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Öğe Doğrudan Yabancı Yatırımların CO2 Emisyonuna Etkisi: Kirlilik Hale Hipotezi mi Kirlilik Cenneti Hipotezi mi?(2015) Zeren, FeyyazKüreselleşen ekonomik yapı ile birlikte doğrudan yabancı yatırımlar ve karbon emisyonu arasındaki ilişki önemli bir araştırma konusu olmuştur. 1970-2010 arasındaki dönemin incelendiği bu çalışmada doğrudan yabancı yatırımlardaki artışın karbon emisyonu üzerindeki etkisinin yönü araştırılmıştır. Bu bağlamda ilk olarak doğrusal ve doğrusal olmayan nedensellik testleri vasıtasıyla doğrudan yabancı yatırımların karbon emisyonunun nedeni olduğu tespit edilmiştir. İkinci aşamada bu iki değişken arasında uzun dönemli entegrasyonun varlığı iki yapısal kırılmalı eşbütünleşme testi ile belirlenmiştir. Son aşamada ise bu ilişkinin yönü FMOLS ve CCR eşbütünleşme tahmincileri ile saptanmıştır. Sonuç olarak, A.B.D, Fransa ve İngiltere için doğrudan yabancı yatırımlardaki artış ile karbon salınımdaki azalmanın paralel olduğunu öne süren Kirlilik Hale hipotezinin geçerli olduğu; Kanada içinse artan bu yatırımların çevre ve hava kirliliğini arttırdığı yönündeki Kirlilik Cenneti hipotezinin geçerli olduğu bulgusuna ulaşılmıştırÖğe Empirical Analysis of the Relationship between Global Gold Prices, the U.S. Supplemental Nutrition Assistance Program Expenditures and Baltic Dry Index(Istanbul Univ, 2015) Saraç, Mehmet; Zeren, Feyyaz; Başar, RemziThis article empirically analyzes the relationship between the global gold price changes and the U.S. Supplemental Nutrition Assistance Program (SNAP) Expenditures, along with Baltic Dry Index (BDI). Based on the data between 1988 and 2012, the ARDL Bounds cointegration analysis indicates that the global gold prices are significantly and positively related with SNAP expenditures both in short and long term, while it is positively yet much less significantly related with BDI only in the short term. Toda-Yamamoto Test indicates one-way causality from SNAP to gold prices. In sum, the increase in the poverty level in the U.S. causes the increase in the global gold prices. This study provides a new empirical evidence as to how the economic condition of the U.S. affects the global economy. The positive relationship between BDI and gold prices in the short term may be explained by the case that the plentiful liquidity as a result of economic revival may be heading to gold investment, causing the increase in the price.Öğe Genetik Algoritmalar ile Optimal Portföy Seçimi: BİST-30 Örneği(2015) Zeren, Feyyaz; Bayğın, MehmetFinansal yatırım kararlarındaki en temel problemlerden biri optimal portföyün seçimidir. Bu bağlamda hangi yöntem kullanılarak uygun portföye karar verileceği önem arz etmektedir. Genetik algoritmalar ise çok sayıda çözüm kümesinin olduğu durumlarda optimal portföyü tespit edebilecek bir optimizasyon yöntemidir. Bu çalışmada genetik algoritmalar kullanılarak Borsa İstanbul 30 (BİST-30) endeksine ilişkin optimal portföy tespit edilmeye çalışılmıştır. Ocak-2010 Haziran-2013 dönemine ait aylık verilerin kullanıldığı uygulamanın bulgularına göre Lambda (?) değerinin 0.20 olduğu durumda optimal portföy seçiminin 18 adet hisseden oluşacağı tespit edilmiştir. Risk faktörünün baskınlığı arttıkça ise algoritmanın performansı düşmekte ve optimal portföy seçimi endeksin tamamından oluşmaktadır.Öğe Interaction Between Finance, Tourism and Advertising: Evidence From Turkey(Univ Rijeka, Faculty Tourism & Hospitality Management, Opatija, 2014) Zeren, Feyyaz; Koç, Mustafa; Konuk, FilizThe purpose - It is important to emphasize that a research on relationship between tourism, finance and advertisement is very rare. The aim of this study is investigation of causal relationship between these variables. Design - In this paper, the relationship between tourism revenues and variables like tourism index of Istanbul Stock Market (BIST) & tourism advertising durations which have not been used previously in the literature was investigated for Turkey. Methodology - To attain more useful and accurate findings, bootstrap granger causality test of Hacker Hatemi-J (2010) was used which can determine critical values by bootstrap simulation method in order to reduce the possibility of potential non-normal dispersion of errors. Approach - In purpose of contribution to literature, monthly data in the period spanning from Aug 2004 till Dec 2012 and bootstrap causality method were used, thus new findings were tried to be found Findings - While traditional Toda-Yamamoto (1996) causality test has been determined no causality between these three variables, there was observed one-way causality from tourism index to tourism advertisements by the aid of more advanced Hacker Hatemi-J (2010) causality test. As a result of study, one-way causality from tourism indices, which is an important indicator representing all positive and negative performances of businesses in tourism sector, to advertising durations was detected. The originality of this research - In this study, unlike others, variables like tourism index which represents businesses in tourism sector and tourism advertising durations were used. The relationship between tourism index, tourism advertisings and tourism revenue was examined with Hacker Hatemi-J (2010) bootstrap causality test which obtains critical values by bootstrap monte-carlo simulation. By this new test, more reliable and advanced results have been obtained. As a result, tourism index which can be considered as a fundamental performance scale of tourism sector has a vital effect on tourism advertisement.Öğe Is gold investment an effective hedge against inflation and U.S. Dollar? Evidence from turkey(Academy of Economic Studies, 2014) Saraç, Mehmet; Zeren, FeyyazGold is regarded as “safe haven” for most investors due to its stable movement over the long run. This paper examines whether gold is an effective hedge instrument against the inflation and the currency risk of Turkish Lira against U.S. Dollar using the monthly data from February 1986 to June 2013. We in this study employ new generation Kapetanios (2005) unit root and Maki (2012) cointegration tests allowing unknown number of breaks that are determined endogenously. This method is regarded as superior to previous cointegration tests because it considers all economic crises over the long run and all developments that cause the radical changes in the economy. Our findings show that gold is indeed an effective investment tool to hedge against the risks of inflation and currency risks. We therefore conclude that it is always rational to include gold for a well-diversified portfolio. © 2015, Academy of Economic Studies. All rights reserved.Öğe Is Gold Investment An Effective Hedge Against Inflation and Us Dollar? Evidence From Turkey(Acad Economic Studies, 2014) Saraç, Mehmet; Zeren, FeyyazGold is regarded as safe haven for most investors due to its stable movement over the long run. This paper examines whether gold is an effective hedge instrument against the inflation and the currency risk of Turkish Lira against U.S. Dollar using the monthly data from February 1986 to June 2013. We in this study employ new generation Kapetanios (2005) unit root and Maki (2012) cointegration tests allowing unknown number of breaks that are determined endogenously. This method is regarded as superior to previous cointegration tests because it considers all economic crises over the long run and all developments that cause the radical changes in the economy. Our findings show that gold is indeed an effective investment tool to hedge against the risks of inflation and currency risks. We therefore conclude that it is always rational to include gold for a well-diversified portfolio.Öğe Küresel Altın Fiyatlarıyla ABD Ek Beslenme Yardımı Harcamaları ve Baltık Kuru Yük Endeksi Arasındaki Etkileşim(2015) Saraç, Mehmet; Zeren, Feyyaz; Başar, RemziBu makalede küresel altın fiyatlarının değişimiyle Amerika Birleşik Devletleri'ndeki ekonomik durumun bir göstergesi olarak ABD Ek Beslenme Yardımı Programı (SNAP) harcamalarının ve dünyadaki ekonomik canlılığın bir göstergesi olarak Baltık Kuru Yük Taşımacılığı Endeksi'nin (BDI) ilişkisi analiz edilmiştir. Çalışmada 1988-2012 yılları arasındaki verilere dayanarak kullanılan ARDL Eşbütünleşme Modeli sonuçları, global altın fiyatlarının SNAP harcamalarıyla hem uzun hem de kısa dönemde anlamlı ve aynı yönlü bir ilişkide olduğunu, BDI ile kısa dönemde anlamlı, aynı yönlü ancak nispeten düşük seviyede bir ilişkide olduğunu ortaya koymaktadır. oda--Yamamoto testi ile SNAP harcamalarından altın fiyatlarına doğru tek yönlü nedensellik bulunmuştur. Bu sonuçlara göre ABD'deki yoksulluk düzeyi arttıkça küresel altın fıyatları da artmaktadır. Bu çalışma, Amerika'nın ekonomik durumunun dünyadaki altın fiyatları ve dolayısıyla küresel ekonominin seyri üzerindeki etkisini bir başka açıdan kanıtlamaktadır. BDI ile altın fiyatları arasında kısa vadedeki aynı yönlü ilişki ise ekonominin canlandığı dönemlerde bollaşan likiditenin altına yöneldiği ve bu nedenle fiyatların arttığı şeklinde açıklanabilir.Öğe Testing weather effect anomalies: Time varying evidence from selected stock markets(International Economic Society, 2015) Zeren, Feyyaz; Gümüş, Fatih BurakWeather effect is a financial research field demonstrating that changes in weather conditions have an effect on asset yields. Moreover, Weather effect is one of the leading anomalies in behavioral finance and it has been checked by various tests for different countries and time zones in literature. In this study, whether weather effect anomaly exists in basic stock markets in Turkey, Belgium, France and Greece was analyzed by using time varying bootstrap causality test. Time varying bootstrap causality test is able to identify causality in time zones instead of presenting absolute judgments about series beyond the traditional tests. In the study, daily temperature, humidity and stock market data belonging to these 4 countries between 2001 and 2013 were used. The findings obtained indicate that weather effect anomaly is valid not in the entire data period but in some periods in the stock market. Within this context, it was established that for all country wise stock markets, efficient market hypothesis is valid in some periods whereas weather effect which is one of behavioral finance anomalies also applies in some periods as well. © International Economic Society.Öğe The Nexus between Trading Volume and Stock Prices: Panel Evidence from OECD Countries(2016) Zeren, Feyyaz; Konuk, FilizIn 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 marketsÖğe Time varying causality between stock market and exchange rate: evidence from Turkey, Japan and England(Routledge Journals, Taylor & Francis Ltd, 2016) Zeren, Feyyaz; Koç, MustafaIn this study, the relationship between exchange rates and stock market indices in Turkey, Japan and England was analysed by using the time varying causality test. First, by the Kapetanios unit root test that allows determining structural breaks endogenously and more than two breaks, stationary levels and break numbers of series were identified. Second, based on the belief that the result of especially long-term causality can have different consequences in different periods due to economic and political crises, a time-varying causality test with bootstrap developed by R. Scott Hacker and Abdulnasser Hatemi-J was used. As a result of the study using monthly data spanning the period of January 1990 to April 2013, there existed two-way causality for the three countries in periods when local and global crises were occurring.
