8 research outputs found
FOURIER CAUSALITY AND VOLATILITY SPILLOVER PERSPECTIVES TO ANALYZE THE EFFECT OF TERRORISM ON TURKISH AND EUROPEAN STOCK MARKETS
Full text linkTerrorism has become a curse for most of the underdeveloped economies. Even relatively developed regions like Europe and Turkey are struggling to combat it. Besides the economic and political consequences, terrorist activities also have psychological cost that may reflect in stock market. This study investigates the causal effects of systematic shocks on mean returns and volatility of the general and 14 sectoral indices in Europe and Turkey using contemporary causality tests like Fourier Toda-Yamamoto Causality test (Nazlioglu et al., 2016), Fourier Standard Granger Causality test (Enders and Jones, 2015), and Causality in Variance (Hafner and Herwartz, 2006). Tourism related sectors turn out to be fragile whereas financial sector have significant resilience to terrorist attacks. Moreover, the spillover analysis shows that the Turkish stock market turns out to be more fragile to terrorist attacks in Europe than the other way around
Spot piyasalarda geliştirilen teknik kuralların vadeli işlem piyasalarında uygulanabilirliğinin test edilmesi
No full textSon kırk yılda gelişmiş ülkelerde olduğu kadar gelişmekte olan ülkelerde de vadeli işlem piyasalarında üstün bir başarı görülmüştür. Vadeli işlem piyasaları gelişmekte olan ülkeler için yeni olmasına rağmen işlem hacmi yüksek bir hızla artmaktadır. Bu yüksek hızın büyük ölçüde nedeni vadeli işlemlerin piyasa katılımcılarına sağladığı kaldıraç avantajıdır. Vadeli işlemdeki marj sistemi yatırımcıların spot piyasada aldıkları pozisyonun benzerini, spot piyasada ihtiyaç duydukları yatırım miktarının küçük bir yüzdesiyle vadeli işlem piyasalarında alabilmelerine olanak verir. Bu da yatırımcıların vadeli piyasalarda spot piyasaya göre çok daha yüksek bir getiri elde edebilmeleri sağlar. Akademisyenlerin tüm eleştirilerine rağmen teknik analiz yatırım kararlarında piyasa oyuncuları tarafından hala kullanılmaktadır. Literatürde spot piyasalarda teknik işlem kurallarının performansını inceleyen çok sayıda çalışma mevcuttur. Ancak bu çalışmaların sonuçlarına veri süzgeçleme (data snooping) sorunu, spot piyasalarda açığa satışla ilgili kısıtlamalar ve yüksek işlem maliyetleri gibi nedenlerle şüpheyle yaklaşılmaktadır. Bu kısıtların üstesinden gelmeye çalışan bu araştırmada spot piyasa fiyatlarından geliştirilen teknik işlem kuralları CAPM (Sermaye Varlıklar Fiyatlama Modeli) tabanlı bir korunma oranı (hedge ratio) kullanılarak vadeli işlem sözleşmelerine uygulanmıştır. Beş gelişmiş piyasa (ABD, Birleşik Krallık, Avustralya, Almanya, Güney Kore) ve beş gelişmekte olan piyasanın (Çin, Hong Kong, Hindistan, Meksika, Türkiye) her birinden yirmi hissenin günsonu fiyat verileri kullanılmıştır. Yapay sinir ağları ve genetik algoritmalar gibi yapay zekâ teknikleriyle birlikte popüler teknik göstergeler kullanılarak her bir piyasadan seçilen hisseler ve hisse pörföyleri için al-sat sinyalleri üretilmiş ve bu işlem stratejilerinin performansı hesaplanıp karşılaştırılmıştır. Sonuçlar spot ve vadeli işlem piyasalarına eşit miktarlarda yatırım yapılmasına rağmen hem gelişmiş hem de gelişmekte olan piyasalarda vadeli işlem piyasalarına uygulanan stratejilerden elde edilen karın spot piyasalardakinden çok daha yüksek olduğunu göstermektedir. Ayrıca yapay zekâ stratejilerinin genel performansı klasik kurallara göre çok daha iyidir. Kuralların performansı portföylerde bireysel hisselerden çok daha stabildir. Ayrıca işlem kuralları gelişmekte olan piyasalarda gelişmiş olanlara göre daha iyi performans göstermektedir. Bulgular finansal piyasalardaki ileri işlem kurallarının geçerliliğini de desteklemektedir
Assessing the Multifaceted Impact of Artificial Intelligence on Financial Intelligence
Full text linkThis study reviews the extraordinary effect of simulated intelligence on monetary insight, zeroing in on risk appraisal, execution measurements, network safety, and worldwide coordinated effort. It dives into the turn of events and utilization of man-made reasoning (artificial intelligence) methodologies, for example, AI and information science, and NLP to address worldwide monetary difficulties. Beginning with a verifiable setting of monetary emergencies, the review assesses current monetary knowledge techniques as well as administrative contemplations for simulated intelligence in finance. The developing organization in monetary direction is featured by moral ramifications, human-computer-based intelligence joint effort, and contextual analyses. The study goes on to talk about AI-driven risk assessment, explaining how AI makes it easier to identify risks in real time. Through continuous monitoring, cybersecurity measures, and a comprehensive examination of AI's role in reshaping financial management, the study emphasizes. Finally, the study demonstrates AI's potential to create a financial ecosystem that is more adaptable, efficient, and secure, providing valuable insights for academics, professionals in the industry, and policymakers
Impact of Housing Microfinance on Socio-Economic Indicators: A Study of Prime Minister’s Low-Cost Housing Scheme in Pakistan
Full text linkMicrofinance / Low-Cost Housing Scheme has been promoted to fill the national housing demand/supply gap in Pakistan in recent years. Prime Minister’s Low-Cost Housing Scheme (PM-LCHS) was introduced with the aim of providing financial assistance to poor and deserving families enabling raise in their living standards. A total of Rs. 8.54 billion has been disbursed so far through Akhuwat Islamic Microfinance. The study aims to empirically test the impact of PM-LCHS loan utilization on beneficiaries’ welfare in terms of socio-economic indicators. This research also proposes to assess governance and administrative efficiency and design effectiveness of the initiative The total population of 17, 344 beneficiaries is sampled using Proportionate Stratified Sampling; Group 1 (stratum 1) constitutes beneficiaries who are in utilization phase and Group 2 (stratum 2) constitutes beneficiaries who are repaying the loan post 100% loan utilization. The proposed frameworks are tested using data collected from 463 beneficiaries. Key findings show that PM-LCHS utilization improved sense of security, societal standing and psychological conditions of respondents. Moreover, the loan utilization has enhanced multiple components of sanitation conditions and housing infrastructure; yet the repayment amounts causing no negative impact on their financial wellbeing. However, PM-LCHS utilization is not found to have any effect on beneficiaries’ health. Furthermore, Akhuwat has administered PM-LCHS efficiently and beneficiaries are satisfied from its governance. Thus, any other financial institution interested in offering such a HMF initiative must have appropriate human resource and skillset to reach the eligible clientele and address their financial requirements like AIM. Though, respondents are satisfied from the scheme as a whole, the study elucidates concerns about some design elements, namely financing limit, repayment period and number of disbursement instalments. These findings again have policy implications for the institutions seeking to enter the HMF market; incorporate these results to formulate the HMF/LCHS product that better suit the financing needs of low-earning people. The originality of this study is theorizing and empirically testing the effect of Housing Microfinance/ Low-Cost Housing Scheme and analyzing the linkages between PMLCHS loan utilization and beneficiaries’ living standards and welfare in Pakistani context
Quantitative Portfolio Management Through Carbon Budgeting in PSX Perspective
Full text linkPortfolio management requires investment managers to consider investor preferences before taking any investment decisions. Some of the investors might be interested in building a clean, environmentally friendly, and carbon-free portfolio, assuming it as their corporate social responsibility (CSR) or owing to some fear of future loss arising from the ban on environment-hampering companies that might not be following the environmental, social, and governance (ESG) requirements. Historically, we have seen a ban on Chinese products because of the issues of carbon emissions. Similarly, during SMOG, many brick kilns and iron foundries are closed in Pakistan every year. The carbon budgeting on the portfolio can help achieve the CSR and sustainability goals of investors. The study attempts to develop a portfolio based on historical data, which could yield optimum results while remaining carbon conscious. The study aims to find the best-performing portfolio that could be more ESG compliant and may achieve CSR objectives to protect the environment and investors’ interests simultaneously. The findings show that companies segregated based on carbon footprint can create a carbon-free portfolio (approximately 25%) without a material impact on the expected risk and return profile. To be more ESG compliant, an investor can compromise slightly on returns, that is, only compromising 3% of the profit, we can maintain a 50% compliant portfolio in Pakistan’s environment. The study tries to improve the understanding of regulatory requirements but would also help us gain the confidence of investors who are keen to see carbon-free portfolios or in other words want to ensure investments in environmentally friendly industries
Economic Crisis and Managers' Behavior: Planned Behavioral Theory Approach
No full textInternational conference on Business and Economics (ICBE2016) -- JUL 07-09, 2016 -- Jeju Natl Univ, Jeju, SOUTH KOREAThe purpose of this study is to put forward the behavioral trends of the trading firms in the face of economic crisis. A questionnaire study is conducted to 167 firms and their behavioral aspects in crisis period is modeled using planned behavioral theory. The empirical analysis is conducted using Structural Equation Models (SEM). The findings show that the subjective norms and perceptions effect self-confidence and decisions. The results may help in taking necessary measures for operational continuity of the firms in a more rational environment.Korea Distribut Sci Assoc, Shandong Univ Polit Sci & Law, Jeju Natl Univ, Small Enterprise & Market Serv, Minist Educ & Sci Republ Kazakhstan, Inst Econ, E Asia Business Econ Assoc, Int Convergence Management Assoc, Korea Logist Res Assoc, Jeju Natl Univ, Dept Tourism De
Pandemics: Government Interventions and Financial Markets Oscillations
Full text linkThe outbreak of the COVID-19 pandemic was highly contagious and people from almost more than 165 countries were affected by this virus. The pandemic has upended daily routines and business operations in an unprecedented manner, unlike any event in modern history. In response, governments worldwide have implemented policies and measures related to pandemic aimed at instilling stability. Although the pandemic is over, there are news about the new variants of Covid that may go uncontrolled and the world may again enter into the Covid-19 like situation. During Covid-19, governments from all the countries took various measures like the execution of lockdown, emergency, public safety announcements, health measures, and income support packages to support the people. This study investigates the impact of government interventions on fifteen equity and debt markets around the world during time of Covid-19. The methodology of event study is used in this research. A comparative study has been conducted between high-income, upper-middle-income, and lower-middle-income countries, using the stock and bond markets data. The findings show the impact of lockdown announcements and policy rate changes on bond markets of high-income countries is not much significant whereas upper middle & lower-middle-income countries adversely responded to the government announcements. On the other hand, stock markets of all the countries showed a negative reaction to the lockdown announcements, however, the intensity of the negative effect of reduction in policy rate is more severe in the high-income countries as compared to the upper middle & lower-middle-income countries.
İşlenmiş tarım ürünleri ihracatı ve reel dövüz kuru şokları ilişkisi: Türkiye örneği
No full textBu çalışma reel döviz kurunda oluşan şokların Türkiye’de işlenmiş tarım ürünleri ihracatı üzerine etkilerini ortaya koyabilmek için yapılmıştır. Bu konuda yapılmış birçok çalışma olmasına rağmen, bunların hiçbiri sadece işlenmiş tarım ürünlerine odaklanmamıştır. İşlenmiş tarım ürünlerine odaklanmış bu çalışma sadece literature zenginleştirmeyecek, aynı zamanda politikalar oluşturulması için politika yapanlara yardımcı olacaktır. Bu çalışmada VAR modeli ile kullanılmıştır. Bulgular; Etki-Tepki ve Varyans Ayrıştırma testi sonuçlarına göre yorumlanmıştır. Sonuçlar reel döviz kurları ve işlenmiş tarım ürünleri ihracatı arasında anlamlı bir ilişki olduğunu göstermektedir. Bu ilişki işlenmiş ürünlerde ilk üç aylık dönem için pozitif yönde olmaktadır. Ancak etki daha sonraki aylarda azalan eğilimli olarak devam etsede anlamını yitirmektedir. Öte yandan reel döviz kurlarında oluşan şoklar işlenmiş tarım ürünleri ihracatı öngörü hata varyansının ancak yaklaşık %0.2-0.7’ini açıklayabilmektedir. Bulgular politika yapımında yararlı olabilir.This study is performed to present the effects of real exchange rate shocks on exports of processed agricultural products in Turkey. Although there are a lot of studies on this topic, but none of them has focused solely on the processed agri-products. As processed agri-products are getting more popular, with a more focused approach this study will not only enrich the literature, but also help policy-makers in devising policies. Vector Autoregressive (VAR) model is used in this study. the findings are interpreted according to the impulse- response analysis and variance (forecast error) decomposition results. the results indicate that there is a significant relationship between real exchange rates and exports of processed agricultural products. This relationship is positive during the first quarter. However, later on, it becomes negative with a downward slope. on the other hand, the shocks of real exchange rate can explain only %0.2-0.7 of prediction error variance for exports of processed agricultural products. the findings can be useful in policy making
