model. Kedua, di kalangan pemboleh ubah monetari, hanya kadar faedah (MM) mempunyai hubungan jangka pendek secara langsung dengan harga saham manakala hubungan antara agregat monetari dengan harga saham adalah secara tidak langsung melalui MM. Ketiga, ketiga-tiga pemboleh ubah monetari secara konsisten menunjukkan kesan jangka panjang ke atas harga saham. Keempat, antara dua agregat monetari, M2 secara konsisten menyerlah sebagai mekanisme dasar monetari yang efektif manakala M1 gagal melaksanakan fungsi tersebut. Implikasi dasar dari kajian ini adalah Bank Negara Malaysia boleh bergantung kepada kadar faedah berbanding penawaran wang sebagai mekanisme jangka pendek untuk menguruskan pasaran saham secara efektif. Walau bagaimanapun, dalam jangka panjang, kedua-dua kadar faedah dan penawaran wang boleh diharapkan untuk mengawal selia kedudukan pasaran saham. Para pelabur sementara itu boleh mentafsirkan hasil kajian ini sebagai bukti sokongan bahawa pasaran saham di Malaysia masih belum cekap. Sehubungan itu, mereka harus mengeksploitasi maklumat baru yang tercetus daripada perubahan dasar monetari untuk merangka strategi pelaburan masa depan.

International Journal of Academic Research in Economics and Management Sciences

In this study, we explore the impact of International Financial Reporting Standards' adoption on ... more In this study, we explore the impact of International Financial Reporting Standards' adoption on accounting quality in Turkey over years as a candidate state to European Union. We examine the financial statements of the 19 largest companies listed in Borsa Istanbul using accounting quality metrics and trend analysis. We find significant evidence that the implementation of International Financial Reporting Standards helps to improve accounting quality over years in Turkey.

Financial institutions in Bosnia and Herzegovina are increasingly finding themselves facing rapid... more Financial institutions in Bosnia and Herzegovina are increasingly finding themselves facing rapid increases in turbulence and complexity, leading to increased competition. As the wind of change started blowing, most banks (if not all) adopted the use of electronic banking (e-banking) for transaction, which is becoming the rule rather than exception. One of the reasons for this dynamic change in banking environment is the reliability and accuracy of this information if accurate data are inputted. Another reason is inherent benefit of e-banking to save time and magnificent efficiency in the speed in the transaction of banking activities and consequently enhancing the performance of banks. This paper is designed to find out the usage and problems of electronic banking on banks. The structure of the study is mainly exploratory and partly casual since it is also testing some hypothesis. Data collection method employed in this study is secondary, which comprises of electronic banking guidelines, financial summary of the bank over the years, journals and magazines of e-banking, computer data base accessed through the internet. The analysis tool used to test the hypotheses is simple linear regression and the student’s t-test. Theoretical contributions and practical implications of the findings are discussed and suggestions for future research are presented. Keywords: E-banking, Secondary Data, Linear Regression, Student’s T-Test.