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Sensoy A.,Borsa Istanbul | Sensoy A.,Bilkent University
Physica A: Statistical Mechanics and its Applications | Year: 2013

We study the time-varying efficiency of 15 Middle East and North African (MENA) stock markets by generalized Hurst exponent analysis of daily data with a rolling window technique. The study covers a time period of six years from January 2007 to December 2012. The results reveal that all MENA stock markets exhibit different degrees of long-range dependence varying over time and that the Arab Spring has had a negative effect on market efficiency in the region. The least inefficient market is found to be Turkey, followed by Israel, while the most inefficient markets are Iran, Tunisia, and UAE. Turkey and Israel show characteristics of developed financial markets. Reasons and implications are discussed. © 2013 Elsevier B.V. All rights reserved. Source


Sensoy A.,Borsa Istanbul
Physica A: Statistical Mechanics and its Applications | Year: 2015

During recent years, networks have proven to be an efficient way to characterize and investigate a wide range of complex financial systems. In this study, we first obtain the dynamic conditional correlations between filtered exchange rates (against US dollar) of several countries and introduce a time-varying threshold correlation level to define dynamic strong correlations between these exchange rates. Then, using evolving networks obtained from strong correlations, we propose an alternative approach to track the hot money in turbulent times. The approach is demonstrated for the time period including the financial turmoil of 2008. Other applications are also discussed. © 2014 Elsevier B.V. All rights reserved. Source


Sensoy A.,Borsa Istanbul | Sensoy A.,Bilkent University
Resources Policy | Year: 2013

We use a relatively new approach to endogenously detect the volatility shifts in the returns of four major precious metals (gold, silver, platinum and palladium) from 1999 to 2013. We reveal that the turbulent year of 2008 has no significant effect on volatility levels of gold and silver however causes an upward shift in the volatility levels of palladium and platinum. Using the consistent dynamic conditional correlations, we show that precious metals get strongly correlated with each other in the last decade which reduces the diversification benefits across them and indicates a convergence to a single asset class. We endogenously detect the shifts in these dynamic correlation levels and reveal uni-directional volatility shift contagions among precious metals. The results show that gold has a uni-directional volatility shift contagion effect on all other precious metals and silver has a similar effect on platinum and palladium. However, the latter two do not matter in terms of volatility shift contagion. Thus, investors that hedge with precious metals should, in particular, monitor the volatility levels of gold and silver. © 2013 Elsevier Ltd. Source


Sensoy A.,Borsa Istanbul | Tabak B.M.,Catholic University of Brasilia
Physica A: Statistical Mechanics and its Applications | Year: 2014

This article proposes a new procedure to evaluate Asia Pacific stock market interconnections using a dynamic setting. Dynamic spanning trees (DST) are constructed using an ARMA-FIEGARCH-cDCC process. The main results show that: 1. the DST significantly shrinks over time; 2. Hong Kong is found to be the key financial market; 3. the DST has a significantly increased stability in the last few years; 4. the removal of the key player has two effects: there is no clear key market any longer and the stability of the DST significantly decreases. These results are important for the design of policies that help develop stock markets and for academics and practitioners. © 2014 Elsevier B.V. All rights reserved. Source


Sensoy A.,Borsa Istanbul | Tabak B.M.,Brazilian National Council for Scientific and Technological Development | Tabak B.M.,Catholic University of Brasilia
Physica A: Statistical Mechanics and its Applications | Year: 2015

This paper proposes a new efficiency index to model time-varying inefficiency in stock markets. We focus on European stock markets and show that they have different degrees of time-varying efficiency. We observe that the 2008 global financial crisis has an adverse effect on almost all EU stock markets. However, the Eurozone sovereign debt crisis has a significant adverse effect only on the markets in France, Spain and Greece. For the late members, joining EU does not have a uniform effect on stock market efficiency. Our results have important implications for policy makers, investors, risk managers and academics. © 2015 Elsevier B.V. All rights reserved. Source

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