Browsing by Author "Yildiz S.B."
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Item The performance ranking of Emerging Markets Islamic indices using risk adjusted performance measures(Economics Bulletin, 2017) Yildiz S.B.; El Khamlichi A.This paper evaluates the performance of Emerging Market (EM) Morgan Stanley Capital International (MSCI) Islamic indices of 20 countries located in 3 different regions; using 16 different risk adjusted performance measures (RAPMs). The conducted tests show that only Sharpe and M2 Ratios give the identical rankings, Pearson Linear Correlation Coefficient analysis was also performed to measure the correlation between the rankings of 16 RAPMs. The final rankings of the indices are obtained using the Borda count method. Our results suggest that, on a regional basis, the performances of Asian countries are found to be better than both Latin American and EMEA (Europe, Middle East and Africa) region countries. When the countries are examined individually, EM Colombia Islamic index comes first in the assessment; EM United Arab Emirates Islamic index comes at the last position.Item Applying artificial intelligence technique to predict knowledge hiding behavior(Elsevier Ltd, 2019) Abubakar A.M.; Behravesh E.; Rezapouraghdam H.; Yildiz S.B.Drawing on psychological ownership and social exchange theories, this study suggests theoretical arguments and empirical evidence for understanding employee reactions to distributive, procedural, and interactional (in)justice — three crucial bases of employees’ feelings of social self-worth. Utilizing field data and artificial intelligence technique, this paper reveals that distributive, procedural, and interactional (in)justice contribute to higher levels of knowledge hiding behavior among employees and that this impact is non-linear (asymmetric). By reuniting the discourses of organizational justice and knowledge management, this study indicates that feelings of psychological ownership of knowledge and the degree of social interaction are mechanisms that work with organizational (in)justice to influence knowledge hiding behavior. The current research may inform contemporary theories of business research and provide normative guidance for managers. © 2019 Elsevier LtdItem Performance analysis of Turkey’s participation and conventional indices using TOPSIS method(Emerald Group Holdings Ltd., 2020) Yildiz S.B.Purpose: The purpose of this paper is to rank the performances of two participation indices developed in Turkey according to Islamic principles and six conventional indices based on their risks and returns for the years 2015, 2016 and 2017. Design/methodology/approach: The performance of the two Islamic and six conventional indices were ranked using the technique for order preference by similarity to ideal solution (TOPSIS), i.e. a multiple-criteria decision-making method, and the weights of the decision criteria were determined using the objective weighting method called entropy. Findings: The results do not show any statistically significant difference in returns between the participation indices and their conventional counterparts. However, all analyses performed using various risk metrics revealed the lowest risks for the Participation indices. Furthermore, in the TOPSIS ranking for all of the years, the Participation indices ranked above BIST 100, which was selected as the benchmark. Social implications: Participation indices provide investors adhering to Islamic faith with opportunities through which they can comfortably invest with limited loss of financial performance for the study period. They also serve as a good alternative for risk-averse investors. Originality/value: The paper is distinguished by the criteria and methodology it uses for index ranking. Furthermore, it is believed to be useful for the limited literature on the Participation Index in Turkey as well as for national and international investors and institutions interested in Islamic indices in particular. © 2020, Emerald Publishing Limited.Item Do Islamic stock indices perform better than their conventional counterparts?(Inderscience Publishers, 2021) El Khamlichi A.; Yildiz S.B.; Sarkar K.; Hoque H.Applying the preference ranking organisation method for enrichment of evaluations (PROMETHEE II), this study attempts to rank Islamic and conventional indices from 20 developed and 18 emerging markets based on the performance of their MSCI conventional and Islamic country indices between 2002 and 2016. The study finds that the Danish Islamic Index at the top of the ranking and the Hungarian Islamic Index at the bottom. Moreover, conventional indices predominantly perform better than their Islamic counterparts in emerging markets and vice versa in developed markets. © 2021 Inderscience Enterprises Ltd.Item A portfolio construction framework using LSTM-based stock markets forecasting(John Wiley and Sons Ltd, 2022) Cipiloglu Yildiz Z.; Yildiz S.B.A novel framework that injects future return predictions into portfolio constructionstrategies is proposed in this study. First, a long–short-term-memory (LSTM) model is trained to learn the monthly closing prices of the stocks. Then these predictions are used in the calculation of portfolio weights. Five different portfolio construction strategies are introduced including modifications to smart-beta strategies. The suggested methods are compared to a number of baseline methods, using the stocks of BIST30 Turkey index. Our strategies yield a very high mean annualized return (25%) which is almost 50% higher than the baseline approaches. The mean Sharpe ratio of our strategies is 0.57, whereas the compared methods’ are 0.29 and −0.32. Comprehensive analysis of the results demonstrates that utilizing predicted returns in portfolio construction enables a significant improvement on the performance of the portfolios. © 2020 John Wiley & Sons Ltd.