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Expected Maximum Drawdown Approach on Portfolio Selection: An Examination on BIST100 – S&P500

Posted on Wednesday November 8th, 2017Saturday November 11th, 2017 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	Expected Maximum Drawdown Approach on Portfolio Selection: An Examination on BIST100 – S&P500
Author(s):	Umut Uyar, Habib Kucuksahin
Volume:	8
Number:	4
Year:	2017
Page:	727-748
ISSN:	1309-2448
DOI Number:	10.20409/berj.2017.79

Abstract

In the study, the maximum drawdown criterion frequently used by investment specialists and fund managers in the practice of risk factor measurement was carried out. Within the scope of the study, Risky, Non-Risky and Equally Weighted portfolios have been established with the stocks listed on BIST100 and S&P500 indexes. The weight of each stock in the portfolios whose performance was measured for the year 2016 was arranged according to the expected maximum drawdown. With the aim of determining the highest expected drop points, daily returns of associated stocks between January 1, 2010, and December 31, 2015, were utilized. As a result of the study, it was confirmed that for the BIST100 index, the non-risky portfolio provides the highest return as opposed to expectations, while for the S&P500 index, risky portfolios provide the highest return in parallel with the expectation. When we look at 2016 as a year when sharp declines were experienced for the BIST100 index, it is possible to say that the non-risky portfolios yield higher returns correspond with the expectations. Finally, it has been determined that non-risky portfolios created from stocks in related indices performed better than other portfolios according to Sharpe (1966) and Treynor (1965) performance indexes. When examining the performance outputs of portfolios formed by both indexes for 2016, it is possible to say that the predictions of investors who prefer low risk have been realized.

Keywords:

Portfolio Selection, Expected Maximum Drawdown, BIST100, S&P500

JEL Classification:

G10, G11

Full Text ( ↓ 2552)

Modeling of Volatility in the Stock Markets Returns: Classic and Bayesian GARCH Approaches for ISE -100

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Article Information

Journal:	Business and Economics Research Journal
Title of Article:	Modeling of Volatility in the Stock Markets Returns: Classic and Bayesian GARCH Approaches for ISE -100
Author(s):	Muhammet Burak Kilic, Ismail Celik, Murat Kaya
Volume:	8
Number:	4
Year:	2017
Page:	715-726
ISSN:	1309-2448
DOI Number:	10.20409/berj.2017.78

Abstract

The accuracy of estimate in the investment risk is important for the potential investors as well as the expected return from the investment characteristics. One of the most fundamental issues on risk and return is to have the heavy tailed behavior of the residuals that makes it difficult to obtain an appropriate risk prediction model for index returns in financial studies. In this study, Istanbul stock exchange (ISE-100) daily index data between February 2007 and February 2017 is analyzed with the classic and Bayesian GARCH (1,1) models and it is aimed to compare the effects of them on return volatility with Student-t residuals. As a result of this study, no significant differences are found between the classical and Bayesian GARCH (1,1)-Student-t models both effects of shock on volatility and volatility persistence for stock return. This can be interpreted as both models not well differentiated from each other. In conclusion, classical and Bayesian GARCH (1,1)-Student-t estimation methods provide reliable results both in modeling volatility of returns and in estimating investment risk for investors and market regulators.

Keywords:

ISE-100, Stock Returns; Volatility, Student-t Distribution, Bayesian Approaches

JEL Classification:

C46, C58 G11, G12

Full Text ( ↓ 2361)

Investigating Cash Flow Sensitivity of Investments in Firms Quoted on Borsa Istanbul

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Article Information

Journal:	Business and Economics Research Journal
Title of Article:	Investigating Cash Flow Sensitivity of Investments in Firms Quoted on Borsa Istanbul
Author(s):	Serdar Benligiray, Nurhan Aydin
Volume:	8
Number:	4
Year:	2017
Page:	699-714
ISSN:	1309-2448
DOI Number:	10.20409/berj.2017.77

Abstract

Costly external financing forces firms to rely more on cash flows generated by their resources and leads to underinvestment. A useful approach to determine the wedge between the cost of internal and external financing is to observe cash flow sensitivity of investments. Firms with a significant investment–cash flow sensitivity are deemed to be financially constrained. Following this approach, this study examines the investment-cash flow sensitivities of non-financial firms that are quoted on Borsa İstanbul for the period of 2002-2014. The results from panel data analysis suggest that smaller and younger firms exhibit investment–cash flow sensitivity while evidence for both industrial categorization and the classification by an index for financial constraints –KZ Index– are inconclusive. Low-dividend firms have the most significant investment–cash flow sensitivity. Without any classification, firms show moderate investment–cash flow sensitivity for the period of 2002–2014. In the crisis period, investments are the most sensitive to cash flows. On the other hand, investment–cash flow sensitivity is not significant for macro-economic growth periods. These findings are in line with the argument that investment–cash flow sensitivity is related to financial constraints.

Keywords:

Investments, Cash Flow, Financial Constraint, Pecking Order, Financial Crisis

JEL Classification:

G14, G31, G01

Full Text ( ↓ 2318)

Determinants of Profitability: Evidence from Real Sector Firms Listed in Borsa Istanbul

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Article Information

Journal:	Business and Economics Research Journal
Title of Article:	Determinants of Profitability: Evidence from Real Sector Firms Listed in Borsa Istanbul
Author(s):	Ozcan Isik
Volume:	8
Number:	4
Year:	2017
Page:	689-698
ISSN:	1309-2448
DOI Number:	10.20409/berj.2017.76

Abstract

The purpose of this study is to examine empirically the influence of firm-specific factors on the profitability for 153 listed real sector firms in Turkey for a period of eight years from 2005 to 2012. In our study, it is also analyzed if there are differences in firm profitability according to firm size and firm age. Estimation results obtained from the panel data models seem to imply that, on the whole, profitability measured by return on assets (ROA) of publicly traded real sector firms in Borsa Istanbul Stock Exchange is mostly driven by firm size, liquidity level, asset tangibility, debt structure measured by the ratio of total liabilities to total assets, stock return volatility, firm age, and financial crisis. On the other hand, the results of the conducted panel analysis reveal that growth opportunities measured by the ratio of capital expenditure to sales have no statistically significant impact on the profitability of real sector firms.

Keywords:

Profitability, Real Sector Firms, Panel Data Analysis, Borsa Istanbul, Turkey

JEL Classification:

D22, G32, L25

Full Text ( ↓ 2825)

Investigating The Economic Performance of Central Asian Turkic Republics in Terms of Dutch Disease

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Article Information

Journal:	Business and Economics Research Journal
Title of Article:	Investigating The Economic Performance of Central Asian Turkic Republics in Terms of Dutch Disease
Author(s):	Sevgi Sezer
Volume:	8
Number:	4
Year:	2017
Page:	673-688
ISSN:	1309-2448
DOI Number:	10.20409/berj.2017.75

Abstract

The Dutch Disease, which means that beneficial developments for an economy begins to give harmful results over time, can be seen especially in the countries having rich natural resources. Will the Central Asian Turkic Republics, which have achieved high income thanks to their resources such as oil and natural gas, come to such a problem in the future? If there is such a risk, what would be the solutions and the measures to be taken? In this paper, the answers of these questions are sought. In this study, a panel data analysis applied for 1998-2015 periods. Determining cross-sectional dependence, stationarity of the series was examined by PANKPSS test with multiple structural breaks and it is found that the series are stationary at level. In regression analysis, a clear result could not be obtained about the existence of Dutch Disease. Causality relations among the series were investigated by Dumitrescu and Hurlin (2012) method and results implying the existence of Dutch Disease in these countries were obtained. In the study, risks of economic models based on natural resources export and required precautions are explained with good application examples around the world. It is expected that the attention of policymakers of related countries will be drawn on this issue in order them to impose required precautions to have a sustainable and high economic growth.

Keywords:

Central Asian Turkic Republics, Natural Resources Export, Dutch Disease

JEL Classification:

N55, O13, Q01

Full Text ( ↓ 2465)

Impact of Kyoto Protocol on Carbon Emissions: An Application of Panel Unit Root Tests with Structural Breaks

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Article Information

Journal:	Business and Economics Research Journal
Title of Article:	Impact of Kyoto Protocol on Carbon Emissions: An Application of Panel Unit Root Tests with Structural Breaks
Author(s):	Mehmet Mert, Abdullah Emre Caglar
Volume:	8
Number:	4
Year:	2017
Page:	661-672
ISSN:	1309-2448
DOI Number:	10.20409/berj.2017.74

Abstract

Carbon emissions have contiunued to increase globally, in despite of joint efforts to implement international agreements such as Kyoto protocol since 1997. The main subject of the current study is to investigate significant or insignificant structural breaks on carbon emission series of the Kyoto countries. The data periyod of the study is between 1960 and 2013 for 26 Kyoto countries. First of all, the first generation panel unit root tests have been performed and carbon emissions have been found as nonstationary. Then, cross-sectional dependency have been tested and Kyoto panel has been stated as cross-sectional dependent. So, panel unit root tests with structural breaks under cross-sectional dependency has been performed. Unlike the results of the first generation panel unit root tests, stationary process has been revealed. Beside this, in 19 of 26 Kyoto countries, the structural breaks between 1997-2005 have been observed as Kyoto protocol affects. As a result of the study, significant structural breaks in Kyoto panel have been stated and the impact of the Kyoto protocol on carbon emission series for the Kyoto countries is significant.

Keywords:

Kyoto Protocol, Carbon Emissions, Panel Unit Root, Structural Breaks, Cross-Sectioanal Dependence

JEL Classification:

C40, C50, Q54

Full Text ( ↓ 2558)

Foreign Direct Investments and CO2 Emissions Relationship: The Case of Turkey

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Article Information

Journal:	Business and Economics Research Journal
Title of Article:	Foreign Direct Investments and CO2 Emissions Relationship: The Case of Turkey
Author(s):	Zerrin Kilicarslan, Yasemin Dumrul
Volume:	8
Number:	4
Year:	2017
Page:	647-660
ISSN:	1309-2448
DOI Number:	10.20409/berj.2017.73

Abstract

In this study, it is aimed to analyze the environmental impact of foreign direct investment. The theoretical and applied literature on the relationship between foreign direct investment and carbon dioxide (CO2) emissions is presented. The study examines the relationship between foreign direct investment and pollution by using Johansen Cointegration test and vector error correction model in Turkey, for 1974-2013 period. The main conclusion of the study is that foreign direct investment positively affects carbon dioxide emissions in the long run. The results indicate the validity of Pollution Haven hypothesis in Turkey.

Keywords:

Foreign Direct Investment, Carbon Dioxide Emissions, Pollution Haven Hypothesis, Pollution Halo Hypothesis

JEL Classification:

Q56, F18, F21

Full Text ( ↓ 4810)

Ambidexterity Based Explorative and Exploitative Capability: The Examining Relationship Between Transformational Leadership, Ambidexterity and Firm Innovativeness

Posted on Saturday November 4th, 2017Wednesday February 7th, 2018 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	Ambidexterity Based Explorative and Exploitative Capability: The Examining Relationship Between Transformational Leadership, Ambidexterity and Firm Innovativeness
Author(s):	Hülya Gündüz Çekmecelioğlu, Ayşe Günsel, Özgün Öztürk İlhan
Volume:	9
Number:	1
Year:	2018
Page:	137-150
ISSN:	1309-2448
DOI Number:	10.20409/berj.2017.72

Abstract

Today’s market conditions encourage organizations to gain new resources and skills in order to deliver new products and services that meet rapidly changing customer needs while at the same time compel them to use their resources and skills effectively. The organizations that successfully fulfill these two requirements are defined as “ambidextrous”. In this study, the relationship between transformational leadership – a leadership mechanism that actually supports organizational employees to use both existing resources and capabilities in a better way and pursuing innovations – and ambidexterity is empirically examined. In addition to the effect of ambidexterity on firm innovativeness and the mediating role of ambidexterity on the relationship between transformational leadeship and firm innovativeness is also examined in this study. In order to test the proposed hypotheses, the data of 304 questionnaires from 61 firms operating in the Eastern Marmara Region are analyzed using the Particial Least Squares (SmartPLS 3.0) approach based on the structural equation modeling. According to this, individualized consideration has a positive effect on explorative capability while the idealized influence has a positive effect on exploitative capability, finally intellectual stimulation has a positive effect on both explorative and exploitative capability. On the other hand, ambidexterity on the base of explorative and exploitative capabilities also has a positive effect on firm innovativeness. Finally the findings show that explorative capability full mediaties the relationship between individualized consideration and firm innovativeness while organizational ambidexterity fully mediates the relationship between intellectual stimulation and firm innovativeness. The findings are discussed and interpreted at discussion part of the study.

Keywords:

Explorative Capability, Exploitative Capability, Ambidexterity, Transformational Leadership, Firm Innovativeness

JEL Classification:

J53, O30

Full Text ( ↓ 2477)

According to Global Reporting Initiative (GRI) Standards Analysis and Evaluation of Sustainability Reports of Selected Hotels

Posted on Saturday November 4th, 2017Saturday November 11th, 2017 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	According to Global Reporting Initiative (GRI) Standards Analysis and Evaluation of Sustainability Reports of Selected Hotels
Author(s):	Vedat EKERGİL, Merve ÖZGÜR GÖDE
Volume:	8
Number:	4
Year:	2017
Page:	859-871
ISSN:	1309-2448
DOI Number:	10.20409/berj.2017.71

Abstract

Recent years, it seems that businesses have shared the knowledge that businesses fulfill their economic, social and environmental responsibilities, and that some countries are legally obliged to present these reports. Businesses may prefer to prepare and share sustainability reports to monitor the sustainability levels of their economic, social and environmental performance. Compared to other service businesses, the environmental and social responsibilities of hotel business are more prevalent in their commercial activities. Since hotels are intimately involved in both the physical and social environment, it is important to present sustainability reports to information users. It is important for those who examine the sustainability reports to find out whether they have received sufficient information about sustainability and whether the sustainability reports published by the site contain the necessary elements. The main reason of sharing those reports for the enterprises which prepare sustainability report is based on the basic assumptions of accounting such as the continuity, social responsibility, materiality and so on. The aim of the study is to examine the sustainability reports prepared by the hotels in Turkey according to the global sustainability report standards and to reveal similar and different aspects between these standards and reports. For this purpose, it is also examined which elements are necessary for the sustainability reporting which is becoming increasingly important internationally for the Turkish hotels. In the study, data are collected through a document review based on the qualitative research approach and the content analysis is used in the analysis of it. As a result, it has been determined that the Turkish hotels do not prepare their sustainability reports according to international standards.

Keywords:

Sustainability, Sustainability Report, Corporate Sustainability, Hotel Business, Global Sustainability Reports-GRI

JEL Classification:

M40, M41, L83, Q56

Full Text ( ↓ 2627)

A Comparison of TOPSIS and ELECTRE Methods: An Application on the Factoring Industry

Posted on Saturday August 5th, 2017Thursday August 10th, 2017 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	A Comparison of TOPSIS and ELECTRE Methods: An Application on the Factoring Industry
Author(s):	Deger Alper, Canan Basdar
Volume:	8
Number:	3
Year:	2017
Page:	627-646
ISSN:	1309-2448
DOI Number:	10.20409/berj.2017.70

Abstract

One of the most important factors in national economic development is the vigorous operation of financial markets. The vigorous function of financial markets depends on the operations of financial institutions such as stock exchange, banks, leasing and factoring companies in these markets. In recent years, the status and significance of factoring companies as non-bank financial institutions have been increased, especially in providing financing for the SMEs. In the present study, the financial performance of factoring companies in Istanbul Stock Exchange was assessed and multi-criteria decision making techniques ELECTRE and TOPSIS, were implemented. More objective and accurate assessments could be achieved with multi-criteria decision making techniques, ELECTRE and TOPSIS, which are used when multiple evaluation factors are present. For this purpose, six factoring companies were selected and the financial statement ratios for each company were used as evaluation criteria. The calculated financial ratios and financial ratio weights were included in analyses conducted with both methods and Yapı Kredi Factoring was determined as the factoring company with the best performance as a result of conducted ELECTRE and TOPSIS analyses.

Keywords:

Financial Performance, ELECTRE, TOPSIS, Factoring Industry, Financial Ratios

JEL Classification:

G29, L25,M21

Full Text ( ↓ 4747)