We examine whether real or spurious long memory characteristics of volatility are present in stock market data. We empirically distinguish between true and spurious long memory characteristics by analysing different types and measurements of volatility, utilising different sampling frequencies...

The paper tests the validty of life cycle theory of dividends in the Turkey by using the dataset of 146 ISE listed manufacturing firms for the period 2006-2011 and employing the logit and probit models. As a result we find the evidence supporting the life cycle theory of dividends in Turkey. In...

We examine whether contagion tests are affected by controls for volatility clustering and the collection of synchronized data sets. Without controlling for volatility clustering synchronization does not apparently matter. Once volatility clustering is accounted for synchronized data dramatically...

Bu çalışmanın amacı sermaye yapısı teorilerinin geçerliliğinin İMKB-imalat sektörü için test etmektir. Bu amaç doğrultusunda 1998–2006 dönemine ilişkin veriler 3 farklı model kullanılarak panel regresyon yöntemi ile analiz edilmiştir. Sonuç olarak, sermaye yapısı ile...

The purpose of this study is to determine the calendar effects on both short and long run performance of IPOs (Initial Public Offerings) in Turkey for the period between 1990 and 2005. The study indicates that many calendar anomalies are robust to IPO returns in Turkey: the day of the week...

We examine whether contagion tests are affected by controls for volatility clustering and the collection of synchronized data sets. Without controlling for volatility clustering synchronization does not apparently matter. Once volatility clustering is accounted for synchronized data dramatically...

This paper considers the impact of the 2008 short selling bans on the cross-market dynamics of stock indices across a wide range of countries. We measure the transmission of shocks between markets using a modified version of the spillover index of Diebold and Yilmaz (2009). The results show that...

We investigate volatility spillovers between two stock markets: Turkey and Brazil. Using a misspecification-robust causality-in-variance test, we find evidence supporting volatility spillovers from the São Paulo Stock Exchange to the Istanbul Stock Exchange. Moreover, the results imply that...

This study investigates volatility spillovers between two stock markets, Turkish and Brazilian, located in different regions of the world. Using a misspecification robust causality-in-variance test, we found strong evidence supporting volatility spillovers from Istanbul Stock Exchange (ISE) to...