Yazar "Günay, Samet" için listeleme
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BİST100 endeksi fiyat ve işlem hacminin fraktallık analizi
Günay, Samet (2015)Bu çalışmada 04.01.2000-19.03.2014 dönemi için BIST100 Endeksi'nin getirileri ve işlem hacminin fraktal yapısı incelenmiştir. Fraktallık testlerinde uzun dönemli bellek analizleri ve fraktal boyut hesaplama yöntemleri ... -
Chaotic structure of the BRIC countries and Turkey’s stock market
Günay, Samet (Econjournals, 2015)In this study, the parameters of chaos are analyzed for the leading emerging stock markets: Brazil, Russia, India, China, and Turkey (BRIC-T). As chaos has properties such as nonlinearity, sensitivity to initial conditions, ... -
Fractal Structure of the Stock Markets of Leading Asian Countries
Günay, Samet (KOREA INST INT ECONOMIC POLICY, 2014)In this study, we examined the fractal structure of the Nikkei225, HangSeng, Shanghai Stock Exchange and Straits Times Index of Singapore. Empirical analysis was performed via non-parametric, semi-parametric long memory ... -
Measuring the financial risk level in emerging and developed markets: Traditional and alternative methods
Günay, Samet (Canadian Center of Science and Education, 2015)In this study,we measured the financial risk levels of five emerging and five developed markets’ stock indexes using traditional and alternative models. We used the variance,semi-variance,beta,and downside beta,Gaussian ... -
Power laws in financial markets: Scaling exponent H and alpha-stable distributions
Günay, Samet (CIBER Institute, 2015)In this study, we analyzed whether daily returns of Brent crude oil, dollar/yen foreign exchange, Dow&Jones Industrial Average Index and 12-month libor display power law features in the scaling exponent and probability ... -
Stock market liquidity and O/N LIBOR rates: A study for PIGS countries and Turkey
Günay, Samet (Mediterranean Center of Social and Educational Research, 2015)During the mortgage crisis in 2008 there was a significant demand increase in the LIBOR market due to the shrinkage in commercial paper market and liquidity crunch. This study examines the relationship of stock market price ... -
Yapısal kırılmalar dahilinde BİST-100 endeksi volatilitesinin uzun dönemli bellek analizi
Günay, Samet (2014)Bu çalışmada BİST-100 Endeksi'nin volatilitesindeki uzun dönemli bellek yapısı incelenmiştir. Uzun dönemli bellek analizi fraktallığın göstergelerinden birisi olup, aynı zamanda Etkin Piyasa Hipotezi'nin zayıf formunun ...
