Browsing by Author "Sensoy, Ahmet"

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Dynamic integration and network structure of the EMU sovereign bond markets
(SPRINGER, VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS, 2019) Sensoy, Ahmet; Duc Khuong Nguyen; Rostom, Ahmed; Hacihasanoglu, Erk; 0000-0001-7967-5171; AGÜ, Yönetim Bilimleri Fakültesi, Ekonomi Bölümü
In this paper, we propose a novel concept of correlation-based stable networks to empirically investigate the dynamic integration and network structure of the European Monetary Union (EMU) sovereign bond markets. The obtained results uncover a high degree of market integration between sample markets over the period preceding the recent financial crises, while segmentation is found afterwards. The stable network analysis shows, for its part, the existence of two different network structures before and after the onset of the European debt crisis, where the in-crisis network structure is characterized by two groups of countries with respect to their fiscal performance. In particular, Belgium is the unique vertex connecting the two groups, making it the channel for shock transmission in the event of worsening debt crisis in the EMU.
Not all emerging markets are the same: A classification approach with correlation based networks
(ELSEVIER SCIENCE INCSTE 800, 230 PARK AVE, NEW YORK, NY 10169, 2017) Sensoy, Ahmet; Ozturk, Keyser; Hacihasanoglu, Erk; Tabak, Benjamin M.; AGÜ, Yönetim Bilimleri Fakültesi, İşletme Bölümü; Hacihasanoglu, Erk
Using dynamic conditional correlations and network theory, this study brings a novel interdisciplinary framework to define the integration and segmentation of emerging countries. The individual EMBI+ spreads of 13 emerging countries from January 2003 to December 2013 are used to compare their interaction structure before (phase 1) and after (phase 2) the global financial crisis. Accordingly, the unweighted average of dynamic conditional correlations between cross country bond returns significantly increases in phase 2. At first glance, the increased co-movement degree suggests an integration of the sample countries after the crisis. However, using correlation based stable networks, we show that this is not enough to make such a strong conclusion. In particular, we reveal that the increased average correlation is more likely to be caused by clusters of countries that exhibit high within-cluster co-movement but not between-cluster co-movement. Potential reasons for the post-crisis segmentation and important implications for international investors and policymakers are discussed. (C) 2016 Elsevier B.V. All rights reserved.