Hakan Berument
Biographic Data
| ID | 5935235 |
|---|---|
| NAME | Hakan Berument |
| GIVEN NAMES | Hakan |
| FAMILY NAME | Berument |
| SIGNATURE | BERUMENT H |
| AFFILIATIONS | Bilkent University |
| ORCID | 0000-0003-2276-4741 |
| VERIFIED | Yes |
| TOTAL WORKS | 15 |
| TOTAL CITATIONS | 8 |
| WORKS AS AUTHOR | 15 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1999 |
| LATEST PUBLICATION YEAR | 2022 |
| H-INDEX | 1 |
Syrian refugees to Europe
The conflict and violence in the Syrian Arab Republic have led to an increase in Syrians seeking asylum in European countries. In this study, asylum applications of Syrian refugees to European countries are examined, taking into account the geographical neighborhood effects, with annual data for the time period from 2009 to 2018. This paper also aims to compare asylum applications of Syrian to non-Syrian refugees. The estimation results suggest t…
Exchange rate regime, world oil prices and the Mexican economy
Asymmetric effects of central bank funding on commercial banking sector behaviour
In this paper, we assess the effects of Central Bank Funding (C.B.F.) on commercial bank lending behaviour by using weekly Turkish data from 7 January 2011 to 5 June 2015. To be specific, using the Nonlinear Autoregressive Distributed Lag Error Correction Model, we assess the effects of C.B.F. provided daily by the Central Bank of the Republic of Turkey through Open Market Operations to financial markets. Our empirical evidence reveals that for a…
Three-factor asset pricing model and portfolio holdings of foreign investors
This article contributes to the asset pricing literature by offering an alternative \nmissing factor: the excess holdings of foreign investors. To incorporate this factor, \nwe mimic the portfolio of foreign investors in Borsa Istanbul (BIST) with respect to \nportfolio preferences (foreign ownership) using the Fama and French’s three-factor \nmodel. Our findings suggest that market factor, size, and book-to-market (B/M) \nvariables are still sta…
Soccer and Stock Market Risk
There is an emerging but important literature on the effects of sport events such as soccer on stock market returns.After a soccer team's win, agents discount future events more favorably and increase risk tolerance.Similarly, after a loss, risk tolerance decreases.This paper directly assesses risk tolerance after a sports event by using daily data from the three major soccer teams in Turkey (Beşiktaş, Fenerbahçe and Galatasaray).Results provide …
Soccer and Stock Market Risk
There is an emerging but important literature on the effects of sport events such as soccer on stock market returns. After a soccer team's win, agents discount future events more favorably and increase risk tolerance. Similarly, after a loss, risk tolerance decreases. This paper directly assesses risk tolerance after a sports event by using daily data from the three major soccer teams in Turkey (Beşiktaşç Fenerbahge and Galatasaray). Results prov…
Effects of soccer on stock markets
This paper assesses the effects of domestic soccer teams’ performances against foreign rivals on stock market returns as well as on the return–volatility relationship. Data from Chile, Spain, Turkey and the United Kingdom support propositions that soccer teams results in international cups affect stock market returns and the return–volatility relationship. Evidence from Spain and the UK, soccer powerhouses, suggests that losses are associated wit…
Effects of Daylight Saving Time Changes on Stock Market Volatility
There is a rich array of evidence that suggests that changes in sleeping patterns affect an individual's decision-making processes. A nationwide sleeping-pattern change happens twice a year when the Daylight Saving Time (DST) change occurs. Kamstra, Kramer, and Levi argued in 2000 that a DST change lowers stock market returns. This study presents evidence that DST changes affect the relationship between stock market return and volatility. Empiric…
Effects of Daylight Savings Time Changes on Stock Market Volatility
The presence of daylight savings time effects on stock returns and on stock volatility was investigated using an EGARCH specification to model the conditional variance. The evidence gathered from the major United States stock markets for the period between 1967 and 2007 did not support the existence of the daylight savings time effect on stock returns or on volatility. Returns on the first business day following daylight savings time changes were…
Soccer, stock returns and fanaticism
This paper assesses the effect of three major soccer teams’ wins on the returns of the Istanbul Stock Exchange (ISE). We argue that the effect of soccer wins on ISE returns increases with the fanaticism of the teams’ supporters
Football and Exchange Rates
Recently, economic theory has been expanded to incorporate emotions, which have been assumed to play an important role in financial decisions. The present study illustrates this by showing a connection between the sports performance of popular national football teams (Besiktas, Fenerbahce, and Galatasaray) and performance of the Turkish economy. Specifically, a significant positive association was found between the success of three major professi…
Performance of soccer on the stock market
This paper assesses the effect of soccer success on stock market returns for three major Turkish teams (Beşiktaş, Fenerbahçe and Galatasaray) after certain characteristics of the stock market are controlled for. The empirical evidence presented here suggests that Beşiktaş's win against foreign rivals in the Winner's Cup increases stock market returns. The same effect is not present for the other two big teams (Fenerbahçe and Galatasaray). The day…
Long live Fenerbahçe
The Missing Link Between Inflation Uncertainty and Interest Rates
In the literature, there is no consensus about the direction of the effects of inflation uncertainty on interest rates. This paper states that such a result may stem from differentiation in the sources of the uncertainties and analyzes the effects of different types of inflation uncertainties on a set of interest rates for the UK within an interest rate rule framework. Three types of inflation uncertainties – impulse uncertainty, structural uncer…
The Impact of Inflation Uncertainty on Interest Rates in the UK
This paper assesses the effect of expected inflation and inflation risk on interest rates within the Fisher hypothesis framework. Autoregressive Conditional Heteroscedastic models are used to estimate the conditional variability of inflation as a proxy for risk. With the UK quarterly data from 1958:4 to 1994:4, we found that both the expected inflation and the conditional variability of inflation positively affect the UK three‐month Treasury‐bill…
Long live Fenerbahçe
Effects of soccer on stock markets
This paper assesses the effects of domestic soccer teams’ performances against foreign rivals on stock market returns as well as on the return–volatility relationship. Data from Chile, Spain, Turkey and the United Kingdom support propositions that soccer teams results in international cups affect stock market returns and the return–volatility relationship. Evidence from Spain and the UK, soccer powerhouses, suggests that losses are associated wit…
Soccer, stock returns and fanaticism
This paper assesses the effect of three major soccer teams’ wins on the returns of the Istanbul Stock Exchange (ISE). We argue that the effect of soccer wins on ISE returns increases with the fanaticism of the teams’ supporters
The Missing Link Between Inflation Uncertainty and Interest Rates
In the literature, there is no consensus about the direction of the effects of inflation uncertainty on interest rates. This paper states that such a result may stem from differentiation in the sources of the uncertainties and analyzes the effects of different types of inflation uncertainties on a set of interest rates for the UK within an interest rate rule framework. Three types of inflation uncertainties – impulse uncertainty, structural uncer…
The Impact of Inflation Uncertainty on Interest Rates in the UK
This paper assesses the effect of expected inflation and inflation risk on interest rates within the Fisher hypothesis framework. Autoregressive Conditional Heteroscedastic models are used to estimate the conditional variability of inflation as a proxy for risk. With the UK quarterly data from 1958:4 to 1994:4, we found that both the expected inflation and the conditional variability of inflation positively affect the UK three‐month Treasury‐bill…
The Impact of Inflation Uncertainty on Interest Rates in the UK
This paper assesses the effect of expected inflation and inflation risk on interest rates within the Fisher hypothesis framework. Autoregressive Conditional Heteroscedastic models are used to estimate the conditional variability of inflation as a proxy for risk. With the UK quarterly data from 1958:4 to 1994:4, we found that both the expected inflation and the conditional variability of inflation positively affect the UK three‐month Treasury‐bill…
Long live Fenerbahçe
The Missing Link Between Inflation Uncertainty and Interest Rates
In the literature, there is no consensus about the direction of the effects of inflation uncertainty on interest rates. This paper states that such a result may stem from differentiation in the sources of the uncertainties and analyzes the effects of different types of inflation uncertainties on a set of interest rates for the UK within an interest rate rule framework. Three types of inflation uncertainties – impulse uncertainty, structural uncer…
Performance of soccer on the stock market
This paper assesses the effect of soccer success on stock market returns for three major Turkish teams (Beşiktaş, Fenerbahçe and Galatasaray) after certain characteristics of the stock market are controlled for. The empirical evidence presented here suggests that Beşiktaş's win against foreign rivals in the Winner's Cup increases stock market returns. The same effect is not present for the other two big teams (Fenerbahçe and Galatasaray). The day…
Football and Exchange Rates
Recently, economic theory has been expanded to incorporate emotions, which have been assumed to play an important role in financial decisions. The present study illustrates this by showing a connection between the sports performance of popular national football teams (Besiktas, Fenerbahce, and Galatasaray) and performance of the Turkish economy. Specifically, a significant positive association was found between the success of three major professi…
Soccer, stock returns and fanaticism
This paper assesses the effect of three major soccer teams’ wins on the returns of the Istanbul Stock Exchange (ISE). We argue that the effect of soccer wins on ISE returns increases with the fanaticism of the teams’ supporters
Effects of Daylight Savings Time Changes on Stock Market Volatility
The presence of daylight savings time effects on stock returns and on stock volatility was investigated using an EGARCH specification to model the conditional variance. The evidence gathered from the major United States stock markets for the period between 1967 and 2007 did not support the existence of the daylight savings time effect on stock returns or on volatility. Returns on the first business day following daylight savings time changes were…
Effects of Daylight Saving Time Changes on Stock Market Volatility
There is a rich array of evidence that suggests that changes in sleeping patterns affect an individual's decision-making processes. A nationwide sleeping-pattern change happens twice a year when the Daylight Saving Time (DST) change occurs. Kamstra, Kramer, and Levi argued in 2000 that a DST change lowers stock market returns. This study presents evidence that DST changes affect the relationship between stock market return and volatility. Empiric…
Effects of soccer on stock markets
This paper assesses the effects of domestic soccer teams’ performances against foreign rivals on stock market returns as well as on the return–volatility relationship. Data from Chile, Spain, Turkey and the United Kingdom support propositions that soccer teams results in international cups affect stock market returns and the return–volatility relationship. Evidence from Spain and the UK, soccer powerhouses, suggests that losses are associated wit…
Soccer and Stock Market Risk
There is an emerging but important literature on the effects of sport events such as soccer on stock market returns.After a soccer team's win, agents discount future events more favorably and increase risk tolerance.Similarly, after a loss, risk tolerance decreases.This paper directly assesses risk tolerance after a sports event by using daily data from the three major soccer teams in Turkey (Beşiktaş, Fenerbahçe and Galatasaray).Results provide …
Soccer and Stock Market Risk
There is an emerging but important literature on the effects of sport events such as soccer on stock market returns. After a soccer team's win, agents discount future events more favorably and increase risk tolerance. Similarly, after a loss, risk tolerance decreases. This paper directly assesses risk tolerance after a sports event by using daily data from the three major soccer teams in Turkey (Beşiktaşç Fenerbahge and Galatasaray). Results prov…
Three-factor asset pricing model and portfolio holdings of foreign investors
This article contributes to the asset pricing literature by offering an alternative \nmissing factor: the excess holdings of foreign investors. To incorporate this factor, \nwe mimic the portfolio of foreign investors in Borsa Istanbul (BIST) with respect to \nportfolio preferences (foreign ownership) using the Fama and French’s three-factor \nmodel. Our findings suggest that market factor, size, and book-to-market (B/M) \nvariables are still sta…
Asymmetric effects of central bank funding on commercial banking sector behaviour
In this paper, we assess the effects of Central Bank Funding (C.B.F.) on commercial bank lending behaviour by using weekly Turkish data from 7 January 2011 to 5 June 2015. To be specific, using the Nonlinear Autoregressive Distributed Lag Error Correction Model, we assess the effects of C.B.F. provided daily by the Central Bank of the Republic of Turkey through Open Market Operations to financial markets. Our empirical evidence reveals that for a…
Exchange rate regime, world oil prices and the Mexican economy
Syrian refugees to Europe
The conflict and violence in the Syrian Arab Republic have led to an increase in Syrians seeking asylum in European countries. In this study, asylum applications of Syrian refugees to European countries are examined, taking into account the geographical neighborhood effects, with annual data for the time period from 2009 to 2018. This paper also aims to compare asylum applications of Syrian to non-Syrian refugees. The estimation results suggest t…
Economics (15 works) · Monetary economics (11 works) · Econometrics (10 works) · Business (7 works) · Financial economics (7 works) · Financial Markets and Investment Strategies (7 works) · Stock (firearms (7 works) · Finance (6 works) · Geography (6 works) · Market Dynamics and Volatility (6 works)