MSc in International Finance
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Öğe Determinants of cryptocurrency investment(İstanbul Bilgi Üniversitesi, 2022) Efe, Vedat; Özyıldırım, CenktanABSTRACT: In this research, it was aimed to evaluate effects of behavioral bias on crypto currency investment decisions. The universe of the study includes banking sector workers in Istanbul in 2021, and sample of the study includes 443 banking sector workers with voluntary participation method. Financial Literacy Scale developed by Kayacan (2019) was used. For digital literacy evaluation, Digital Literacy Scale developed by Üstündağ et al (2017) was used. Accroding to results of the study, there were statistically significant differences between demographic properties of crypto-currency investors and non-investors (p<0.05). There were statistically significant differences between confidence levels of crypto-currency investors and non-investors (p<0.05). There were statistically significant differences between risk levels of crypto-currency investors and non-investors (p<0.05). There were not statistically significant financial literacy score differences between crypto-currency investors and non-investors (p>0.05). There were statistically significant digital literacy score differences between crypto-currency investors and non-investors (p<0.05). Financial literacy levels had insignificant effect on crypto currency investing decision (p>0.05), whereas digital literacy levels have significant effect on crypto currency investing decision (p<0.05). According to correlation coefficient, the most related factor affecting crypto currency was risk, followed by confidence gender and digital literacy.Öğe Prediction of S&P500 stock market movement using Twitter sentiment analysis(İstanbul Bilgi Üniversitesi, 2021) Horo, Omar Hannan; Özyıldırım, CenktanABSTRACT: Twitter is amongst the biggest social networking services, offering its services to over 350 million active users as of 2021. For over the past few years, Twitter has been the most used social network platform as a tool of interaction between investors and stock market given its convenience and ability to move information from one part to another in a very short time. For over years, econometrics had always turn to the basic Ordinary Least Regression (OLS) to analyze the relationship between two variables and how much impact one variable could have another. However, during OLS analysis, the assumption is that the squared values of all errors terms at any particular point is constant (Homoskedasticity). Therefore, for a given set of data in a time series with different error terms (Heteroskedasticity) may result to a slight sense of false analysis and forecasting precision, hence leading us to go with ARCH and GARCH models, where heteroskedasticity is basically considered as variance to be accounted for and modeled. The aim of this study was to determine whether there is a significance impact of sentiment to the stock return in the time series. Despite several related studies, most papers mostly used Ordinary Least Squares with an assumption of linearity. Despite the original OLS showing significant influence of sentiments in our model, ARCH and GARCH models concluded that sentiment was not a significant predictor in the conditional variance.Öğe Efficiency of Turkish banks and banking groups(İstanbul Bilgi Üniversitesi, 2021) Çakır, Eslem; Özyıldırım, CenktanABSTRACT: In this study, the efficiency of the banks operating in the Turkish Banking sector was measured for the years of 2015-2019. For efficiency measurement, inputoriented CCR and input-oriented BCC methods which are among DEA methods were applied separately. The result of the analysis was tested using statistical methods of ANOVA and t-test. When interpreting efficiency scores, banks are divided into groups as state banks, foreign-owned deposit banks, foreign-owned participation banks, private-owned state banks and state participation banks. While evaluating the efficiency of bank groups according to the results of DEA analysis, suggestions for potential improvements were made for the relevant bank groups.Öğe Effectiveness of Japanese Candlestick chart patterns in Borsa Istanbul 30 index(İstanbul Bilgi Üniversitesi, 2021) İnceleme, Yusuf Murat; Özyıldırım, CenktanABSTRACT: The objective of this study is to evaluate the estimation competence of the ancient form technical analysis, the candle charting, to find out if there is evidence against market inefficiency. Although many analysts and academicians argue that the estimation power of candlesticks is inconsistent with the market efficiency, many market participants still implement this art of technical analysis as a tool for estimating the price trends and supporting their trading decisions. The candlestick charting assumes that single forms to multiple combinations of candlesticks may give an estimation about the current mood/psychology of the market and several hints about its future price behavior. The candlestick analyses practitioners even claim these forms of market data in fact only containing open, close, high and low prices can originate profitable trading strategies. Efficient Market Hypothesis argues with any technical analysis methodology including Japanese Candlesticks can help investors to beat the market. In this study the prediction power (or lack of it) of candlesticks will be tested on Borsa Istanbul 30 Index and on its component, equities is tested.Öğe The impact of mergers and acquisitions on stock prices of Turkish acquirer companies in 2000s: evidence from Borsa Istanbul(İstanbul Bilgi Üniversitesi, 2021) Çelik, Koray; Reis, EbruABSTRACT: The aim of this research is to examine the short- and long-term impact of mergers and acquisitions (M&As), occurred between 2000 and 2017 in Turkey, on stock prices of acquirer companies using the event study methodology. Cumulative abnormal return (CAR) and buy and hold abnormal return (BHAR) are analyzed for different event window periods to understand the impact of M&As in the short and the long-term, respectively. The largest event window covers the period of 10 trading days before and after the announcement date for the short-term period. On the other hand, 3 years is chosen as an event window to make better comparison with the literature for the long-term period. The total sample consist of 123 completed mergers and acquisitions listed on Borsa Istanbul. In addition to the full sample analysis, three subgroups which are the “Local vs. Cross border M&As”, the “Related (non-conglomerate) vs. Unrelated (conglomerate) M&As” and “M&As before 2006 vs. M&As after 2006” are elaborated and their impact on stock prices are measured. No statistically significant results are obtained for the full sample and the other sub-groups. According to the results of this study, M&As do not seem to have any significant effect on the acquirer companies’ share prices both in the short-and long-term period in Turkey.Öğe Analyzing the impact of working capital management on corporate profitability(İstanbul Bilgi Üniversitesi, 2020) Tanyel, Emine; Reis, EbruABSTRACT: In business, WCM has a critical role because of directly effectiveness of profitability. This thesis aims to give empirical results on impacts of WCM on profits. It is conducted for 11 years period which is from 2008 to 2018 focusing on retail and wholesale companies operating in Turkey. The data source consists of companies which are listed on the BIST. To measure WCM, CCC is used and GOI, NOI, and ROA are measurements of profitability. Also, correlation and descriptive analysis, OLS and Fixed Effects regressions are used to perform regressions. The study shows that there is a significant and negative relationship between profitability and CCC. To sum up, a negative relationship observed between CCC and profitability; longer CCC, profitability decreases. Also, a negative relationship between DSO and profitability. If the collection period is long, the profitability decreases. It is likely to, there is a negative relationship between DIO and profitability; longer the inventory holding periods, the profitability decreases. When we look at the DPO and profitability relation, we see a negative relationship which means shorter the days payable outstanding, the profitability increases. All equations were estimated by regression analysis as utilized by Deloof (2003).Öğe Effects of oil price on Turkish stock market(İstanbul Bilgi Üniversitesi, 2020) Akbarli, Ehtiram; Özyıldırım, CenktanABSTRACT: The price of oil is one of the most important macroeconomic factors that can influence the countries' economies. Because oil is the main source of energy for most countries, any fluctuation in the price of oil can affect companies' profits and hence their stock price. This study investigates oil price’s effect on the Turkish Stock Market. After determining that there is cointegration among the variables, Vector Error Correction Model is used to study this relationship. The results suggest that in the long run, increasing oil price has a significantly positive impact on the Turkish Stock Market. The Granger Causality test is also run to check possible short-run impact of oil price on the Turkish Stock Market, but the Granger Causality results suggest that oil price does not have a significant effect on the Turkish Stock Market in the short-run.Öğe Macroprudential policies and financial stability: the case of Turkey(İstanbul Bilgi Üniversitesi, 2021) Etcan, Özge; Akat, Asaf SavaşABSTRACT: Macro-prudential policies were widely used by various countries aftermath of the global financial crisis. The toolkits of the macroprudential policy were designed to prevent systemic risk, to ensure the financial stability and to strength the resilience of the financial system. The main difference of macroprudential policy from other policies is to target the systemic shocks because of the negative externalities such as; interconnectedness, pecuniary and strategic complementarities. This study aims to examine the effects of the macroprudential policies in different countries such as Israel, China, Russia, Germany, and especially Turkey, to describe the advantages and disadvantages of the implementation of the policy and to analyze the institutional structure of the policies. The policy implementation differs between advanced economies and the emerging market economies. Therefore, Turkey will be examined in detail as an example of the emerging market economy.Öğe Short term post-ipo share price performance comparison of publicly owned and private companies(İstanbul Bilgi Üniversitesi, 2021) Bostanoğlu, Ali Mert; Erdoğan, OralABSTRACT: This thesis aims to examine and compare initial trading day and twelve months stock performance of privatization initial public offerings (PIPOs) and private company initial offerings (IPOs) between 1990 and 2019 in Turkey. A sample of 425 IPOs, consisting of 25 PIPOs and 400 private company IPOs are analysed in the study. Consistent with previous literature, underpricing is evident with the mean initial trading day of 8.5% of the entire sample. Privatization IPOs results in Turkey also indicate a higher magnitude of underpricing compared to private company IPOs. This is consistent with previous studies that suggest PIPOs generally offer higher initial excess returns compared to private company IPOs. Regarding the twelve-month period, the cumulative abnormal return method yields 4.3% for all IPOs. Similar to initial day performance, PIPOs also appears to be more underpriced compared to private company IPOs.Öğe The effects of religious holidays on stock returns: evidence from Istanbul stock exchange(İstanbul Bilgi Üniversitesi, 2021) Can, Ahmet Melih; Reis, EbruABSTRACT: Holiday effect is observing abnormal returns than usual in official holidays. This effect has been proven by researches in many developed and developing countries, especially in USA. The most of the studies indicate that higher positive returns before and/or after holidays. However, in a few studies, there are more returns that are negative or no significantly different return before holiday, as well as a negative return after holiday. Furthermore, in some studies, more positive return before and/or after holidays is observed just in some countries while not observed in some others. These different findings obtained in the previous researches stem from that almost every study use different methodological approaches and analysis techniques. In some studies, the effect is examined only before or after the holiday, while both before and after the holiday in some studies. In many studies examine that different series of datasets for different holiday types and countries while few studies are based on a single series of dataset. In these studies, there is also no consensus on how many days should be use to examine the impact before and/or after the holiday and whether the impact should be examined cumulatively for a group of days or together for pre- and post-holiday or separately for each day. Regarding the effects of religious holidays on returns in stock exchanges, this approach differences continues, and in these studies, the analyzes are mostly based on religious days, not on religious holidays, but they are mostly focused on Ramadan month (not on the feasts of Ramadan and Sacrifice which are quite long-lasting holidays and have different structure as they are holiday) in almost all of these studies. Therefore, there is no study that accepts Ramadan and Sacrifice holidays as a single dataset and analyze 4 days before and after these religious holidays as cumulative (not on a daily basis) as well as no study investigating pre- and post-effects in each model together. These reasons have necessitated to conduct such a study.In this research, the effect of religious holidays in Turkey on returns in stock exchanges are investigated with daily returns of BIST100 index of Istanbul Stock Exchange (ISE) for 21 years from 01.01.1999 to 31.12.2019 including 4 days before and 4 days after holidays. Primarily, non-parametric chi-square test used in detecting the existence of holiday effect. In chi-square test, percentage of positive and negative returns to number of all returns used on the transaction days before and after the religious holidays. In estimating specified models, primarily the classical linear regression models which are estimated by Ordinary Least Squares (OLS) and Newey-West’s correction are used in calculating standard errors are benefited from. As in case of varying variance, classical linear regression models with (OLS) might be fail in estimating. As in our data, the returns are leptokurtic (having wider tail) and the variance cluster (volatility) is observed, The Autoregressive Conditional Heteroscedasticity (ARCH) family models that are suggested in case of volatility and wider tails in financial return series in order to be able to estimate the models better. In the analysis, Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models used to capture symmetrical effect and The Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) models used to capture asymmetrical effects. According to the findings obtained in the research, in none of the GARCH and EGARCH models or multivariate regression analysis, it is found that average daily returns before the religious holiday in Turkey differ significantly compared to the ones on normal days. Therefore, in all methods, both daily average returns before and after the religious holiday in Turkey are not significantly different together.Öğe Exploring the link between digital currency use and commercial banks liquidity performance(İstanbul Bilgi Üniversitesi, 2020) Özdağ, Mirac Ethem; Özyıldırım, CenktanABSTRACT: The aim of this paper is to explore the relationship between the use of digital currency and commercial banks liquidity performance. The present study adopts the quantitative research approach, which states that the analyzation would be based on statistical data. The research uses secondary sources i.e. the database of the World Bank for data collection. It uses statistical tools such as OLS regression and correlation analysis. These tests prove that there is an insignificant yet negative relationship of Bitcoin volume on commercial banks' liquidity thus reject the hypotheses formulated by the study. Moreover, the results of the research imply that commercial banks must not take digital currency as a threat to their financial or nonfinancial performance. Rather work on trying to partner with the latest technology used in the development of virtual currency to be more efficient.Öğe Does self-control predict financial behavior and financial well-being?(İstanbul Bilgi Üniversitesi, 2020) Özgüner, İlke; Özyıldırım, CenktanABSTRACT: We have been taught that throughout our educational life, people are rational and make smart choices when it comes to financial ones. People make rational decisions and with the help of this rationality, it is possible to estimate the results of financial decisions. Rational people make the best decisions by reaching every possible information before making investment decisions. In this way, the markets maintain their productive structure. Efficient market, which is one of the basic principles of traditional finance narrative, and rational investor acceptance is losing its validity day by day. As seen in both our social life and financial markets, people do not always make good choices. Based on the idea that people and investors do not always make the most accurate and rational decisions, with the influence of emotions and characteristic features included in decision mechanisms, researches on behavioral finance have been conducted and a way of thinking has been created. There is a lot of research that measures the ability of some emotional developments and characteristics to explain financial decisions, investor behavior or financial well-being. In this study, it is aimed that people discuss about self-control's ability to predict financial behavior and well-being.Öğe Comparing intellectual capital efficiency of international financial institutions(İstanbul Bilgi Üniversitesi, 2020) Celasun, Deniz Tan; Özyıldırım, CenktanABSTRACT: The “basic economic problem” of satisfying infinite needs with finite resources requires efficiency by its nature. Although international financial institutions (IFIs) are exempt from national taxes in most cases, they are not exempt from the basic economic problem. Hence, their efficiency requires attention. Measuring the efficiency of tangible assets (such as invested capital, owned lands etc.) has been done using specific ratios and analyses for many years. However, the efficiency of intangible assets (such as knowledge, institutional culture etc.) is more difficult to measure and its importance has been growing significantly in the recent years. This study analyses the relationship between IFIs’ shareholder diversity and their intellectual capital efficiencies (ICE) based on Value Added Intellectual Coefficient (VAICTM) calculations. In the analysis, for the sake of simplicity, number of shareholders represents diversity. All of the 23 currently operational IFIs, which were separated into three groups based on their number of shareholders, were included in the analysis and for each of them VAICTM was calculated for the past three years, resulting in a dataset of 69 observations. This dataset was analysed using ANOVA (for three groups together) and T-tests (for each pair of groups). The results of the ANOVA and T-tests showed that groups’ means are different from each other; hence, the ICE was found to be related with the number of members. Furthermore, the VAICTM observations indicate a negative correlation between intellectual capital efficiency and diversity. This admittedly unexpected result invites a closer look at the notion of diversity and intellectual capital as assessed by VAICTM.Öğe Factors affecting profitability in the Turkish banking system(İstanbul Bilgi Üniversitesi, 2020) Sayar, Ayşe Gül; Özyıldırım, CenktanABSTRACT: This study was conducted so as to determine the factors affecting the profitability of banks operating in Turkey, by taking into account the data received from all public sector banks, private sector banks, banks whose savings deposits have been transferred to the insurance fund, foreign-owned banks and development and investment banks operating in Turkey. Data of all banks connected to the Banks Association of Turkey were obtained from the web pages open to the public in order to get more reliable results about the banks' profitability. As a result of the study, it is understood that liquidity ratios do not have a positive effect on return on equity and net interest margin, but have a negative effect on return on assets. It is oberved that an increase in the cost / income ratio has a negative effect on all three profitability rates. An increase in asset size, which is another independent variable of the research, only increases the return on equity, but has a negative effect on the return on assets and net interest margin. On the other hand, while the size of equity increases the return on assets and net interest margin, it does not have an effect on the return on equity. The capital adequacy ratio, the last independent variable of the research, has a negative effect on return on equity and return on assets, while it has a positive effect on the net interest margin.Öğe The effects of leverage ratio's components on credit risk (CDS spreads)(İstanbul Bilgi Üniversitesi, 2019) Kaya, Mehmet Çağlar; Özyıldırım, CenktanABSTRACT: This thesis aims to analyze in detail the most common determinant of credit risk, the leverage ratio, proposed both by theoretical structural risk models relying on market information and credit risk models depending on accounting data. Distinct from previous works, this study is the first one which investigates how different types of debt affect corporate CDS spreads. We decompose leverage ratio into its components: market debt, bank debt, trade credit leverage ratios by account type classification. The results suggest that debt to financial markets (commercial papers, bonds, etc.) influences positively the next period’s CDS spread more than other debt types. CDS spread also reacts positively to bank debt leverage, whereas not to trade credit leverage. Furthermore, we find that CDS spread is statistically responsive to trade receivables.Öğe Existence of the calendar effect or an illusion: Investigation days-of-the-week anomaly in Istanbul stock exchange(İstanbul Bilgi Üniversitesi, 2019) Karademir, İhsan Cem; Soybilgen, BarışABSTRACT: In this study, "days of the week anomaly", which is one of the most popular working areas of behavioral finance, was investigated on the Istanbul Stock Exchange covering the period of 2007 - 2018. The anomaly, which it was also conducted for global stock markets in the past, it has been investigated whether trading days contradict the "Efficient Market Hypothesis" assumptions and have statistically significant and different returns. By using the daily return data of BIST30 and BIST100 indexes, days of the week anomaly was observed periodically with Ordinary Least Squared Regression, GARCH (1,1) and EGARCH (1,1) methods. THe decline in the investment maturity of the market participants and the irrational short - term investment strategies after the crisis are the most important factors in the existence of market anomalies. In the Borsa Istanbull indexes, it was observed that Fridays had the negative return in a statistical way between 2007 - 2010.Öğe Implementation of DCA on borsa İstanbul(İstanbul Bilgi Üniversitesi, 2019) Öğücü, Umut; Erdoğan, OralABSTRACT: The aim of this study is to compare and contrast DCA, namely Dollar Cost Averaging, and LS, namely Lump Sum, strategies. In line with this aim, the study is divided into five main sections.In the first section, the problem is introduced and the two strategies, DCA and LS are explained. The second section is the literature review part of the study, where the advantages and disadvantages of these two approaches are compared in terms of flexibility and timing of investment, expected yield and risk reduction and psychological aspects. In the third section research methodology is explained and then in the fourth section findings of the research is given. Finally the fifth section is conclusion, where the summary of the current study is given.The literature review of this study, which contains in depth studies of scholars and practitioners, is a thorough study of the performance comparison of DCA and LS. Basically, DCA is based on purchasing stocks in equal installments and the remainder of the investment amount is put out at interest during the investment period. On the other handLS strategy is based on purchasing stocks at a time during the investment period. In this context, DCA represents a common and helpful regular investment strategy for directors of mutual funds, personal investors, economic analysts, and pension planners. Academics and practitioners discuss the problem of DCA's performance efficiency. The DCA is defined as a plan for decreasing risk as a most frequently suggested investment strategy. The benefit was nevertheless stated as the cost of producing higher yields.In this regard, in the research part of the study, 46 different stocks from BIST50 are analyzed for 234 variations of 5-year investment periods (from January 1995 to June 2019) in order to determine whether DCA or LS is a superior strategy. The evaluated outcomes are verified by using the Monte Carlo simulation. In brief, a great majority of the analysis reveal that DCA is superior to LS for the defined investment period.However the differences are not significant. Furthermore, scientific trials demonstrate that the DCA approach precedes the risk reduction, but in terms of efficiency, it is inferior to the LS approach to obtain yield. Although the better results are provided through investments in less volatile assets, it is more appropriate to apply in contrast with LS to more risky investments.Ultimately, it can be said that neither DCA nor LS is superior to each other in terms of BIST50 stocks for the specified investment periods.Öğe The relationship between brent oil prices and BIST 100 index(İstanbul Bilgi Üniversitesi, 2020) Çetinkaya, Onur; Özyıldırım, CenktanABSTRACT: The aim of this research is to determine the relationship between Brent oil prices and the stock market of Turkey. The past researchers have identified a significant negative relationship between the two variables while the very few studies have implied a positive association or insignificant linkage between the two. The methodology used for this purpose is quantitative with correlational research design and secondary data collection from authentic sources. The data has been analysed using various statistical tools, including descriptive statistics, Granger causality, VAR and OLS regression. The overall findings suggested that there is a positive but insignificant impact of Brent oil prices on the stock market of the country. In conclusion, the overall findings, limitations and recommendations from the study have been discussed in detail.Öğe A sociological perspective on new terrorism: the case of ISIS(İstanbul Bilgi Üniversitesi, 2020) Çelikbaş, İbrahim Anıl; Cemgil, CanABSTRACT: It can be said that the concept of terrorism is as old as human history. However, particularly after the 9/11 attacks, it is seen that the parameters of terrorism have altered radically. When the organizational schemes of the current terrorist organizations are evaluated, these schemes are organized in the form of flexible, cell-based networks with a very low level of the command chain. Moreover, it is observed that global terrorist organizations have begun to use high-intensity weapons in their actions and that the opportunities for access to weapons of mass destruction are increasing gradually. Furthermore, religious or mystical motivations constitute the basis of the thinking of the terrorist movements of this period. In this context, ISIS will be discussed in terms of new terrorism perspective as the case study within the scope of this thesis in-depth. Its digital and physical power will be analyzed in the case study section. Precisely, ISIS specializes in the use of the internet and social media very much. Social media offers a unique opportunity for ISIS to propagate, radicalize, recruit members and receive funds without the need for traditional media. In particular, ISIS and radical right organizations are expanding their online capacity and use of social media sophisticatedly. In this sense, this thesis is aimed to examine what is called "New Terrorism" in terms of ISIS, it is also considered as an important threat to the international system. The tools of political science are not sufficient to carry out this analysis, so the sociological approaches are needed to be used in this thesis. Conceptual and methodological tools of social movement theory such as political opportunity structures, framing process, resource mobilization, organizational mobility strategies, and identity-building processes can contribute to the holistic approach required for political violence analysis. This approach is necessary to understand better the political violence that occurs at different times and places.Öğe Bankruptcy analysis for 17 companies in Turkish stock market for the years 2018 and 2019(İstanbul Bilgi Üniversitesi, 2019) Tezcan, Duygu; Beyazıt, Mehmet FuatIn this study, it is aimed to explain the concept of credit risk in the framework of Basel II and to investigate credit risk of the banks and the real sector in Turkey. To do that, celebrated Merton model is employed for the period 2017-2018 and 17 companies listed in BIST are considered. The findings shed lights on the deteoriorated financial outlook of the Turkish companies. In particular, Turkish banks has very high default probability compared to other big companies listed in BIST. It is thought that this finding provides preliminary warning for the emergent precautionary measures needed to be taken by the policy makers.
