Browsing by Author "Aktas, H"

Now showing 1 - 6 of 6
  • No Thumbnail Available
    Item
    Asset pricing in a multifactor setting
    Cayirli, O; Kayalidere, K; Aktas, H
    We mathematically show that, no matter how many factors are added to the capital asset pricing model (CAPM), beta will always matter. We also show that adding more factors to a single-factor CAPM requires market risk premiums to be modeled as time varying. In addition to allowing time-varying market risk premiums, our methodology can be extended to allow for time-varying systematic risk. Our approach offers a fairly simple way to estimate expected excess returns in a multifactor setting without the use of sorting methodologies. Our critique of multifactor models is mainly due to the fact that if at least one asset in the market portfolio is sensitive to a priced factor, then the market portfolio should also be sensitive to this factor. Copyright (c) 2022 Borsa Istanbul Anonim S, irketi. Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).
  • No Thumbnail Available
    Item
    A closer look into the behavior of emerging market sovereign spreads: State-dependent and asymmetric behaviors
    Cayirli, O; Aktas, H; Kayalidere, K
    We analyze state-dependent and asymmetric behavior of emerging market (EM) sovereign bond spreads in response to changes in global risk appetite and liquidity. We use dynamic Markovswitching, fixed-effect panel threshold, and time-varying causality analyses along with our research setting. Empirical results provide evidence for both state-dependent and asymmetric behavior of EM sovereign spreads. We also find that these behaviors became even more pronounced after the global financial crisis (GFC). EM external debt markets display more sensitivity to good news in the post-GFC era. Global liquidity's impact on EM sovereign spreads displays a more complicated dynamic than the global risk appetite.
  • No Thumbnail Available
    Item
    Testing the Market Efficiency in Crypto Currency Markets Using Long-Memory and Heteroscedasticity Tests
    Güleç, TC; Aktas, H
    The purpose of this study is to shed light on the critical points of the future of the crypto currency market by evaluating the price movements and market efficiency. In this context, efficiency structure of the market has been tested for long-memory and heteroscedasticity characteristics. The relationship between market depth and volatility structure has been tested for 8 crypto currencies using asymmetrical GARCH models. Results of the analysis indicate presence of long-memory characteristics. Additionally, that as market volume increases so does the efficiency of the market. Therefore, it is concluded that the market efficiency increases with the market depth for all tested crypto currencies. This study contributes to the literature by pointing out the signals about the future of the crypto currency markets, which is one of the most controversial issues in the current finance literature.
  • No Thumbnail Available
    Item
    Conditional impact of credit growth on macroeconomic and financial aggregates: evidence from Turkey
    Cayirli, O; Kayalidere, K; Aktas, H
    Purpose The purpose of this paper is to investigat the impact of changes in credit stock on real and financial indicators in Turkey with a focus on conditional and time-varying dynamics. Design/methodology/approach In addition to lag-augmented vector autoregression (LA-VAR) based time-varying Granger causality tests, threshold models and a research setting that identifies high/low states of credit growth based on 24-month moving averages are used to explore regime-dependent behavior. For investigating the asymmetric dynamics, the authors use a methodology that identifies good/bad news in credit growth based on 24-month moving averages and standard deviations. Findings Results strongly suggest that the impact of changes in credit stock induces conditional responses. Moreover, we find evidence for asymmetric responses. In the case of Turkey, efforts to spur growth through credit produce a strong negative byproduct, a depreciation in the exchange rate. The authors also find that changes in credit stock have become more relevant for uncertainties in inflation and exchange rate expectations, particularly in the era after mid-2018 in which credit growth volatility has increased noticeably. Originality/value This study provides a comprehensive analysis of time-varying and conditional responses to a change in credit stock in a major emerging economy. Using a moving threshold based only on the available information in the analysis of state-dependency represents a new approach.
  • No Thumbnail Available
    Item
    The prevalence of childhood psychopathology in Turkey: a cross-sectional multicenter nationwide study (EPICPAT-T)
    Ercan, ES; Polanczyk, G; Ardic, UA; Yuce, D; Karacetin, G; Tufan, AE; Tural, U; Aksu, H; Aktepei, E; Arman, AR; Basgülk, S; Bilac, O; CosKunm, M; Celik, GG; Demirkaya, SK; Dursun, BO; Durukan, I; Fidan, T; Fis, NP; Gençoglan, S; Gökçen, C; Görker, I; Görmez, V; Gündogdu, OY; Gurkan, CK; Hergüner, S; Hesapçioglu, ST; Kandemir, H; Kiliç, BG; Kilinçaslan, A; Mutluer, T; Nasiroglu, S; Özcan, ÖÖ; Öztürk, M; Öztop, D; Sapmad, SY; Süren, S; Sahin, N; Tahiroglu, AY; Toros, F; Ünal, F; Vural, P; Yazici, IP; Yazici, KU; Yildirim, V; Yulaf, Y; Yüce, M; Yüksel, T; Akdemir, D; Altun, H; Ayik, B; Bilgic, A; Bozkurt, ÖH; Çakir, ED; Çeri, V; Demir, NÜ; Dinç, G; Irmak, MY; Karaman, D; Kinik, MF; Mazlum, B; Memik, NÇ; Özdemir, DF; Sinir, H; Tasdelen, BI; Taskin, B; Ugur, Ç; Uran, P; Uysal, T; Üneri, Ö; Yilmaz, S; Yilmaz, SS; Açikel, B; Aktas, H; Alaca, R; Aliç, BG; Almaidan, M; Ari, FP; Aslan, C; Atabay, E; Ay, MG; Aydemir, H; Ayranci, G; Babadagi, Z; Bayar, H; Bayhan, PÇ; Bayram, Ö; Bektas, ND; Berberoglu, KK; Bostan, R; Canli, MA; Cansiz, MA; Ceylan, C; Coskun, N; Coskun, S; Çakan, Y; Demir, I; Demir, N; Demirdögen, EY; Dogan, B; Dönmez, YE; Dönder, F; Efe, A; Eray, S; Erbilgin, S; Erden, S; Ersoy, EG; Eseroglu, T; Firat, SK; Gök, EE; Güler, G; Güles, Z; Günes, S; Günes, A; Günay, G; Özgür, BG; Güven, G; Goksoy, SC; Horozcu, H; Irmak, A; Isik, U; Kahraman, Ö; Kalayci, BM; Karaaslan, U; Karadag, M; Kilic, HT; Kiliçaslan, F; Kinay, D; Kocael, O; Koç, EB; Mutlu, RK; Lushi-San, Z; Nalbant, K; Okumus, N; Özbek, F; Özdemir, FA; Özdemir, H; Özkan, S; Özyurt, EY; Polat, B; Polat, H; Sekmen, E; Sertçelik, M; Sevgen, FH; Sevince, O; Süleyman, F; Shamkhalova, Ü; Simsek, NE; Tanir, Y; Tekden, M; Temtek, S; Topal, M; Topal, Z; Türk, T; Uçar, HN; Uçar, F; Uygun, D; Uzun, N; Vatansever, Z; Yazgili, NG; Yildiz, DM; Yildiz, N
    Aim: The aim of this study was to determine the prevalence of childhood psychopathologies in Turkey. Method: A nation-wide, randomly selected, representative population of 5830 children (6-13 years-old) enrolled as a 2nd,3rd or 4th grade student in 30 cities were evaluated for presence of a psychiatric or mental disorder by a Sociodemographic Form, Kiddie Schedule for Affective Disorders and Schizophrenia for School Age Children-Present and Lifetime Version (K-SADS-PL), and DSM-IV-Based Screening Scale for Disruptive Behavior Disorders in Children and Adolescents scales. Impairment criterion was assessed via a 3 point-Likert scale by the parent and the teacher independently. Results: Overall prevalence of any psychopathology was 37.6% without impairment criterion, and 17.1% with impairment criterion. Attention-deficit hyperactivity disorder was the most frequent diagnosis, followed by anxiety (19.5% and 16.7% without impairment, 12.4% and 5.3% with impairment, respectively). Lower education level and presence of a physical or psychiatric problem of the parents were independent predictors of any psychopathology of the offspring. Conclusion: This is the largest and most comprehensive epidemiological study to determine the prevalence of psychopathologies in children and adolescents in Turkey. Our results partly higher than, and partly comparable to previous national and international studies. It also contributes to the literature by determining the independent predictors of psychopathologies in this age group.
  • No Thumbnail Available
    Item
    Prevalence of Childhood Affective disorders in Turkey: An epidemiological study
    Karacetin, G; Arman, AR; Fis, NP; Demirci, E; Ozmen, S; Hesapcioglu, ST; Oztop, D; Tufan, AE; Tural, U; Aktepe, E; Aksu, H; Ardic, UA; Basgul, S; Bilac, O; Coskun, M; Celik, GG; Demirkaya, SK; Dursun, OB; Durukan, I; Fidan, T; Gencoglan, S; Gokcen, C; Gokten, ES; Gorker, I; Gormez, V; Gundogdu, OY; Gurkan, CK; Herguner, S; Kandemir, H; Kilic, BG; Kilincaslan, A; Mutluer, T; Nasiroglu, S; Ozcan, OO; Ozturk, M; Sapmaz, SY; Suren, S; Sahin, N; Tahiroglu, AY; Toros, F; Unal, F; Vural, P; Yazici, IP; Yazici, KU; Yildirim, V; Yulaf, Y; Yuce, M; Yuksel, T; Akdemir, D; Altun, H; Ayik, B; Bilgic, A; Bozkurt, OH; Cakir, ED; Ceri, V; Demir, NU; Dinc, G; Irmak, MY; Karaman, D; Kinik, MF; Mazlum, B; Memik, NC; Ozdemir, DF; Sinir, H; Tasdelen, BI; Taskin, B; Ugur, C; Uran, P; Uysal, T; Uneri, OS; Yilmaz, S; Yilmaz, SS; Acikel, B; Aktas, H; Alaca, R; Alic, BG; Almbaidheen, M; Ari, FP; Aslan, C; Atabay, E; Ay, MG; Aydemir, H; Ayranci, G; Babadagi, Z; Bayar, H; Bayhan, PC; Bayram, O; Bektas, ND; Berberoglu, KK; Bostan, R; Cakan, Y; Canli, MA; Cansiz, MA; Ceylan, C; Coskun, N; Coskun, S; Demir, I; Demir, N; Demirdogen, EY; Dogan, B; Donmez, YE; Donder, F; Efe, A; Eray, S; Erbilgin, S; Erden, S; Ersoy, EG; Eseroglu, T; Firat, SK; Gok, EE; Goksoy, SC; Guler, G; Gules, Z; Gunay, G; Gunes, S; Gunes, A; Guven, G; Horozcu, H; Irmak, A; Isik, U; Kahraman, O; Kalayci, BM; Karaaslan, U; Karadag, M; Kilic, HT; Kilicaslan, F; Kinay, D; Koc, EB; Kocael, O; Mutlu, RK; San, Z; Nalbant, K; Okumus, N; Ozbek, F; Ozdemir, FA; Ozdemir, H; Ozgur, BG; Ozkan, S; Ozyurt, EY; Polat, B; Polat, H; Sekmen, E; Sertcelik, M; Sevgen, FH; Sevince, O; Shamkhalova, U; Suleyman, F; Simsek, NE; Tanir, Y; Tekden, M; Temtek, S; Topal, M; Topal, Z; Turk, T; Ucar, HN; Ucar, F; Uygun, D; Uzun, N; Vatansever, Z; Yazgili, NG; Yildiz, DM; Yildiz, N; Ercan, ES
    Aim: To determine the prevalence of affective disorders in Turkey among a representative sample of Turkish population. Methods: This study was conducted as a part of the The Epidemiology of Childhood Psychopathology in Turkey (EPICPAT-T) Study, which was designed by the Turkish Association of Child and Adolescent Mental Health. The inclusion criterion was being a student between the second and fourth grades in the schools assigned as study centers. The assessment tools used were the K-SADS-PL, and a sociodemographic form that was designed by the authors. Impairment was assessed via a 3 point-Likert type scale independently rated by a parent and a teacher. Results: A total of 5842 participants were included in the analyses. The prevalence of affective disorders was 2.5 % without considering impairment and 1.6 % when impairment was taken into account. In our sample, the diagnosis of bipolar disorder was lacking, thus depressive disorders constituted all the cases. Among depressive disorders with impairment, major depressive disorder (MDD) (prevalence of 1.06%) was the most common, followed by dysthymia (prevalence of 0.2%), adjustment disorder with depressive features (prevalence of 0.17%), and depressive disorder-NOS (prevalence of 0.14%). There were no statistically significant gender differences for depression. Maternal psychopathology and paternal physical illness were predictors of affective disorders with pervasive impairment. Conclusion: MDD was the most common depressive disorder among Turkish children in this nationwide epidemiological study. This highlights the severe nature of depression and the importance of early interventions. Populations with maternal psychopathology and paternal physical illness may be the most appropriate targets for interventions to prevent and treat depression in children and adolescents.