Browsing by Author "Ersan, Oğuz"

Now showing 1 - 16 of 16

Citation Count: 22
Are Fan Tokens Fan Tokens?
(Academic Press Inc Elsevier Science, 2022) Ersan, Oğuz; Ersan, Oguz; Popesko, Boris
Fan tokens, digital assets providing privileges including rewards and promotions as well as voting rights in polls, recently became highly popular among the football clubs and the (fan) investors. Fan tokens differ from the stocks of football clubs with respect to ownership properties. Fan tokens might be associated with investor mood changes and reaction to match results. This paper aims to explore the impact of football match results on token prices of the clubs. We show that both the losses and wins in the most prestigious European tournament, UEFA Champions League affect the fan token abnormal returns, losses with an effect of a larger magnitude. Domestic matches and Europa League matches are not followed by similar reactions from the investors. Our results are robust to the use of alternative model specifications and various benchmark assets.
Citation Count: 18
Connectedness among fan tokens and stocks of football clubs
(Elsevier, 2022) Ersan, Oğuz; Demir, Ender; Assaf, Ata
This paper examines the dynamic connectedness among the fan tokens and their corresponding stocks using the TVP-VAR approach. We use daily data from December 11, 2020, to January 31, 2022, for the Juventus FC, AS Roma, Galatasaray, and Trabzonspor tokens and stocks. Our results indicate that shocks transmitted to any token are larger than the ones to the stocks, with the tokens being the net transmitters of shocks to both the tokens and stocks. Then, our results indicate that the two asset classes are considered independent of each other, with the total connectedness decreasing over time, and indicating that less than 10% of the contributions in any token (stock) is from the stocks (remaining stocks). This implies that the idiosyncratic contri-butions to the variations in the utilized group of assets are considerably low when compared to the system contributions. Finally, we provide some implications for investment and portfolio management.
Citation Count: 7
Daily and Intraday Herding within Different Types of Investors in Borsa Istanbul
(Routledge Journals, Taylor & Francis Ltd, 2019) Ersan, Oğuz; Ekinci, Cumhur; Ersan, Oğuz
This paper aims to explore the daily and intraday herd behavior of various investor groups trading in an emerging equity market, Borsa Istanbul (BIST). We analyze a one-year tick-by-tick order and trade data of BIST 100 Index stocks and document differences in herding behavior of investor groups considering market capitalization, market conditions, and announcements as well as daily and intraday periodicities. We find that nonprofessional investors (brokerage houses and domestic funds) tend to herd on large (small) stocks; their herding behavior mostly exhibits a U shape (an inverse U shape) during the day. All types of investors tend to herd in down markets on a daily basis while this behavior disappears, even inverts intraday.
Citation Count: 3
Detecting and date-stamping bubbles in fan tokens
(Elsevier, 2024) Ersan, Oğuz; Demir, Ender; Ersan, Oguz
We focus on the existence of bubbles in fan tokens, utilizing the Supremum Augmented DickeyFuller (SADF) and Generalized Supremum Augmented Dickey -Fuller (GSADF) tests. We use daily closing prices of the top 20 fan tokens according to their market capitalization, along with Bitcoin, Ethereum, and Chiliz. The evidence from the GSADF test results indicates that the prices of 13 out of 20 fan tokens and the three cryptocurrencies have explosive periods associated with bubbles. Our results also show that the percentage of bubble days is between 0 % and 5% for all fan tokens. Among the 13 fan tokens exhibiting bubble behavior in their prices, nine have multiple sub -periods associated with bubbles, while only four tokens have a single sub -period with explosive prices. Bubbles in token prices are short-lived bubbles; most last for a few days. As a robustness analysis, we also perform LPPLS (Log -Periodic Power Law Singularity), providing similar results. Further analysis shows that trading volume, fan token return, Economic Policy Uncertainty (EPU), Daily Infectious Disease Equity Market Volatility (EMVID) are positively associated with the presence of bubbles in fan token prices, while oil return is negatively associated with bubbles.
Citation Count: 44
Economic Policy Uncertainty And Bank Credit Growth: Evidence From European Banks
(Elsevier B.V., 2020) Ersan, Oğuz; Ersan, Oğuz; Demir, Ender
Using a sample of 2977 private and listed banks in the EU-5 countries (the United Kingdom, Germany, Spain, Italy, France) for the years 2009–2018, this paper explores the impact of Economic Policy Uncertainty (EPU) on credit growth. Using panel data fixed effects methodology and controlling for endogeneity using two-step difference GMM estimators, our findings indicate that uncertainty in economic policies hampers the credit growth of European banks. Our bank type-based analyses indicate that the effect is mainly valid for cooperative banks. Additional analyses imply that the negative impact of EPU on credit growth is more pronounced in civil law countries, increases with debt maturity, and weakens for banks with a larger number of employees and branches. Furthermore, the unfavorable effects are stronger in well-capitalized banks, banks with foreign subsidiaries, and banks with a higher share of wholesale funding. We also provide several policy implications for different economic actors.
Citation Count: 49
The effect of European and global uncertainty on stock returns of travel and leisure companies
(Sage Publications Ltd, 2019) Ersan, Oğuz; Akron, Sagi; Demir, Ender
This article aims to evaluate the impact of economic policy uncertainty (EPU) on the STOXX Europe 600 Travel & Leisure Price Index by utilizing a monthly data set for 20 years through 1997-2016. It is found that both the European and the global EPU have significant negative effects on the stock returns of travel and leisure companies. We demonstrate the significantly superior forecasting power of EPU measures on tourism and leisure stock returns relative to a rather weak forecasting power of various macroeconomic variables.
Citation Count: 0
Finans Piyasalarındaki Yatırımcı ve İşlemcilerin Sınıflandırılması, Tespiti ve Analizi
(2019) Ersan, Oğuz; Ekinci, Cumhur Enis
Bu proje finans piyasalarında faaliyet gösteren yatırımcı ve işlemci türlerini sınıflandırmakta, verilerden yola çıkarak tespit etmekte ve birbirleriyle ilişkilerini ve piyasaya olan etkilerini ortaya koymaktadır. Bu amaçla, önce geniş bir internet taramasıyla bu yatırımcı/işlemci türleri listelenmiş, literatüre de atıfla tanımları yapılmış ve gruplanmıştır. İkinci olarak, Borsa İstanbul?da önemli yatırımcı gruplarından bireysel ve tüzel yatırımcıların, aracı kurumların ve yerel fonların günlük ve gün içi sergilediği sürü davranışı derinlemesine incelenmiştir. Son kısımda, gün içi verilerden yola çıkarak ve belli algoritmalar geliştirilerek, ?özel bilgili? işlemciler, yüksek frekanslı işlem (HFT) yapanlar, sürü davranışı sergileyenler, küçük/büyük işlemciler, yerli/yabancı yatırımcılar işlem bazında tanımlanmış, bunların işlemlerdeki payı günlük ve gün içi olarak ölçülmüş ve birbirlerini ve piyasayı etkileme durumu bir vektör otoregresyon (VAR) modeli çerçevesinde incelenmiştir.
Citation Count: 0
High-Frequency Trading and its Impact on Market Liquidity: A Review of Literature
(2021) Ersan, Oğuz; Ersan, Oğuz; Ekinci, Cumhur; Dalgıç, Nihan
High-frequency trading (HFT) has been dominating the activity in developedfinancial markets in the last two decades. Despite its recent formation, theliterature on the impacts of HFT on financial markets and participants isbroad. However, there are ongoing debates and unanswered questionswithin many subtopics. We survey through the research towards HFT effectson liquidity in an attempt to explain the coexistence of evidence regardingboth the positive and the negative impacts of HFT. We name two mainfactors leading to mixed results. Former concerns the negative marketconditions such as intraday shocks, through which HFT trading patternsmay sharply change. Latter regards the certain characteristics of HFTliquidity provision with the potential to present externalities for the market.
Citation Count: 6
High-frequency trading and market quality: The case of a slightly exposed market
(Elsevier Science Inc, 2022) Ersan, Oğuz; Ersan, Oguz
Impacts of high-frequency trading (HFT) on market quality and various actors have been broadly studied. However, what happens when HFT is not a prominent figure in a market remains relatively unexplored. The paper seeks to answer this question focusing on 30 blue chip stocks in an emerging market, Borsa Istanbul, through Dec 2015 to Mar 2017. Despite a low share in the overall activity, HFT has observable effects, i.e. liquidity provision by non-HFT traders significantly reduces with HFT. Moreover, HFT generates profits on both positive and negative return days. Yet, HFT activity does not have an impact on volatility. These findings raise concerns regarding HFT and show potential externalities are not specific to the markets with HFT dominance.
Citation Count: 0
Impact of the COVID-19 Market Turmoil on Investor Behavior: A Panel VAR Study of Bank Stocks in Borsa Istanbul
(Mdpi, 2024) Ersan, Oğuz; Ersan, Oguz
Assuming that investors can be foreign or local, do high-frequency trading (HFT) or not, and submit orders through a bank-owned or non-bank-owned broker, we associated trades to various investors. Then, building a panel vector autoregressive model, we analyzed the dynamic relation of these investors with returns and among each other before and during the COVID-19 market crash. Results show that investor groups have influence on each other. Their net purchases also interact with returns. Moreover, during the turmoil caused by the pandemic, except foreign investors not involved in HFT, the response of any investor group (retail/institutional, domestic investors doing HFT and those not doing HFT, and foreign investors doing HFT) significantly altered. This shows that the interrelation among investor groups is dynamic and sensitive to market conditions.
Informed trading around extreme events in Borsa Istanbul
(Kadir Has Üniversitesi, 2022) Bodur, Mehmet; Ersan, Oğuz; Oğuz Ersan
On February 22, 2017, two Turkish blue-chip stocks Ko¸c Holding (KCHOL) and Turkcell (TCELL) experienced a simultaneous flash event resulting in a sudden price crash during the continuous auction in Borsa Istanbul Equity Market, right before the market closing time. Both stocks experienced a nearby 10% fall before subsequent price recovery. KCHOL (TCELL) falls as much as %9.86 (%10.77) between 17:45:00 – 17:45:01 time period for an approximately 1-second interval. Before the respective event, order flow toxicity for informed trading proxy VPIN – Volume-Synchronized Probability of Informed Trading shows consecutive increasing behavior even before the sudden crash for TCELL whereas no concrete in advance reaction for KCHOL. VPIN levels for KCHOL (TCELL) increase (decrease) in the course of the post-event interval. Such a difference may be interpreted as increasing (decreasing) order flow toxicity for KCHOL (TCELL) trade balance. Univariate and multivariate regressions’ implied empirical findings result in the statistically signifi cant predictive power of VPIN for TCELL on impending VWAP - Volume Weighted Average Price pattern. However, for KCHOL, no reliable explanatory role of VPIN after considering control variables. Such indefinite results may imply different algorithmic trading strategy execution for KCHOL and TCELL with respect to the event and post-event periods
Citation Count: 1
ŞİRKETKÂRLILIĞININ FİNANSAL BELİRLEYİCİLERİ: GIDA SEKTÖRÜ ÜZERİNE BİR ARAŞTIRMA
(Mali Çözüm, 2020) Ersan, Oğuz; Çanakçıoğlu, Mustafa
Bu çalışmanın amacı, hisse senetleri Borsa İstanbul’da (BIST) işlem gören Gıda, İçki ve Tütün Sektörü’nde (XGIDA) faaliyet gösteren 26 şirketin finansal göstergeleri ile kârlılık değişkenleri arasındaki ilişkilerin ortaya konulmasıdır. Bu amaçla sektördeki şirketlerin 2003-2017 yılları arasındaki mali tablolarından elde edilen finansal oranlar yıllık olarak ele alınmıştır. Analizde bağımlı değişkenler olarak aktif kârlılığı (ROA) ve öz sermaye kârlılığı (ROE); bağımsız değişkenler olarak ise kaldıraç oranı, cari oran, aktif devir hızı, stok devir hızı, alacak devir hızı ve borç devir hızı kullanılmıştır. Çalışmada, değişkenler arasındaki ilişkiyi ölçmek amacıyla panel regresyon modellerinden yararlanılmıştır. Analiz sonucunda kaldıraç oranının ve ticari alacaklar devir hızının kârlılığı negatif yönlü etkilerken, aktif devir hızının kârlılığı pozitif yönde etkilediği tespit edilmiştir. Cari oranın artması istatistiki olarak ROA’yı olumlu yönde etkilerken, ROE üzerinde ise bir etkisi bulunmadığı gözlenmiştir.
Citation Count: 3
The speed of stock price adjustment to corporate announcements: Insights from Turkey
(Elsevier, 2020) Ersan, Oğuz; Şimşir, Serif Aziz; Şimsek, Koray D.; Afan, Hasan
The market reaction speeds to the news flow are currently measured at the millisecond level in developed markets. We investigate, using a unique setting from Turkey, whether the market reaction speeds in less sophisticated markets are on par with those of developed markets. We find that market reaction times to corporate announcements are slower than documented in recent studies, although markets react to positive news more quickly than negative news. When high-frequency traders are more active in the market prior to announcements, the speed of price adjustment is slower. Finally, we find sizable profit opportunities for investors following event-driven strategies.
Citation Count: 0
What drives the return and volatility spillover between DeFis and cryptocurrencies?
(Wiley, 2024) Ersan, Oğuz; Demir, Ender; Ersan, Oguz
In this paper, we study the return and volatility connectedness between cryptocurrencies and DeFi Tokens, considering the impact of different uncertainty indices on their connectivity. Initially, we estimate a TVP-VAR model to obtain the total connectedness between the two markets. We find that returns on the cryptocurrencies transmit significantly larger shocks and, thus, are responsible for most variations in the majority of DeFis' returns. Then, to analyse the impact of uncertainty on total return and volatility connectedness, we use four factors, namely, Economic Policy Uncertainty (EPU), The Chicago Board Options Exchange Volatility Index (VIX), Infectious Disease Equity Market Volatility Tracker (ID-EMV) and Geopolitical Risks (GPR). We find that except for geopolitical risks, all three measures have a positive impact on return and volatility connectedness, while GPR exerts a negative impact. Finally, we provide implications for researchers, market participants and policymakers.
Citation Count: 5
Where do tourism tokens travel to and from?
(Routledge Journals, Taylor & Francis Ltd, 2023) Ersan, Oğuz; Demir, Ender; Ersan, Oguz
This study aims to identify the sources of spillovers affecting tourism tokens and classify the type of assets to which they correspond. Using daily data for different asset classes from June 2018 through November 2022, we employ a TVP-VAR methodology to test the connectedness between two tourism tokens, two leading travel equity indices, and the two dominant cryptocurrencies, namely, Bitcoin and Ethereum. The findings show that tourism tokens are relatively independent of fluctuations in the traditional sources affecting the travel and leisure sector, such as the U.S. dollar, the price of oil, or travel equity indices. These results hint that tourism tokens are more closely related to cryptocurrencies rather than pure travel goods. The results may help decision-makers in the travel and hospitality industries considering the use of tourism tokens identify the potential forces impacting them.
Yüksek frekanslı işlemlerin Borsa İstanbul pay piyasasındaki uç fiyat hareketleri çerçevesinde incelenmesi
(Kadir Has Üniversitesi, 2021) Ersan, Oğuz; Ersan, Oğuz
Bu çalışmanın temel inceleme konusu yüksek-frekanslı işlemlerin (high-frequency trading, HFT) uç fiyat hareketleri esnasında piyasalara katılımlarıdır. HFT, bir saniyeden çok daha kısa zaman aralıklarında yüksek sayılarda emir gönderimi, büyük oranda emir iptalleri ve gün içi marjinal kâr hedefi ile özdeşleştirilebilmektedir. Çalışmada pozitif ve negatif uç fiyat hareketleri yaşanan hisse ve günlerde HFT aktivitesinin diğer günlere göre daha farklı düzeylerde olup olmadığı sorusuna cevap aranmaktadır. HFT aktivitesinin görece düşük düzeylerde olduğu Aralık 2015 – Mart 2017 periyodu ve BIST30 endeksinde listelenen hisse senetleri çalışılmıştır. Kullanılan HFT değişkenleri piyasadaki toplam HFT oranı dışında alım ve satım tarafındaki HFT oranlarını da temsil etmeye yöneliktir. Pozitif (negatif) uç fiyat hareketli gün-hisse ikililerinde satım (alım) tarafındaki emirlerde HFT payının diğer günlerdekine göre daha düşük olduğu bulunmuştur. Bu bulgu HFT'lerin fiyat yönü ile uyumlu pozisyon aldıklarına ve potansiyel HFT kârlarına işaret etmektedir. The main focus of this study is the market participation of high-frequency traders (HFT) through extreme price movements. HFT is associated with large numbers of order submission activity with fractions of a second, high order cancellation rates and intraday profit-seeking behavior. We inquire whether the level of HFT activity is different for the stocks on the days with large positive and negative price movements. We work with the stocks listed in BIST30 index and with a timespan between December 2015 and March 2017, a period with relatively low HFT share in the market. The utilized HFT variables capture the total HFT share in the orders as well as the HFT shares on the buy and sell sides separately. We find that the HFT share in the buy (sell) orders for the stock-day pairs with positive (negative) extreme price changes is lower than the HFT share on the remaining days. This finding signals the fact that HFTs tend to take positions that are in line with the price direction and the potential HFT profits.