Yazar "Cankaya, Serkan" seçeneğine göre listele

Listeleniyor 1 - 2 / 2
  • Küçük Resim Yok
    Öğe
    The behaviour of the Istanbul Stock Exchange Market: An intraday volatility/return analysis approach
    (Academic Journals, 2011) Ulusoy, Veysel; Eken, M. Hasan; Cankaya, 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 (p,q) 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.
  • Küçük Resim
    Öğe
    The Case for Gold Revisited: A Safe Heaven or A Hedge ?
    (University of Pittsburgh Press, 2012) Apak, Sudi; Akman, Vedat; Cankaya, Serkan; Sonmezer, Sitki
    This paper attempts to analyze the relation among gold prices and other macroeconomic and financial variables and addresses the question whether gold is a safe haven or a hedge for investors. The study investigates the relationship by using an econometric analysis for top gold exporter and importer countries, for a sample period of 11 years from 2000 to 2011. The results are twofold (i) return of silver, USD returns and change in the volatility index influences gold returns positively whereas, Swiss Franc and Canadian Dollar returns influence gold returns negatively regardless of presence of the 2008 crisis. (ii) In times of stress, our findings indicate that Swiss Franc, Norwegian Krone and Canadian Dollar function as haven whereas, on average, Swiss Franc, Canadian Dollar and 10 year US treasuries function as a hedge against gold but the results show no evidence for the US dollar.