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Öğe Asymmetric dynamics in sovereign credit default swaps pricing: evidence from emerging countries(Emerald Group Publishing Ltd, 2023) Simonyan, Serdar; Bayraktar, SemaPurpose This paper examines the relationship between sovereign credit default swaps (CDS) and several macroeconomic factors in an asymmetric setting and distinguishes between short-run and long-run impacts. Country-specific factors (e.g. equity index, international reserves, interest rate and industrial production) and global factors (e.g. US stock volatility [VIX], geopolitical risk and oil price) are the main explanatory variables. Design/methodology/approach This analysis uses a nonlinear autoregressive distributed lag approach that enables us to study both long-run and short-run dynamics. Findings This study results show that two country-specific factors (equity index and international reserves) and two global factors (VIX and oil price) are the most important factors and affect CDS asymmetrically. Research limitations/implications The asymmetric relationships between sovereign CDS and variables in bull and bear markets can also be studied. Consideration of asymmetries in the variance could also be a fruitful step taken for further research. Practical implications The findings imply that investors and portfolio managers should design their investment and hedging decisions related to government bonds by taking into account the existence of an asymmetric relationship. Social implications Moreover, policymakers can benefit from this asymmetric information in the timing of debt issuance. Originality/value This paper examines the relationship between sovereign CDS and several macroeconomic factors in an asymmetric setting and distinguishes between short-run and long-run impacts.Öğe Comovements of Stock Markets between Turkey and Global Countries(Charles Univ-Prague, 2017) Bayraktar, Sema; Chiang, Thomas C.This paper presents empirical evidence on the dynamic structure of the correlations of the Turkish stock market with other national markets. Both conditional and unconditional correlations are analyzed. Linkages at the aggregate level are found to be time-varying, showing some transitional changes. In the analysis of the dynamics behind the transitional changes, the evidence indicates that the TED spread appears to be the most dominant factor contributing to the stock market comovements between Turkey and other global markets.Öğe New regulations: challenge or opportunity for Turkish SMEs?(Emerald Group Publishing Ltd, 2015) Bayraktar, SemaPurpose - This study aims to analyze how recent regulation changes, namely, Basel II and the New Turkish Commercial Code, affect small and medium-sized enterprises (SMEs) and the relationship between SMEs and banks in Turkey through the eyes of SME managers. The author believes that the answers could differ for various types of SME. Design/methodology/approach - In-depth interviews enabled a refined analysis of the effects of regulations in the eyes of firms' representatives. The study was conducted for SMEs in the Anatolia Organized Industrial Zone. Findings - One of the important conclusions of the paper is the fact that the loan approval process has been standardized and centralized. The results also show that regulations have different effects on larger and already stable firms than on smaller and/or start-up SMEs that do not have sufficient resources for the transformation required by regulations. Originality/value - First, this study is a qualitative study that has the advantage of reaching richer and more plausible information that cannot be obtained by analyzing the numbers. Second, this study tries to analyze the perceptions of SMEs' financial representatives rather than the perspectives of bank representatives. Finally, to the author's knowledge, there has been no other study that analyzed a developing country on this topic.Öğe Performance analysis of banks in Turkey using camels approach case study: six Turkish banks during 2005 to 2016(İşletme Araştırmaları Dergisi, 2018) Bayraktar, SemaABSTRACT: This study analyzes the performance and financial credibility of six Turkish banks for the period of 2005-2016. The sample comprises two state-owned deposit banks, three private-owned deposit banks, and one foreign bank. As one of the most popular methods for measuring banking performance, CAMELS method is used to analyze the performance of the banks. CAMELS stands for Capital Adequacy, Asset Quality, Management Efficiency, Earning Quality, Liquidity, Sensitivity respectively. When the average rates of 2014, 2015 and 2016 ratios –for each one of these mentioned categories- separately examined, none of the banks is found to be superior to the others. As for the composite rate for CAMELS though, Ziraat Bank has the highest rate (29.32%) and Halkbank stands at the last row (21.94%). Overall, the values of the CAMELS ratios for 2016 seem to be quite close to each other. However, when the yearly analysis is conducted, some significant differences in the categories of CAMELS ratio are observed. In addition, ANOVA test results state that the means of CAMELS ratios are significantly different over the years. Finally, comparison of CAMELS ratings with institutional ratings shows that the latter does lag the financial indicators of the companies and even can be not reflective of the current financial condition of the company. On the other hand, the trends of the institutional ratings and of financial indicators are consistent over a long period of time.Öğe The impact of exchange rate risk on international asset pricing under various market structures(Springer, 2009) Bayraktar, SemaThis article derives international equity pricing relations by taking into account inflationary exchange risk under various forms of market segmentation/integration. In a mean-variance framework, a two-country, two-period, two-goods model is analyzed under three different market structures: segmented, mildly segmented and integrated. It is found that as long as investors are consuming imported goods, in the presence of market frictions, inflationary exchange risk is an important determinant of real equity prices. This is the case because inflationary exchange rate affects the real purchasing power of investors.Öğe Türkiye Konut Sektörü Performans Analizi(2019) Bayraktar, SemaBu çalışma Konut Fiyat Endekslerini kullanarak konut sektörünün performansını diğer finansal piyasalarla karşılaştırmayı amaçlamıştır. Bu amaçla öncelikle Türkiye'de konut piyasası diğer finansal piyasalarla risk/getiri yönünden karşılaştırılmış ve korelasyon ilişkisi açısından incelenmiştir. Ayrıca Sermaye Varlıkları Fiyatlandırma Modelinin çeşitli versiyonları kullanılarak Türk Konut sektörünün piyasa portföyüne göre performansı ölçülmeye çalışılmıştır. Bir diğer analiz ise konut sektörü endekslerinin enflasyon karşısındaki koruyuculuğu üzerine yapılmıştır. Sonuçlar analiz edilen 2010-17 dönemi için konut piyasasının diğer finansal piyasalara göre getiri ve risk göstergelerine göre avantajlı bir yatırım aracı olduğunu göstermektedir. Diğer yandan konut piyasasının enflasyon ile pozitif bir ilişkisi olmadığı ve bu nedenle teorik beklentinin aksine yatırımcıyı enflasyon riskine karşı koruyamadığı saptanmıştır.Öğe Türkiye konut sektörü performans analizi(Finans Politik ve Ekonomik Yorumlar Dergisi, 2019) Bayraktar, SemaÖZET: Bu çalúma Konut Fiyat Endekslerini kullanarak konut sektörünün performansn di÷er finansal piyasalarla karúlaútrmay amaçlamútr. Bu amaçla öncelikle Türkiye’de konut piyasas di÷er finansal piyasalarla risk/getiri yönünden karúlaútrlmú ve korelasyon iliúkisi açsndan incelenmiútir. Ayrca Sermaye Varlklar Fiyatlandrma Modelinin çeúitli versiyonlar kullanlarak Türk Konut sektörünün piyasa portföyüne göre performans ölçülmeye çalúlmútr. Bir di÷er analiz ise konut sektörü endekslerinin enflasyon karúsndaki koruyuculu÷u üzerine yaplmútr. Sonuçlar analiz edilen 2010-17 dönemi için konut piyasasnn di÷er finansal piyasalara göre getiri ve risk göstergelerine göre avantajl bir yatrm arac oldu÷unu göstermektedir. Di÷er yandan konut piyasasnn enflasyon ile pozitif bir iliúkisi olmad÷ ve bu nedenle teorik beklentinin aksine yatrmcy enflasyon riskine karú koruyamad÷ saptanmútr.
