Browsing by Author "Ulusoy, Veysel"

Now showing 1 - 5 of 5

Citation - WoS: 1
The Behaviour of the Istanbul Stock Exchange Market: an Intraday Volatility/Return Analysis Approach
(Academic Journals, 2011) Ulusoy, Veysel; Eken, Mehmet Hasan; Çankaya, Serkan
This study investigates intraday effects in the Istanbul Stock Exchange (ISE) during the latest period of financial turmoil which began in August 2007 and extended to February 2010. We tested for the possible existence of intraday anomalies using both return and volatility equations empirically applying GARCH (pq) models. The unique data set we utilized was compiled from 15-min intraday values of the ISE-100 Index which are formed by averaging historical ten-second tick data. This study contributes to the current literature in three distinct ways. Firstly the basic characteristics of the unique data used in this research were investigated in detail. Secondly four range-based volatility measures namely Garman Klass (GK) Yang-Zhang (YZ) Rogers-Satchell (RS) and Parkinson (PK) were employed to take more precise measurements of volatility for intraday data analysis in order to identify the changes in general market sentiment using opening closing high and low prices. Thirdly we estimated the relative efficiency of GK YZ RS and PK by applying GARCH (p q) models. The results are quite promising indicating that strong opening price jumps are present for daily and morning calculations. They illustrate that the YZ estimator has relatively more power in generating tolerable volatility patterns.
Citation - Scopus: 1
The effects of global financial crisis on the behaviour of European banks: A risk and profitability analysis approach
(ACRN Oxford Ltd., 2018) Eken, Mehmet Hasan; Selimler, Hüseyin; Kale, Süleyman; Ulusoy, Veysel
The effects of global financial crisis have been severe on banks. Many banks went bankrupt and many are in distress due to their sensitivities, stored in their balance sheets, to financial risks enlarged by the crisis. Some of banks, on the other hand, have felt the effects slightly. Recalling that total risk is sum of two parts of risk namely; volatility and sensitivity and that volatility is not under the discretion of banks, i.e. externally determined, it is assumed that the degree of banks getting affected by the global financial crisis is largely dependent on their sensitivities to risks. Banks' sensitivities to risks are assumed to be under the control of banks. Thus, in line with their risk appetite, banks can always change the structure of their balance sheet to alter their sensitivities to financial and non financial risks. In this paper it is targeted to analyze and compare the balance sheet structure banks from 27 European countries in order to find their sensitivities to different financial risks such as credit risk and liquidity risk. It will further be analyzed how banks' balance sheet structures have been altered after the crisis. To observe the behavioural variations (if there is any) of banks getting affected by financial crisis, the analysis is widened to include different characteristics of banks such as; the country where they are operating, region where they are belong to, scale of their operations, their ownership, their type and etc.
Estimating Bankruptcy Probability Using Fuzzy Logic: an Application To a Panel of Us and Turkish Industries
(Kadir Has Üniversitesi, 2011) Özarı, Çiğdem; Özarı, Çiğdem; Ulusoy, Veysel
The main purpose of this study is to show how a Merton Model approach can be used to develop a new measure of company failures. probability independent from their sectors.in this study a new index Fuzzy-bankruptcy index is created which explains the default probability of any firm X independent from the sector it belongs. in the construction process in order to reduce the relativity of financial ratios due to the fact that their interpretation change with time and according to different sectors fuzzy logic is used. For the fuzzy process we used five input variables four of them are chosen from both factor analysis and clustering and the last input variable calculated from Merton Model. Looking back to the default history of firms one can find different reasons such as managerial arrogance fraud and managerial mistakes which are responsible for the very sad endings of well-known companies like Enron K-Mart and even the country Argentina. Thus we hope with the help of our Fuzzy-bankruptcy index one could be able to get a better insight into the financial situation a company is in and it could also prevent credit loan companies from investing in the wrong firm and possibly from losing the entire investment. This study is organized as seven chapters. Chapter one explains the factor analysis. Chapter two gives the definition of probability of default and outlines the methods for estimating default probability. it reviews the literature on estimating the default probabilities the Merton Model and its extensions. Chapter three explains the cluster analysis and fuzzy logic. it reviews the literature on clustering and methods of clustering especially explains the method of how to cluster variables in detail. Second part of chapter three explains fuzzy logic and its applications. it reviews the literature on applications of fuzzy logic and how and why we use fuzzy logic in our model. Chapter four gives the information of our study and describes the model we studied. Chapter five investigates the relationship between macro-economic factors and probability of default and Chapter six concludes. Chapter seven is appendix of our study.
Citation - Scopus: 3
The Impact of Short Selling on Intraday Volatility: Evidence From the Istanbul Stock Exchange
(IEEE, 2012) Çankaya, Serkan; Eken, Mehmet Hasan; Ulusoy, Veysel
This paper examines the interrelation between short selling and volatility as differing from previous research in that it focuses on intraday activities rather than the daily price movements. We demonstrate that the effects of short selling activity changes during the two sessions of the day and rest of trading hours. The study also presents evidence that there is a considerable amount of short selling activity in the Istanbul Stock Exchange (ISE) particularly at the beginning of opening sessions which significantly impacts the volatility of the market for the rest of the trading day. © EuroJournals Publishing Inc. 2012.
Türkiye'de Hisse Senedi Piyasasında Getirilerin Ölçeği; Panel Ekonometrisi Yaklaşımı
(Kadir Has Üniversitesi, 2014) Altazli, Ahmet Mert; Ulusoy, Veysel; Aybar, Sedat
Bu araştırmanın amacı hisse senedi fiyatlaması için makroekonomik bir model kurup bu modelin temel bileşeni olarak burada ortaya konan istisnai gün etkisi üzerinden hisse senedi getirisini açıklamaktır. İstisnai gün kavramı irdelenirken kurulan fiyatlama modeli üzerinden yatırımcılar açısından işlem hacmi cinsinden ölçek ekonomilerinin işlerliği de test edilmiştir. Bu çalışma temelde üç aşamada özetlenebilir. İlk aşamada hisse senetlerinde aşırı tepkilerin ne olduğundan hareket ederek, ne büyüklükte bir hareketin aşırı olarak tanımlanabileceğini riske maruz değer yaklaşımı ile bulma yolu izlenmiştir. Bu aşırı tepkiler istisnai gün olarak adlandırılarak kurulan modele bir girdi olarak eklenmiştir. Kurduğumuz piyasa modeli girdi olarak makroekonomik değişkenler içermesi nedeniyle klasik teori ile uyumlu olsa da, istisnai gün kavramı modele bir girdi olarak eklendiğinden model klasik yaklaşımdan bu şekilde farklılaşmaktadır.İkinci aşamada her bir hisse senedi için istisnai gün sayısı hesaplanırken, istisnai gün kavramına etki edebilecek hususlar değerlendirilmiş, günlük işlem hacimleri üzerinden ölçek ekonomileri test edilmiştir.Son aşamada ise istisnai gün kavramı kurulan makroekonomik faktör modeli içerisinde kullanılarak hisse senedi getirisini ve piyasa getirisini hangi ölçüde etkilediği ortaya konmuş ve sonuçları tartışılmıştır. Bu çalışmada günlük getirileri açıklayan bir piyasa modeli oluşturulmuştur. Hisse senetlerinin aşırı tepki verdiği günlerden çıkartılan istisnai gün kavramı ortaya konmuş ve bir hisse senedinin geçirdiği istisnai gün sayısı ile farklı temel özellikleri karşılaştırılarak bu kavramı nasıl etkiledikleri tartışılmıştır. Analizimiz göstermektedir ki, hisse senetleri için istatistiki olarak anlamlı bir şekilde istisnai gün etkisinden bahsedilebilmektedir. İstisnai gün kavramı piyasa modeli içerisinde bir girdi olarak kullanıldığında hisse senedi getirisini açıklamaktadır. Ancak işlem hacimleri üzerinden ölçek ekonomilerinin varlığı kanıtlanamamıştır.