Browsing by Author "Erer, D"

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    The aggregate and sectoral time-varying market efficiency during crisis periods in Turkey: a comparative analysis with COVID-19 outbreak and the global financial crisis
    Erer, D; Erer, E; Güngör, S
    This study aims to examine the time-varying efficiency of the Turkish stock market's major stock index and eight sectoral indices, including the industrial, financial, service, information technology, basic metals, tourism, real estate investment, and chemical petrol plastic, during the COVID-19 outbreak and the global financial crisis (GFC) within the framework of the adaptive market hypothesis. This study employs multifractal detrended fluctuation analysis to illustrate these sectors' multifractality and short- and long-term dependence. The results show that all sectoral returns have greater persistence during the COVID-19 outbreak than during the GFC. Second, the real estate and information technology industries had the lowest levels of efficiency during the GFC and the COVID-19 outbreak. Lastly, the fat-tailed distribution has a greater effect on multifractality in these industries. Our results validate the conclusions of the adaptive market hypothesis, according to which arbitrage opportunities vary over time, and contribute to policy formulation for future outbreak-induced economic crises.
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    The domino effect of silicon valley Bank's bankruptcy and the role of FED's monetary policy
    Erer, E; Erer, D
    This paper examines the spillover effects of bankruptcy by important tech industry banks-Silicon Valley Bank (SVB), Silvergate Bank, and Signature Bank-on the top 10 institutions in the MSCI Bank Index and the role that monetary policy by the US Federal Reserve (the Fed) played in this contagion, using Dynamic Conditional Correlation-Exponentional Generalized Autoregressive (DCC-EGARCH) and time -varying Granger -causality models. Our findings show that the dynamic conditional correlations among the banks were higher during the period of the SVB crisis, implying the presence of financial contagion from the bank's bankruptcy due to uncertainty triggered by its collapse. Financial contagion emerges between SVB and the top 10 banks, and the degree of contagion rises during the crisis period. Moreover, the Fed's monetary policy plays a significant role in contagion due to bank failures. The deepening of financial contagion followed the Fed's increases in the federal funds rate to combat inflation.