4 research outputs found
Yield Spreads on Government Benchmark Bonds: Cross Country Evidence
No full textAbstractThe aim of this paper is to learn the 10-year Government Benchmark Bond's behavior and effects on the other country's benchmark bond. For this purpose, we examined Abnormal Return and Cumulative Abnormal Return of Australia, Canada, Euro Zone, UK, Japan and the U.S.’s 10-year Government Benchmark Bond monthly rate from the period of January 2000 to April 2015. This study analyzed 184 nominal repurchase rates in a monthly base for each country's benchmark bond as a time series. In calculating Abnormal Return, US's Government Benchmark Bond's Rate and Euro Zone's Government Benchmark Bond's Rate have been determined as comparison parameters to the other countries. According to cumulative abnormal returns, we have detected which country has dramatically dropped against both the U.S.’s and Euro zone's benchmark bond yield. With this evidence, we have taken into account any co-integrating relationships among the countries’ benchmark bonds. We analyzed (Johansen & Juselius, 1990) Co-integration Test to determine any long term relationship between them. In addition to the Co-integration test, we need to determine any short term effect for each series. In this study, we tested Vector Error Correction Model (VECM) to calculate the coefficient to hold balance between co-integration. We also tested (Granger, 1988) to determine which benchmark bond has causality behavior to the other government benchmark bond
Cointegration and causality between the GCC stock indices and gold indices
Get PDFThis research paper presents the empirical evidence on the relationship between the price of gold and stock price indices for the Gulf Cooperation Council (GCC) stock markets over the period beginning January 2010 and ending in December 2016 using Johansen Cointegration and VAR Based Granger Causality tests. The study is based on secondary data from GCC individual stock market. The international gold prices and six daily stock price indices; Bahrain Stock Exchange (BSE), Kuwait Stock Exchange (KSE), Qatar Stock Exchange (QSE), Saudi Stock Exchange (SSE), Muscat Securities Market (MSM), Dubai Stock Exchange (DSE) and Abu Dhabi Stock Exchange (ADSE) are used. Over the period examined, gold prices and stock price indices are co-integrated and there are multiple Granger Causality between the different GCC stock markets
A Comparison of the Performances of Type A Mutual Funds Before And After 2008 Global Economic Crisis in Turkey
Get PDFLooking from a historical perspective, financial activities contain many crises in itself. This situation seems to be a feature inherent in the existing economic system and as long as this system continues, it becomes inevitable being faced with the crisis. Especially in recent years, with the increasing globalization, the risk of being faced with a crisis has also increased. In the financial markets, savers who wish to evaluate the accumulation by investing in different investment tools may encounter some difficulties in the face of a variety of financial products and in times of crisis. Mutual funds consist of investment tools which have increasing importance in the capital market and give professional management services to savers in accordance with certain principles. Especially in recent years, mutual funds market is rapidly evolving in Turkey, as well as in the international market. Due to these developments, consideration of growing number of investors and growing portfolios of mutual funds emerges as a necessity. The purpose of this study is to compare the performances of type A mutual funds in Turkey for the period before and after the 2008 crisis. The pre-crisis period have been determined as 2005-2007 and the post-crisis period as 2009-2011. Within the scope of application, there are 74 mutual funds of type A, which continuously operated between January 2005 - December 2007 and January 2009 - December 2011, not joined with another fund, not taken over by another fund, not being in liquidation and having complete data. These mutual funds were analyzed by using performance measurement methods
Determinants of Bank Profitability in Turkey : An Empirical Analysis on Types of Banking from 2002 to 2012
Get PDFIn this study, we investigate the determinants of banking profitability related to their financial statements. A profitable banking sector is better able effect to stability of the financial system. The profitability of a financial institution is affected by a lot of factors. These factors include elements internal to each financial institution and several important external forces shaping earnings performance. In this study we analyses effects from financial statements to their profitability of each types of banks. With this current emphasis on financial statements are very important to both managing future and making new decision to guide. In Turkey, during from 2002 to 2012 period, bank’s profitability approaches has been changed to new phenomenon. Because of regulative decisions and competitive market has to change profitability of banking sectors. It is therefore important to understand the determinants of banking sector profitability in Turkey between all types of banks. This is essentially important in the light of the above notable changes that have occurred in the operating environment of banks in Turkey. An overview of previous studies indicates various ways that profitability was examined. Some studies were country specific and few of them considered panel of countries reviewing the determinants of profitability. In this study we examines types of banks as follows: 3 banks in state-owned banks, 12 banks in Private banks, 6 banks in foreign banks which has a branches in Turkey. In total 21 banks and 3 types analyses with cross-sectional panel data method during the from 2002 to 2012 period
