Scopus İndeksli Yayınlar Koleksiyonu
Permanent URI for this collectionhttps://hdl.handle.net/20.500.12573/395
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Article Citation - WoS: 6Citation - Scopus: 7Whether and When Did Bitcoin Sentiment Matter for Investors? Before and During the COVID-19 Pandemic(Springer, 2023-12-21) Aysan, Ahmet Faruk; Mugaloglu, Erhan; Polat, Ali Yavuz; Tekin, HasanUsing a wavelet coherence approach, this study investigates the relationship between Bitcoin return and Bitcoin-specific sentiment from January 1, 2016 to June 30, 2021, covering the COVID-19 pandemic period. The results reveal that before the pandemic, sentiment positively drove prices, especially for relatively higher frequencies (2-18 weeks). During the pandemic, the relationship was still positive, but interestingly, the lead-lag relationship disappeared. Employing partial wavelet tools, we factor out the number of COVID-19 cases and deaths and the Equity Market Volatility Infectious Disease Tracker index to observe the direct relationship between a change in sentiment and return. Our results robustly reveal that, before the pandemic, sentiment had a positive effect on return. Although positive coherence still existed during the pandemic, the lead-lag relationship disappeared again. Thus, the causal relationship that states that sentiment leads to return can only be integrated into short-term trading strategies (up to six weeks frequency).Article Citation - WoS: 8Citation - Scopus: 11The Ascent of Geopolitics: Scientometric Analysis and Ramifications of Geopolitical Risk(Taylor & Francis Ltd, 2022-04-18) Aysan, Ahmet Faruk; Polat, Ali Yavuz; Tekin, Hasan; Tunali, Ahmet SemihIn recent years, geopolitical risk (GPR) has been a crucial factor in investment decisions and stock markets. Therefore, we explore the research on the GPR by employing bibliometric and scientometric analytical techniques. We find 366 scientific contributions in December 2021 from the Scopus database by searching 'Geopolitical risk' in abstracts, keywords, and titles. Our findings show that GPR research has gained momentum in the last three years. Specifically, the journal Defence and Peace Economics has one of the highest numbers of research and citation on GPR. Authors in Asia also dominate the GPR literature. Overall, this study contributes to the literature by presenting the existing research that may give new insights for prospective studies in GPR.Article Citation - Scopus: 23Oil Price Shocks During the COVID-19 Pandemic: Evidence From United Kingdom Energy Stocks(Asia-Pacific Applied Economics Association, 2021-05-25) Muğaloğlu, Erhan; Polat, Ali Yavuz; Tekin, Hasan; Dogan, AbdullahWe investigate the dynamic relationship between global oil prices, the stock market, and oil and gas stock (FTSE-OG) returns in the UK through a structural vector autoregressive (VAR) framework during the COVID-19 pandemic. The structural VAR results suggest that the impact of structural shocks related to the global oil price on FTSE-OG index returns becomes less important and loses its explanatory power during the pandemic. However, stock market shocks increase their explanatory power in the variations of FTSE-OG index returns. © 2023 Elsevier B.V., All rights reserved.Article Citation - WoS: 6Citation - Scopus: 14Is Saving Vital? Evidence from the Financial Crisis(Univ Oviedo, 2020-03-11) Tekin, Hasan; Polat, Ali YavuzWe use a sample of 8,561 firm-years from the highly regulated Main Market (MAIN) and relatively unregulated Alternative Investment Market (AIM) in the United Kingdom to analyse the impact of financial restrictions on optimal cash holdings in the context of financial crises. Employing system generalised methods of moments, we find that AIM firms have a faster adjustment speed of cash as confirmed by precautionary and transaction motives over 2002-2017. However, AIM firms decrease (increase) their adjustment speed of cash more than MAIN firms during (after) the financial crises.Article Citation - WoS: 2Citation - Scopus: 3Investor Bias, Risk and Price Volatility(Emerald Group Publishing Ltd, 2022-11-29) Polat, Ali YavuzPurposeThis study proposes a framework based on salience theory and shows that focusing on one type of risk (idiosyncratic or systemic) can explain overpricing of securities ex ante, and resales at low prices during crisis periods.Design/methodology/approachThe author consider an overlapping generations (OLG) model where each generation lives for two periods and there is no population growth. Agents (investors) start their lives with an endowment W > 0 and have mean-variance utility. They invest their endowment when young and consume when old. Each period, the young investors optimally choose their portfolio from different risky assets acquired from the old generation, all assumed to be in fixed supply.FindingsThe author show that investor salience bias can explain excess volatility of asset prices and the resulting fire-sales in periods of financial turmoil. A change in salience - from one component (idiosyncratic) to the other (systemic) - will generate excess volatility. Interestingly, higher risk aversion generally exacerbates the excess volatility of prices. Moreover, the model predicts that if a big systemic shock hits the financial system, due to salience bias the price of systemic assets falls sharply. This relates to the observed fire-sales of assets during the global financial crisis.Practical implicationsThe proposed model and results suggest that there may be a scope for intervention in financial markets during turbulences. In terms of ex ante policies the study suggests that investors and regulator should use better risk assessment technologies.Originality/valueThis is the first study constructing a tractable model based on the argument that investor salience may exacerbate the excess volatility of prices during financial downturns. The author relate salience to two types of risk; idiosyncratic and systemic and assume that investors' risk perception is biased towards the type of risk that is currently salient based on prior beliefs or past data. The author show that the diversification fallacy of the precrisis period, where seemingly safe assets were overpriced, can be explained by agents overweighing idiosyncratic risk and ignoring systemic risk.Article Citation - WoS: 9Citation - Scopus: 25Do Market Differences Matter on Dividend Policy?(Elsevier, 2021-06) Tekin, Hasan; Polat, Ali YavuzWe investigate the dividend policies of firms in the United Kingdom to understand whether firms in different markets use dividends as a signaling or disciplining device. The sample consists of 1247 firms from the highly regulated Main Market (MAIN) and relatively unregulated Alternative Investment Market (AIM) for the period 2002-2017. We find that firms in AIM pay lower dividends than their MAIN counterparts. However, during turbulence, AIM firms decrease dividends lower than MAIN firms. In line with the signaling hypothesis, AIM firms with increased profitability are more likely to increase dividends. These results suggest that AIM firms depend more on the signaling feature of the dividends, whereas MAIN firms use dividends as a disciplining device to limit managerial discretion. Specifically, we find that AIM firms facing bigger agency problems pay lower dividends compared to other AIM firms, in line with the outcome view of agency theory. Copyright (C) 2020, Borsa Istanbul Anonim Sirketi. Production and hosting by Elsevier B.V.Article Citation - WoS: 3Citation - Scopus: 8Bitcoin-Specific Fear Sentiment Matters in the COVID-19 Outbreak(Emerald Group Publishing Ltd, 2021-09-22) Polat, Ali Yavuz; Aysan, Ahmet Faruk; Tekin, Hasan; Tunali, Ahmet SemihPurpose This study aims to investigate the effect of fear sentiment with a novel data set on Bitcoin's (BTC) return, volatility and transaction volume. The authors divide the sample into two subperiods to capture the changing dynamics during the COVID-19 pandemic. Design/methodology/approach The authors retrieve the novel fear sentiment data from Thomson Reuters MarketPsych Indices (TRMI). The authors denote the subperiods as pre- and post-COVID-19 considering January 13, 2020, when the first COVID-19 confirmed case was reported outside China. The authors use bivariate vector autoregressive models given below with lag-length k, to investigate the dynamics between BTC variables and fear sentiment. Findings BTC market measures have dissimilar dynamics before and after the Coronavirus outbreak. The results reveal that due to the excessive uncertainty led by the outbreak, an increase in fear sentiment negatively affects the BTC returns more persistently and significantly. For the post-COVID-19 period, an increase in fear also results in more fluctuations in transaction volume while its initial and cumulative effects are both negative. Due to extreme uncertainty caused by the COVID-19 pandemic, investors may trade more aggressively in the initial phases of the shock. Practical implications The authors are convinced that the results in this paper have more far-reaching implications for other markets regulated by the states. BTC provides a natural benchmark to understand how fear sentiment drives and impacts the markets isolated from any interventions. Hence, the results show that in the absence of regulatory frameworks, market dynamics are likely to be more volatile and the fear sentiment has more persistent impacts. The authors also highlight the importance of using micro, asset-specific sentiment measures to capture market dynamics better. Originality/value BTC is not associated with any regulatory authority and is not produced by the governments and central banks. COVID-19 as a natural experiment provides an opportunity to explore the pure effects of market sentiment on BTC considering its decentralized and unregulated features. The paper has two main contributions. First, the authors use BTC-specific fear sentiment novel data set of TRMI instead of more general market sentiments used in the existing studies. Next, this is the first study to examine the association between fear and BTC before and after COVID-19.Article Citation - Scopus: 9Adjustment Speed of Debt Maturity: Evidence From Financial Crises in East Asia(Bank Indonesia Institute, 2021-04-14) Tekin, Hasan; Polat, Ali YavuzWe investigate the change in adjustment speed of debt maturity for East Asian firms between 1990 and 2017 by including two exogenous shocks: the Asian Financial Crisis 1997-1998 (AFC) and the Global Financial Crisis 2007-2009 (GFC). We employ the least square dummy variable correction and find that East Asian firms have a slower adjustment of long-term debt over time. Besides, the decrease in adjustment speed of long-term debt after the GFC is more compared to the decrease after the AFC. Further analysis shows the optimal debt maturity differs across countries and industries. Another important implication of our results is that firms in high governance countries are more likely to close the gap between the actual and target debt maturity in time. Overall, debt holders and investors should consider financial uncertainties. © 2025 Elsevier B.V., All rights reserved.Article Citation - Scopus: 3Subprime Mortgages and Lending Bubbles(Bank Indonesia Institute, 2018) Polat, Ali YavuzWe consider a model with two types of households: the poor with no initial endowment and the rich with positive endowment, and two types of assets: properties in a poor area and properties in a rich area. In the model, poor agents need credit to buy an asset, whereas the rich can draw from their endowment. We show that credit-fueled housing bubbles sometimes may improve welfare, making the poorer individuals better off. More precisely, there exist two types of equilibria in both property markets: one is a bubble equilibrium, and the other is an equilibrium where asset prices are stable over time. While the poor always obtain a positive surplus in the bubble equilibrium, this is not necessarily true for the rich. Our results suggest that there may be scope for market interventions aimed at sustaining the value of assets held by credit-constrained agents after the burst of a credit bubble. © 2025 Elsevier B.V., All rights reserved.Article Citation - WoS: 6Citation - Scopus: 18Is Leverage a Substitute or Outcome for Governance? Evidence From Financial Crises(Emerald Group Publishing Ltd, 2021) Tekin, Hasan; Polat, Ali YavuzPurpose The authors investigate the impact of governance on the leverage of East Asian firms in the financial crisis context, in order to understand the puzzle whether debt acts as a substitute for governance or an outcome of the governance mechanism. Design/methodology/approach The authors use 86,030 firm-years and the country-level governance data from eight East Asian countries over the period 1996-2017. The authors employ the fixed effects (FE) model, in the main analysis and the weighted least squares model, as a robustness check in order to compare the two competing hypotheses of agency theory, substitute and outcome models. Findings The authors' results show that debt acts as a substitute for governance before the GFC, but during and after the GFC the picture changes. Namely, debt acts as an outcome of the governance mechanism during the GFC and its aftermath. Since during financial downturns both agency costs increase, and information asymmetry widens, firms in poor-governed countries may be reluctant to increase their leverage in order not to face financial distress and additional restrictions. Thus, the results imply that the use of debt as a tool to mitigate agency conflicts and a substitute for governance strongly depends on the environment that the firms operate and the general macroeconomic conditions, such as facing a financial crisis or not. Research limitations/implications This study provides an interesting case of the firms' capacity to raise money during a crisis and that governance plays an important role in borrowing activities of firms. This will undoubtedly help motivating owners and policymakers for improving governance. The authors' findings may be useful for policymakers to develop policies considering the adverse effects caused by exogenous shocks. This is crucial because the severity of GFC as a shock seems to change the macro and institutional environment that firms operate. While the authors properly address the research hypotheses using country governance data, future research may employ corporate governance data to attain firm-level results by testing two competing hypotheses. Originality/value There are several important areas where this study makes original contributions. First, while Tsoy and Heshmati (2019) focus on the dynamics of capital structure for only Korean firms, the authors extend the sample including eight East Asian countries considering the impact of country governance on capital structure policy. Specifically, this study is the first in using the robust country governance data, which differs by country and year, in the crisis context. Next, the authors investigate both the AFC and GFC to compare whether these two crises have different effects on capital structure policy of East Asian firms. Finally, the authors aim to understand whether leverage is used as a substitute for governance or an outcome of governance mechanism considering recessions.