Istanbul Stock Exchange Research Papers (original) (raw)

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- Prediction, Support Vector Machines, Stock Market, Artificial Neural Networks
- by Morteza Saberi
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- Information Systems, Engineering, Genetics, Applied Mathematics
- by Halil Kiymaz
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- Emerging Market, Foreign Exchange, Foreign exchange risk, Istanbul Stock Exchange
- by Meltem Ozturan
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- Finance, Cognitive Science, Machine Learning, Data Mining
- by Halil Kiymaz
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- Initial public offering, Stock Market, Emerging Market, Statistical Significance
- by Mehmet Balcilar
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- Time Series, Applied Economics, Wavelet Transform, Brownian Motion
- by Lokman Gunduz
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- Marketing, Stock Market, Firm Performance, Business and Management
- by Kamil Yilmaz
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- Econometrics, Applied Economics, Stock Market, Volatility

In this paper, I discuss how a situated cognition perspective can reveal the socially constructed nature of seemingly psychological heuristics and errors in market actors’ judgements and decisions in financial markets. In doing so, I present a complementary approach to the heuristics and biases research in psychology and behavioural finance. More specifically, I draw on the narrative mode of knowing and explanation in real market settings as a framework to understand the content and the process of socially constructed knowledge in financial markets. Here, narratives of market actors and their underlying frames and causal schemas are assumed to function as a judgement heuristic in processing information flows. I then discuss an application of this approach to a sample of brokerage firms and investment advisers serving retail investors in the Istanbul Stock Exchange (ISE). My findings focus on a shared frame and the associated causal schema about the ISE and global financial markets. This observed interpretive model underpinned my interlocutors’ narrative judgements and forecasts about the ISE's movements and constituted a form of representativeness heuristic and anchoring.

- by Emre Tarım
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- Heuristics, Overconfidence, Situated Cognition, Performativity

The aim of the current study is to investigate the effectiveness of the Turkish corporate governance system. To reach this aim, the paper first discusses the corporate governance system of Turkey briefly. The measures of effectiveness of... more

- by Serdar Ozkan and +1
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- Corporate Governance, Ownership Structure, Corporate Performance, Ceo Turnover
- by Bahattin Hamarat
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- Stock Market, STOCK EXCHANGE, Unit Root Test, Istanbul Stock Exchange

Extreme returns in stock returns need to be captured for a successful risk management function to estimate unexpected loss in portfolio. Traditional value-at-risk models based on parametric models are not able to capture the extremes in emerging markets where high volatility and nonlinear behaviors in returns are observed. The Extreme Value Theory (EVT) with conditional quantile proposed by McNeil and Frey (2000) is based on the central limit theorem applied to the extremes rater than mean of the return distribution. It limits the distribution of extreme returns always has the same form without relying on the distribution of the parent variable. This paper uses 8 filtered EVT models created with conditional quantile to estimate value-at-risk for the Istanbul Stock Exchange (ISE). The performances of the filtered expected shortfall models are compared to those of GARCH, GARCH with student-t distribution, GARCH with skewed student-t distribution and FIGARCH by using alternative back-t...

- by Sait Yilmazer
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- Economics, Risk Management, Risk assessment, Emerging Markets
- by Cagdas Tahaoglu
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- Istanbul Stock Exchange
- by Fethi Calisir
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- Information Technology, Human Capital, Intellectual Capital, Profitability

Maliyet davranışı; işletmenin faaliyet hacmindeki değişmelere bağlı olarak belirli bir maliyet unsurunun nasıl değişeceği ya da nasıl davranacağını ifade etmektedir. Yapışkan maliyetleri anlamak, şirketlerin kaynaklarını ve kapasitelerini daha verimli biçimde belirlemelerine ve yönetmelerine yardımcı olmaktadır. Yöneticiler genellikle ürün ve faaliyetlerin maliyetleri ile ilgilenmektedirler. Pazarlama, satış ve dağıtım giderleri ile genel yönetim giderleri firmaların mali durumuna göre maliyet yapışkanlık derecesini değiştirmektedir. Çalışmanın uygulama kısmında panel veri analizi kullanılmış ve Borsa İstanbul’da yer alan dört farklı sektördeki imalat işletmelerinin maliyet verilerinden yararlanılarak maliyet yapışkanlığı farlılıkları incelenmiştir. Analizde satışlar ile satışların maliyeti, pazarlama, satış ve dağıtım giderleri ve genel yönetim giderleri kullanılmıştır. Bu sektörlerden üçünde maliyet yapışkanlığı tespit edilememiş; taşa toprağa dayalı sektörde ise pazarlama, satış ve dağıtım giderlerinde maliyet yapışkanlığı tespit edilmiştir.
Cost behavior refers how a particular cost element would change or how it would behave depending on the changes in the operating volume of the business. Understanding sticky costs helps companies identify and manage their resources and capacities more efficiently. Managers are often concerned with the costs of products and activities. Marketing, sales and distribution expenses and general management expenses change the degree of cost stickiness according to the financial position of firms. In the application part of the study panel data analysis is used and cost-stickiness differences are examined by using the cost data of the manufacturing enterprises in four different sectors in Istanbul Stock Exchange. In the analysis, sales and cost of sales, marketing, sales and distribution expenses and general administrative expenses are used. No cost stickiness is found in three of these sectors while in stone-based sector cost-stickiness is determined in marketing, sales and distribution expenses.

- by Iffet Kesimli
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- Business, Economic Crisis, Istanbul Stock Exchange
- by Cetin Ciner and +1
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- Law, Financial Analysis, Emerging Market, Foreign Trade

In this article, I follow the lead opened up by Tilly (1999, 2002) who was interested in people's storytelling. I do so by looking at sense-making and the legitimacy narratives of market actors in the Istanbul Stock Exchange. Tilly (2006, 2008) himself walked the narrative path and investigated Why and how people give reasons and how people attribute Credit and Blame to other's actions. These books provide insights into people's storytelling in the everyday situations of the home, courtrooms, hospitals, and so on. Nevertheless, Tilly's faith in the prevalence of technical accounts as modes of explanation in intra and inter organisational settings, and superior stories as mode of communication between expert givers and non-specialized receivers, seems to ignore informational uncertainties, intra and inter organisational hierarchies and conflicts pertinent to organisations. It is these factors that push standard stories (Tilly, 1999) into the forefront at the expense of technical stories within the story exchanges of market actors. I demonstrate this by presenting a sample of story exchanges from the Istanbul Stock Exchange under situations of informational uncertainties and organisational conflicts.

- by Emre Tarım
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- Storytelling, Financial Markets, Charles Tilly, Istanbul Stock Exchange
- by Halil Kiymaz
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- Stock Market, Emerging Market, Market efficiency, Stock Price

This article presents a sociological–narrative approach to studying sensemaking and legitimation in financial markets, and applies this to the Istanbul Stock Exchange (ISE). The sociological–narrative approach taken here differs from standard economics and psychology theories on market behaviour and outcomes. It draws on the existing literature on sensemaking and legitimation in organizations and financial markets, and postulates that financial markets, as realms of meaning and practice, are prone to be structurally incoherent. The incoherence is argued to stem from positionality of market actors. By positionality, I refer to an actor’s position in division of labour in market organizations and to an investor’s place in market-specific investor classifications. These imply different epistemic resources at the disposal of different actors, and hence structural incoherence in meanings and practices in financial markets. The article demonstrates an example of this incoherence in the case of the ISE by looking at sensemaking and legitimation stories and practices of brokers, investment analysts, media figures and regulators in this market.

- by Emre Tarım
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- Narrative, Storytelling, Legitimacy, Stock Markets

One of the efficient ways for obtaining accurate forecasts is usage of forecast combination method. This approach consists of combining different forecast values obtained from different forecasting models. Also artificial neural networks and fuzzy time series approaches have proved their success in the field of forecasting. In this study, a new forecast combination approach based on artificial neural networks is proposed. The forecasts obtain from different fuzzy time series models are combined by utilizing artificial neural networks. The proposed method is applied to index of Istanbul stock exchange (IMKB) time series and the results are compared to other forecast combination methods available in the literature. As a result of the implementation, it is seen that the proposed forecast combination approach produces better forecasts than those produced by other methods.

- by Erol Egrioglu
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- Cognitive Science, Fuzzy Logic, Time Series, Modeling
- by IHSAN ISIK
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- Accounting, Financial management, Emerging Market, Developing Country

This paper reviews the quarter century of the Istanbul Stock Exchange (ISE) since its opening in 1985. The review focuses on the ISE's articulation to the global financial system in two different macro-economic modalities in the 1990s and the new millennium and its repercussions for domestic retail investors (DRIs). It is argued that macroeconomic business cycles and inadequate institutionalization of the ISE in the 1990s and early 2000s have generated a domestic investor profile which is short-termist, opportunistic and relatively ill-informed about the markets in general and fundamentals of equity investment in particular. The post-2000–01 crisis period has structurally transformed the Turkish economy and boosted the ISE's performance with a new wave of global institutional investor interest. Despite these positive changes, the domestic retail investor profile of the 1990s has largel y remained the same in the present decade but with positive aggregate market returns for domestic investors and better and more democratic access to market information and knowledge.

- by Salim Dursunoglu
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- Stock Market, Emerging Market, Random Walk, Market efficiency
- by Mehmet Fatih Bayramoğlu
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- IMKB, Istanbul Stock Exchange, Crude Oil Prices, Borsa İstanbul
- by Cagnur Balsari
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- Risk assessment, Historical Cost, Classification, Information Content
- by Istemi Demirag
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- Corporate Governance, Control, Ownership Structure, Business group

In this study, the impact of adopting International Financial Reporting Standards (IFRSs) on listed companies in
Turkey was examined. We observed the financial statements that were prepared in accordance with IFRS and
local GAAP and researched the standards which included more relevant information. We worked on the financial
statements of the companies in the Istanbul Stock Exchange (ISE) that operated in the manufacturing industry. In
our findings, we determined that the financial statements prepared in accordance with local GAAP and IFRS
were statistically different. Significant differences were identified in inventories, fixed asset, long term liability
and stockholders’ equity accounts in the financial statements. In addition, current ratios, receivables turnover
ratios, asset turnover ratios, total liabilities/tangible assets, fixed assets turnovers, equity turnover rates, short
term liabilities/total debts and short term liabilities/total assets ratios based on IFRS financial statements were
statistically and significantly distinguished from the stated ratios of local GAAP financial statements. We were
unable to observe statistically significant differences in book value/market value ratio analysis depending on the
market value under local GAAP and IFRS. However, in subsector analysis, we identified that some subsector
groups have been affected from the transition to IFRS.

- by EVREN BOLGUN
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- Trading Strategies, Performance Analysis, Pairs Trading, Istanbul Stock Exchange
- by ahmet goncu
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- Risk Management, Applied Economics, Stock Market, Financial Regulation
- by Burc Kayahan and +2
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- Business, Emerging Market, Istanbul Stock Exchange

Abstract: This paper seeks whether the intraday patterns observed in most stock markets hold for an individual stock from the Istanbul Stock Exchange where the trading ceases for two hours during lunchtime. It investigates the most treated topics in market finance like liquidity, returns and volatility through their various indicators by periodically regrouping transaction data and making use of parametric and nonparametric tests. It excludes the analysis of spread due to its uninformativeness in the presence of very discrete prices. The results show that liquidity-related variables ’ path can be described by an asymmetric “W”curve, namely a “reverse J ” curve in the morning session and a “U ” curve in the afternoon session. While returns do not exhibit a precise path, overnight returns are apparent. Price and return volatilities are very high in level and stable during the day. Sensitivity analysis suggests that choice of 5-minute versus 15-minute intervals slightly matters.

- by Gaëlle Le Fol
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- Microstructure, Statistical Analysis, Sensitivity Analysis, Volatility

The attitude of individual investors is strongly correlated with their sentiment, so their behavior on the stock market can generate important changes in price fluctuations. The aim of our study was to provide evidence regarding the relationship between the evolution of stock market and the individual investor sentiment, proxy by the consumer confidence index. This study is conducted on the Bucharest Stock Exchange (BSE) for a 10 year time period, starting from 2002 to 2011 and includes 120 observations. The results proved that there is a positive correlation between changes in consumer confidence and stock market returns, demonstrating that individual investor sentiment affects stock prices. However, the influence of individual investor sentiment seems to be quickly removed by the force of arbitrage. The price adjustments are realized in less than a month. Moreover, the influence of individual investor sentiment on the prices of the most 10 liquid companies from BSE is not statisti...

- by Dragos Stefan Oprea
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- Behavioral Finance, Stock Market, Investor Sentiment, Noise

Forecasting stock exchange rates is an important financial problem that is receiving increasing attention. During the last few years, a number of neural network models and hybrid models have been proposed for obtaining accurate prediction results, in an attempt to outperform the traditional linear and nonlinear approaches. This paper evaluates the effectiveness of neural network models; recurrent neural network (RNN), dynamic artificial neural network (DAN2) and the hybrid neural networks which use generalized autoregressive conditional heteroscedasticity (GARCH) and exponential generalized autoregressive conditional heteroscedasticity (EGARCH) to extract new input variables. The comparison for each model is done in two view points: MSE and MAD using real exchange daily rate values of Istanbul Stock Exchange (ISE) index XU10).

- by Selahattin Guris
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- Sociology, Psychology, Statistics, Financial Ratios

In this paper we examine the characteristics and stability of individual stock and portfolio betas of stocks listed in the Istanbul Stock Exchange (ISE) using samples of 500 individual stocks and 500 portfolios of 10 stocks each. We begin with a methodology similar to the basic event study methodology and collect data for the samples around 500 randomly chosen “event dates”. Using these samples we first estimate betas and changes in betas using the Market Model and OLS on logreturns. Second, we aggregate our findings concerning changes in betas by using a binomial test. Even though we find evidence supporting significant relationships between market returns and both individual stock and portfolio returns, the evidence does not seem to support that these relationships are stable. Furthermore, we do not find evidence showing that portfolio betas are more stable than individual betas.

- by Adil Oran
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- Stability, Beta, Variability, Event Study

Despite their widespread usage, models of accrual based methods in detecting false financial statements have been subject to significant criticism. An alternative to the accruals approach is to use binary probit and logit models and some other multivariate statistical techniques where they combine accruals and some other financial ratios and/or indexes. The objective of this paper is to explain the historical evolution of the accrual based methods where they provide some evidence of earnings management practices and than extend to some other alternative methods in detecting manipulative practices in financial reporting. This paper also, introduces a new method that has been widely used in detecting financial distress companies. An Artificial Neural Network Model, which is based on the concept of using artificial neurons, to estimate the manipulative financial reporting practices of the companies listed in the Istanbul Stock Exchange (ISE). The results indicate that the proposed Arti...

- by Yasemin Benli
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- Economics, Istanbul Stock Exchange
- by Mehmet Fatih Bayramoğlu
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- IMKB, Istanbul Stock Exchange, Borsa İstanbul, Şehir Endeksleri
- by ASLI TUREL and +1
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- Emerging Economies, Performance Measurement, Financial Analysis, Financial Crisis

Kurumsal yönetim ilkelerini benimseyen ve uygulayan firmaların hisse senetlerinden oluşan Kurumsal Yönetim Endeksi’nin volatilitesinin ulusal gösterge endeksi olan BİST 100 Endeksinin volatilitesine göre daha düşük olup olmadığını sınamak amacıyla; ARCH, GARCH, EGARCH ve TGARCH modelleri kullanılarak 31.08.2007 – 31.12.2013 tarihleri arasında BİST Kurumsal Yönetim ve BİST 100 Endekslerine ait 1592 adet günlük veri kullanılarak E – Views 8 ekonometri paket programı yardımıyla analizler gerçekleştitilmiştir. Çalışmanın sonuçlarına göre her iki piyasada da volatilite kümelenmeleri gözlemlenmiştir. Piyasada meydana gelen şokların yarılanma süresi BİST 100 Endeksinde göre daha azdır. Hesaplanan volatilitelerde ise XKURY Endeksinin volatilitesi BİST 100 Endeksine göre daha düşük seviyede gerçekleşmiştir. Böylelikle Kurumsal yönetim ilkelerini benimseyen ve uygulayan firmaların hisse senetlerinden oluşan Kurumsal Yönetim Endeksi’nde risk oranı BİST 100 Endeksine nazaran daha düşük olduğu sonucuna ulaşılmıştır.

- by Ozkan Sahin
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- Corporate Governance, Volatility, GARCH, Istanbul Stock Exchange
- by Hakkı Ozturk
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- Finance, Asset Pricing, Accounting, Stock Return

Global investing offers investors a larger pool of investment opportunities and tremendous diversification. However, despite the increased integration of world economies, there are still important variations among overseas capital markets. Complexities of overseas investing can often ensnare even the best active asset managers. International indexing is an option to overcome the difficulties of global investing. This study considers international indexing as a means of portfolio diversification. Performances of 15 international indexes are evaluated using monthly return data from 1998 through 2002. Returns are measured against ISE-100 Index (Istanbul Stock Exchange-100 Index) returns. The results of the study suggest that international indexing does not offer superior returns compared to the ISE-100 index.

- by Hakan Saritas
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- Applied Economics, Asset Management, Istanbul Stock Exchange, Indexation

This paper investigates the short-run and long-run dynamics among the major sectoral stock indices of the Istanbul Stock Exchange over the period 1997-2011. Long-run relationship among these indices is analyzed by using both conventional Engle and Granger (1987) and Johansen-Juselius (1990) cointegration tests, causal relationship through Vector Error Correction Model (VECM). Likewise, variance decomposition analysis is employed to partition the

- by Gülin Vardar and +1
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- Stock Market, Granger causality, Banking Sector, Variance decomposition
- by Orhan Celik
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- Ownership Structure, Institutional Investors, Investment, Profitability

The Turkish economy has been emerging one during the last decades. So, has been the Turkish Capital Market. This study focuses on the IFRS applications in 2005 in Turkey. Particularly has dealt with the following research questions: First, what has been the position statement of the goodwill and the deferred taxes on the financial statements investigated? Second, what has been

- by Recep Pekdemir
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- Emerging Economies, Turkish Economy, Financial Reporting, Empirical Research

In this study, the impact of capital structure on firms’ ownership structure is examined. Therefore, manufacturing firms whose stocks are quoted on the Istanbul Stock Exchange (ISE) over the period 1998 and 2009 are covered using pooled data. On the developed model, it was investigated how ownership structure is affected by the capital structure. According to the results of the regression model, it has been found that firms which have less shareholders choose higher-risk capital structures because of increasing firm value. Furthermore, provided that capital intensity becomes higher, firms must hire professional managers. In this instance, professional managers prefer equity financing for preventing financial distresses. In summary, this study concludes that firms’ ownership structure affects capital structure.

- by Ali Alp
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- Economics, Istanbul Stock Exchange