Manuscript2 – Sayfa 46 – BUSINESS AND ECONOMICS RESEARCH JOURNAL

Kategori: Manuscript2

Türkiye’de Hisse Senedi ile Döviz, Mevduat, Altın, Konut Piyasaları Arasındaki Eşbütünleşme İlişkilerinin Analizi

Posted on Perşembe Mart 31st, 2016Cuma Nisan 1st, 2016 by

Makale Bilgileri

Dergi:	Business and Economics Research Journal
Makalenin Başlığı:	Türkiye’de Hisse Senedi ile Döviz, Mevduat, Altın, Konut Piyasaları Arasındaki Eşbütünleşme İlişkilerinin Analizi
Yazar(lar):	Yener Çoşkun, A. Öznur Ümit
Cilt:	7
Sayı:	1
Yıl:	2016
Sayfa:	47-69
ISSN:	1309-2448
DOI Numarası:	10.20409/berj.2016116804

Öz

Bu çalışmada, BİST 100 hisse senedi endeksi getirisi ile döviz kuru, altın fiyatı, mevduat faiz oranı ve reel konut fiyat endeksi arasındaki uzun dönemli ilişki, 2000:01-2014:07 dönemine ait aylık veriler kullanılarak, eşbütünleşme yöntemleri ile araştırılmıştır. Bu amaçla öncelikle serilerin durağanlığı Çoğaltılmış Dickey Fuller ve Phillips-Perron birim kök testleri ve sırasıyla tek/çift yapısal kırılmaya izin veren Zivot-Andrews/Lee-Strazicich birim kök testleri ile incelenmiştir. Seriler arasındaki uzun dönemli ilişki, yapısal kırılmaları dikkate almayan Johansen (1990) eşbütünleşme testi ve yapısal kırılmaları dikkate alan Maki (2012) çoklu yapısal kırılmalı eşbütünleşme testi ile incelenmiştir. Johansen testi sonucunda seriler arasında bir tane eşbütünleşme ilişkisi olduğu belirlenirken, Maki testi sonucunda seriler arasında uzun dönemli ilişki olmadığı gözlenmiştir. Bu son bulgu, finansal olan (döviz/mevduat) ve finansal olmayan (altın/konut) sektörlerin hisse senedi piyasasının tamamlayıcısı/rekabetçisi olmayabileceğine ve kendine özgü dinamiklerinin/yatırımcı profilinin bulunabileceğine, ayrıca Türkiye’de hisse senedi piyasalarının geliştirilmesine yönelik politikaların ve borsanın büyümeye katkısının önemli yapısal kısıtlarının olabileceğine işaret etmektedir.

Anahtar Kelimeler:

Borsa İstanbul, Döviz, Konut, Eşbütünleşme, Yapısal Kırılma

JEL Sınıflandırması:

G12, F31, E44

Tam Metin

Strategies Based on Momentum and Term Structure in Financialized Commodity Markets

Posted on Perşembe Mart 31st, 2016Cuma Nisan 1st, 2016 by

Makale Bilgileri

Dergi:	Business and Economics Research Journal
Makalenin Başlığı:	Strategies Based on Momentum and Term Structure in Financialized Commodity Markets
Yazar(lar):	Adam Zaremba
Cilt:	7
Sayı:	1
Yıl:	2016
Sayfa:	31-46
ISSN:	1309-2448
DOI Numarası:	10.20409/berj.2016116803

Öz

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.

Anahtar Kelimeler:

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

JEL Sınıflandırması:

G11, G13, Q02

Tam Metin

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

Posted on Perşembe Mart 31st, 2016Cuma Nisan 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

Tam Metin

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

Posted on Perşembe Mart 31st, 2016Cuma Nisan 1st, 2016 by

Makale Bilgileri

Dergi:	Business and Economics Research Journal
Makalenin Başlığı:	A Study of Nonlinear Dynamics in Equity Market Index: Evidence from Turkey
Yazar(lar):	Riza Emekter, Benjamas Jirasakuldech
Cilt:	7
Sayı:	1
Yıl:	2016
Sayfa:	1-19
ISSN:	1309-2448
DOI Numarası:	10.20409/berj.2016116801

Öz

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.

Anahtar Kelimeler:

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

JEL Sınıflandırması:

G12, G14, G17

Tam Metin

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

Posted on Pazar Aralık 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

Tam Metin

Posted on Pazar Aralık 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

Tam Metin

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

Posted on Pazar Aralık 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

Tam Metin

Evaluation by Integrated AHP and TOPSIS Method of Logistics Performance in Turkey’s Regions

Posted on Pazar Aralık 20th, 2015 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	Evaluation by Integrated AHP and TOPSIS Method of Logistics Performance in Turkey’s Regions
Author(s):	Ramazan Eyüp Gergin, Birdoğan Baki
Volume:	6
Number:	4
Year:	2015
Page:	115-135
ISSN:	1309-2448

Abstract

The evaluation by the logistics performance of the countries/regions/cities and making necessary improvements has great importance according to the evaluation. The aim of this study is to rank regions in Turkey by logistics performances. For this purpose, the weighting of the criteria have been determined using the Analytic Hierarchy Process. Then, the logistics performances of the regions in Turkey are evaluated through TOPSIS method. The order of the regions is listed Marmara, Aegean, Mediterranean, Black sea, Central Anatolia, South-eastern Anatolia and lastly Eastern Anatolia Regions, respectively.

Keywords:

Logistics performance, regions of Turkey, AHP, TOPSIS, multi criteria decision making

JEL Classification:

C61, L91, R40

Tam Metin

The Effect of Money Supply on the Inflation the Period between 1980-2013 in Turkey Economy

Posted on Pazar Aralık 20th, 2015 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	The Effect of Money Supply on the Inflation the Period between 1980-2013 in Turkey Economy
Author(s):	İsmail Şahin, Muhammet Karanfil
Volume:	6
Number:	4
Year:	2015
Page:	97-113
ISSN:	1309-2448

Abstract

To provide the economic stability, in the fight against the inflation problem, various monetary and fiscal policies have been applied in different periods in Turkey. In spite of these policies, inflation has not been taken to the expected level in the certain period. However, in recent years the decline in the inflation has demonstrated that the policies which were implemented were effective. At the end of these policies, the object is achieved partly which, was targeted in the inflation. The main purpose of the study is to search the effect of money supply on inflation. Besides, the relationship between the effectiveness of the implemented policies and the other macro-economic variables which are related to the inflation phenomenon has been evaluated. In this context, for the period between 1980 and 2013 in Turkey, the money supply, reel exchange rates and budget deficit and their impact on the inflation has been discussed. In this paper, the effect of some macro-economic variables such as the money supply, reel exchange rate and budget deficit on inflation has been analyzed by using the time series analysis. In the model, the inflation rate is dependent variable, while the money supply, reel exchange rate and budget deficit are independent variables. At the same time, the relationship between variables has been researched by using the Johansen’s co-integration and Granger’s causality methodology. In conclusion, there has been a long-term relationship between the variables in the model. On the other hand, there has been no direct causality between the money supply and inflation variables.

Keywords:

Inflation rate, money supply (m2), monetary policy, co-integration, causality

JEL Classification:

C13 C32, E31

Tam Metin

The Economic Determinants of Foreign Direct Investment: A Time Series Analysis on the Turkish Economy

Posted on Pazar Aralık 20th, 2015Pazartesi Aralık 28th, 2015 by

Article Information

Journal:	Business and Economics Research Journal
Title of Article:	The Economic Determinants of Foreign Direct Investment: A Time Series Analysis on the Turkish Economy
Author(s):	Fatih Çiftci, Rıfat Yıldız
Volume:	6
Number:	4
Year:	2015
Page:	71-95
ISSN:	1309-2448

Abstract

The aim of this study is to empirically analyze the factors that might affect foreign direct investment flows into the Turkish economy using the data for the period of 1974-2012 within the framework of relevant theoretical approaches and interpret the results with regard to the Turkish economy. At the beginning of the empirical analysis, time-series properties of the variables in question are analyzed, and all of the variables except for trade deficit are detected to be difference-stationary while trade deficit variable is found stationary at its level. Empirical findings obtained by the ARDL bounds testing approach reveal that there is a long-term level relationship between the variables. The findings of the error correction model support the existence of the long-term relationship. The long-term findings indicate that the variables gross domestic product, real exchange rate and financial development positively affect foreign direct investment while the effects of trade deficit and external debt are negative. The impact of the variable trade openness is, on the other hand, found insignificant while it is also positive. Furthermore, the Toda-Yamamoto causality test results assert the existence of a long-run causality running from gross domestic product representing the market size to foreign direct investment. Empirical findings indicate that one of the most important factors affecting foreign direct investment is the market size, and in this regard the market size hypothesis is supported.

Keywords:

Foreign direct investment, market size hypothesis, financial development, bounds testing, causality

JEL Classification:

F21, F40, C32

Tam Metin