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Cointegration Analysis Between Stock Exchange and TL/FX Saving Deposits, Gold, Housing Markets in Turkey

Posted on Thursday March 31st, 2016Friday April 1st, 2016 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	Cointegration Analysis Between Stock Exchange and TL/FX Saving Deposits, Gold, Housing Markets in Turkey
Author(s):	Yener Çoşkun, A. Öznur Ümit
Volume:	7
Number:	1
Year:	2016
Page:	47-69
ISSN:	1309-2448
DOI Number:	10.20409/berj.2016116804

Abstract

The paper asks whether the return of Borsa Istanbul100 index has long term relations with U.S. Dollar to Turkish Lira (TL) exchange rate, London Bullion Market Association (LMBA) gold fixing price, interest rate on TL saving deposit, and real house price index over the period of 2000:01-2014:07 in Turkey. We first test stationary of time series through Augmented Dickey Fuller, Phillips-Perron, Zivot-Andrews, and Lee-Strazicich unit root tests. Then, we perform Johansen cointegration test and multiple structural breaks cointegration test of Maki (2012). Johansen cointegration test suggests that there is a long term relationship among the variables, but Maki cointegration estimation do not provide evidence for the existence of cointegration. According to the latter result, we may argue that TL/FX saving deposits, gold, and housing markets in Turkey, having probably different investment dynamics and investor profile, may not integrate or compete with stock market under the impacts of structural breaks. This outcome may also imply that the policies on the development of stock market and contributions of stock market to the growth may have some structural limitations.

Keywords:

Borsa İstanbul, Exchange Rate, Housing, Cointegration, Structural Break

JEL Classification:

G12, F31, E44

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Strategies Based on Momentum and Term Structure in Financialized Commodity Markets

Posted on Thursday March 31st, 2016Friday April 1st, 2016 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	Strategies Based on Momentum and Term Structure in Financialized Commodity Markets
Author(s):	Adam Zaremba
Volume:	7
Number:	1
Year:	2016
Page:	31-46
ISSN:	1309-2448
DOI Number:	10.20409/berj.2016116803

Abstract

The aim of this paper is to investigate the impact of the financialization of commodity markets on the profitability of strategies based on momentum and term structure. The performance of an array of portfolios from double-sorts on non-commercial traders’ participation, historical returns and term spreads are tested against a risk model. The analysis covers the listing of 26 commodities in the period 1986 – 2013. First and foremost, the paper provides a fresh evidence for the validity of strategies based on momentum and term structure investing in commodity markets. Secondly, it proves that term structure strategies generate significantly higher performance results in non-financialized markets. Moreover, it supports the thesis that market financialization adversely affects momentum profits. The results are important in terms of tactical and strategic asset allocation in commodity markets. They imply that investors who implement momentum or term structure based strategies should also consider the composition of market participants.

Keywords:

Commodity Futures, Commodity Markets, Financialization, Momentum, Term Structure, Backwardation, Contango, Double-Sort Strategy

JEL Classification:

G11, G13, Q02

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The Nexus between Trading Volume and Stock Prices: Panel Evidence from OECD Countries

Posted on Thursday March 31st, 2016Friday April 1st, 2016 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	The Nexus between Trading Volume and Stock Prices: Panel Evidence from OECD Countries
Author(s):	Feyyaz Zeren, Filiz Konuk
Volume:	7
Number:	1
Year:	2016
Page:	21-29
ISSN:	1309-2448
DOI Number:	10.20409/berj.2016116802

Abstract

In this study, the nexus between trading volume stock prices has been examined using panel causality test developed by Dumitrescu-Hurlin (2012) in OECD countries. As a result of a study which 12 countries are tested and monthly data of total 100 terms, it has stated that the causality from stock market index to trading volume. While this study shows that the positive or negative changes in the stock prices create trading volume on stock markets, it is clearly seen that trading volume doesn’t affect the stock prices. In this situation, it can be said that positive feedback hypothesis is valid for markets in this analysis. According to these findings efficient market hypothesis is valid for these stock markets.

Keywords:

Stock Price, Trading Volume, Panel causality, Positive Feedback Hypothesis, OECD

JEL Classification:

G12, G15

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A Study of Nonlinear Dynamics in Equity Market Index: Evidence from Turkey

Posted on Thursday March 31st, 2016Friday April 1st, 2016 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	A Study of Nonlinear Dynamics in Equity Market Index: Evidence from Turkey
Author(s):	Riza Emekter, Benjamas Jirasakuldech
Volume:	7
Number:	1
Year:	2016
Page:	1-19
ISSN:	1309-2448
DOI Number:	10.20409/berj.2016116801

Abstract

The dynamics of Istanbul Stock Exchange (ISE) 100 index is explored in this study for the past 25 years. The main motivation of this paper is to find out the source and nature of any dependence in the ISE index. There is dependence in the log returns of the ISE. This dependence is not a linear dependence since no ARIMA models remove the dependence. Moreover, the dependence cannot be explained by nonlinear autoregressive process (GARCH) and important relevant macroeconomics variables. The persistence in the return dependence is not short term (3-months or less) in nature. Nonlinearity in the ISE index is caused by non-Gaussian innovations and it is not likely to be caused by chaos. Duration dependence test suggests that there is no evidence of a rational bubble in the log returns. There is some evidence of a structural break in the Turkish equity market around May 2000. However, the results do not change significantly when the same analyses are applied on the pre-and post- May 2000 periods. These results suggest that ISE 100 index is relatively efficient. Although there is dependence, the predictable component of the index is nonlinear, non-chaotic, and bubble-free. The predictable component is uncorrelated with any macro factors and cannot be explained by conditional autoregressive variance.

Keywords:

Nonlinearity, Chaos, Turkish Equity Market, Market Efficiency, Random Walk

JEL Classification:

G12, G14, G17

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The Effect of Advanced Management Accounting Practices on the Competitive Strategies and Performance

Posted on Sunday December 20th, 2015 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	The Effect of Advanced Management Accounting Practices on the Competitive Strategies and Performance
Author(s):	Rahmi Yücel, Kayhan Ahmetoğulları
Volume:	6
Number:	4
Year:	2015
Page:	179-201
ISSN:	1309-2448

Abstract

This study is based on a sample of 300 managers from the production industry of West Marmara Region. The goal of this study is to examine the interaction among advanced management accounting practices, competitive strategies and company performance. As a result of study, it is found that advanced accounting management practices have a positive effect on the company performance and competitive strategies. In addition, competitive strategies have an effect on the company performance positively. Furthermore, there is a positive and significant relation between long-term strategy based on management accounting practices and non-financial company performance and between activity based on management accounting practices and financial performance.

Keywords:

Advanced management accounting practices, competitive strategies, performance

JEL Classification:

M40, M49

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İleri Yönetim Muhasebesi Uygulamalarının Rekabet Stratejileri ve Performans Üzerindeki Etkisi

Posted on Sunday December 20th, 2015 by

Makale Bilgileri

Dergi:	İşletme ve Ekonomi Araştırmaları Dergisi
Makalenin Başlığı:	İleri Yönetim Muhasebesi Uygulamalarının Rekabet Stratejileri ve Performans Üzerindeki Etkisi
Yazar(lar):	Rahmi Yücel, Kayhan Ahmetoğulları
Cilt:	6
Sayı:	4
Yıl:	2015
Sayfa:	179-201
ISSN:	1309-2448

Öz

Bu çalışma, Batı Marmara Bölgesinde imalat sektöründe yer alan 300 yöneticiden oluşan örneklemi esas almaktadır. Bu çalışmanın amacı, ileri yönetim muhasebesi uygulamaları, rekabet stratejileri ve firma performansı arasındaki etkileşimi incelemektir. Çalışmanın sonuçları olarak, ileri yönetim muhasebesi uygulamalarının firma performansı ve rekabet stratejileri pozitif bir etkiye sahip olduğunu göstermektedir. Ek olarak, rekabet stratejileri firma performansı üzerinde pozitif bir etkiye sahiptir. Ayrıca uzun vadeli stratejiye dayalı yönetim muhasebesi uygulamaları ile finansal olmayan firma performansı ve faaliyete dayalı yönetim muhasebesi uygulamaları ile finansal firma performansı arasında pozitif ve anlamlı bir ilişkiye sahiptir.

Anahtar Kelimeler:

İleri yönetim muhasebesi uygulamaları, rekabet stratejileri, performans

JEL Sınıflandırması:

M40, M49

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Posted on Sunday December 20th, 2015 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	Exploring the Relationship between Ethical Leadership and Job Satisfaction with the Mediating Role of the Level of Loyalty to Supervisor
Author(s):	Tarhan Okan, Ahmet Mutlu Akyüz
Volume:	6
Number:	4
Year:	2015
Page:	155-177
ISSN:	1309-2448

Abstract

The purpose of this study was to examine the impact of ethical leadership behaviour on employees’ both intrinsic and extrinsic job satisfaction and also to find out a possible mediator effect of loyalty to supervisor in this relationship. A total of 223 academic and administrative staff who worked in Gümüşhane University in Turkey constituted the sample of the study. Mediation analysis was used to test the research model. Findings of our analysis have confirmed that ethical leadership is effective on loyalty to supervisor and also loyalty to supervisor increases employees’ job satisfaction. It was understood that from the intrinsic dimension side of job satisfaction, indirect effect had been defined over “Extra Effort for Supervisor, Identification with Supervisor and Internalization of Supervisor’s Values” dimensions of loyalty to supervisor. On the extrinsic dimension side of job satisfaction, “Dedication and Attachment to Supervisor (Ded*Attach), Identification with Supervisor and Internalization Supervisor’s Values” dimensions of loyalty to supervisor variable had mediated the relationship between ethical leadership and job satisfaction. Briefly, as a result of mediator analysis we confirmed that a certain part of the relationship between ethical leadership and job satisfaction came out over loyalty to supervisor.

Keywords:

Ethical leadership, loyalty to supervisor, job satisfaction, intrinsic and extrinsic job satisfaction, mediation model

JEL Classification:

M10, M12, M19

Full Text

Exploring the Relationship between Ethical Leadership and Job Satisfaction with the Mediating Role of the Level of Loyalty to Supervisor

Posted on Sunday December 20th, 2015 by

Makale Bilgileri

Dergi:	İşletme ve Ekonomi Araştırmaları Dergisi
Makalenin Başlığı:	Exploring the Relationship between Ethical Leadership and Job Satisfaction with the Mediating Role of the Level of Loyalty to Supervisor
Yazar(lar):	Tarhan Okan, Ahmet Mutlu Akyüz
Cilt:	6
Sayı:	4
Yıl:	2015
Sayfa:	155-177
ISSN:	1309-2448

Öz

Anahtar Kelimeler:

Ethical leadership, loyalty to supervisor, job satisfaction, intrinsic and extrinsic job satisfaction, mediation model

JEL Sınıflandırması:

M10, M12, M19

Full Text

Competitive Importance Performance Analysis (CIPA): An Illustration from Thermal Tourism Destinations

Posted on Sunday December 20th, 2015 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	Competitive Importance Performance Analysis (CIPA): An Illustration from Thermal Tourism Destinations
Author(s):	Emre Erbaş, Nilüfer Şahin Perçin
Volume:	6
Number:	4
Year:	2015
Page:	137-154
ISSN:	1309-2448

Abstract

This paper introduces a syntheses of traditional Importance-Performance Analysis and Analytical Hierarchy Process under the name of Competitive Importance-Performance Analysis (CIPA), to empower managers to make better decisions in creating competitive advantage. A questionnaire of a Turkish thermal tourism destination is utilized to illustrate the execution of the proposed approach. The results of the current case study illustrate the practicability and supplementary insights of specifying the priorities of attributes through the proposed approach for gaining competitive advantage. The results suggested that, from the expert’s perspective, plentiful natural hot springs, sound local transportation network, availability of sufficient accommodation, hygiene standards for hot springs spa equipment, public interest in health-leisure activities are important factors shaping the competitiveness of thermal tourism destinations. Therefore, thermal tourism destinations in Turkey might focus more on these attributes to gain competitive advantage. Moreover, increase in visitors seeking for health-oriented leisure time is increasing and hence the future of Turkish thermal tourism seems encouraging. Hence, the adapted undertakings will be required by augmenting the core thermal tourism product to reach the competitors.

Keywords:

Competitiveness, thermal tourism, competitive importance-performance analysis

JEL Classification:

L83, L52, D70

Full Text

Competitive Importance Performance Analysis (CIPA): An Illustration from Thermal Tourism Destinations

Posted on Sunday December 20th, 2015 by

Makale Bilgileri

Dergi:	İşletme ve Ekonomi Araştırmaları Dergisi
Makalenin Başlığı:	Competitive Importance Performance Analysis (CIPA): An Illustration from Thermal Tourism Destinations
Yazar(lar):	Emre Erbaş, Nilüfer Şahin Perçin
Cilt:	6
Sayı:	4
Yıl:	2015
Sayfa:	137-154
ISSN:	1309-2448

Öz

Anahtar Kelimeler:

Competitiveness, thermal tourism, competitive importance-performance analysis

JEL Sınıflandırması:

L83, L52, D70

Full Text