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Öğe COVID caused a negative bubble. Who profited? Who lost? How stock markets changed?(ELSEVIER, 2023-05) Utku, Numan; Ali, Fahad; Saydumarov, Saidgozi; İkizlerli, DenizCompiling a unique, worldwide collection of trading data, we analyze investor types' aggregate trading in stock markets throughout the COVID-19 episode, to assess investor types' role in a worldwide negative bubble and their degree of sophistication in responding to it. Individual investors were the main buyers and consequently the winners during the rebound. Foreign institutional investors exited host markets; some domestic institutions exploited the negative bubble by well-timed buying. In US index futures, asset managers heavily sold into crash; dealers profited from the rebound. Individual investors' buying was driven by their contrarian behavioral traits and a unique positive shock to retail investor demand for self-serviced investing in stocks, driven by work-from-home practices and unprecedented stimulus. This shock has changed the participant composition of world stock markets. Overall, the COVID-19 episode has many unique aspects that cannot be accounted for under existing theories.Öğe Reexamination of the BIST 100 stock price volatility with heterogeneous autoregressive realized volatility models(Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 2021) Eroğlu, Burak Alparslan; İkizlerli, Deniz; Yener, HalukABSTRACT: In this study, we employ the heterogeneous autoregressive model framework on the (half) daily returns of the BIST 100 index between the years 2016 and 2019. This framework helps us understand the short, medium, and long-term patterns of the volatility dynamics for the return series. Notably, we analyze how leverage effect and jumps in the return series affect the realized volatility of the BIST 100 index. For the analysis, we employ sixteen models, and the results from these models show that there is a leverage effect, albeit small. The effect of jumps is significant and is present either in the short-term or long-term, depending on the type of model utilized for the analysis. We also detect a diurnal effect at the session level, implying that the realized volatility of the BIST 100 index is lower in the morning sessions.Öğe Reexamination of the BIST 100 Stock Price Volatility with Heterogeneous Autoregressive Realized Volatility Models(2021) Yener, Haluk; İkizlerli, Deniz; Eroğlu, Burak AlparslanIn this study, we employ the heterogeneous autoregressive model framework on the(half) daily returns of the BIST 100 index between the years 2016 and 2019. This framework helpsus understand the short, medium, and long-term patterns of the volatility dynamics for the returnseries. Notably, we analyze how leverage effect and jumps in the return series affect the realizedvolatility of the BIST 100 index. For the analysis, we employ sixteen models, and the results fromthese models show that there is a leverage effect, albeit small. The effect of jumps is significantand is present either in the short-term or long-term, depending on the type of model utilized forthe analysis. We also detect a diurnal effect at the session level, implying that the realized volatilityof the BIST 100 index is lower in the morning sessions.Öğe The Relation Between Trading Volume and Return Volatility: Evidence from Borsa Istanbul(2022) İkizlerli, DenizThis study investigates the relationship between volume and volatility in the context of the Mixture of Distribution Hypothesis (MDH) and Sequential Information Arrival Hypothesis (SIAH) with respect to company size in Borsa Istanbul (BIST). Employing the generalized method of moments (GMM) method and granger causality tests, we find statistical evidence supporting the MDH for large-cap stocks, whereas we document no evidence of contemporaneous interaction between volume and volatility for mid-cap and small-cap stocks. This suggests that the dissemination of information in the stock market appears to be primarily through large firms. Our findings for large cap stocks have not changed across economic states. In terms of SIAH, for the stocks of companies of any size, we document uni-directional causality running from volatility to volume but not the other way around which is not consistent with the SIAH. However, we find supporting evidence of the SIAH for large cap stocks during the expansion periods.Öğe The impact of US Monetary Policy Announcements on Equity Prices: Evidence from Borsa Istanbul(2020-09-28) İkizlerli, Deniz; Yener, Haluk; Eroğlu, Burak AlparslanThis study examines the effect of FOMC's (Federal Open Market Committee) announcements on the volatility of stock returns in the Borsa Istanbul (BIST) from January 4, 2000 to May 31, 2019. We find that FOMC's news increases the market level of volatility on announcement days but cannot find any evidence that it had a destabilizing effect on the Turkish stock market over our observation period. We also look at the effect of FOMC's news on the return volatility of the BIST100 index over different states of the stock market and find that FOMC's announcement days give a lift to conditional volatility both in bull periods and bear periods, but find no evidence of destabilizing impact. On the contrary, both positive announcement and negative announcement shocks in bull periods are found to depress volatility on consecutive days. In other words, FOMC's announcements in bull periods have a stabilizing effect on equity prices rather than a destabilizing in the BIST100 index.Öğe The Impact of US Monetary Policy Announcements on EquityPrices: Evidence from Borsa Istanbul(2020) İkizlerli, Deniz; Yener, Haluk; Eroğlu, Burak AlparslanThis study examines the effect of FOMC's (Federal Open Market Committee) announcements on the volatility of stock returns in the Borsa Istanbul (BIST) from January 4, 2000 to May 31, 2019. We find that FOMC's news increases the market level of volatility on announcement days but cannot find any evidence that it had a destabilizing effect on the Turkish stock market over our observation period. We also look at the effect of FOMC's news on the return volatility of the BIST100 index over different states of the stock market and find that FOMC's announcement days give a lift to conditional volatility both in bull periods and bear periods, but find no evidence of destabilizing impact. On the contrary, both positive announcement and negative announcement shocks in bull periods are found to depress volatility on consecutive days. In other words, FOMC's announcements in bull periods have a stabilizing effect on equity prices rather than a destabilizing in the BIST100 index.Öğe The response of different investor types to macroeconomic news(2019-06) İkizlerli, Deniz; Holmes, Phil; Anderson, KeithWe provide the first investigation of foreign, local institutional and local individual investors’ trading responses to global, regional and local macroeconomic surprises using daily buy-sell volumes for Korea, taking account of endogeneity. Investor types respond differently to different shocks and differentially to the same news. Responses also differ across market states. However, behavior is more complex than previously recognized. Local individuals’ (institutions’) responses to local news suggest they are contrarian (momentum) traders with respect to expected policy responses, rather than the raw shocks themselves. The importance of investor type to understanding the impact of macroeconomic news on behavior is highlighted.
