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    Adaptive Market Hypothesis: Evidence From the Cryptocurrency Market
    (Univ Tehran, 2023) Karaomer, Yunus; Acaravci, Songul Kakilli
    This study aimed to evaluate whether the efficiency of the cryptocurrency market varies over time according to the Adaptive Market Hypothesis. It investigated the varying cryptocurrency market efficiency by applying daily historical data to Bitcoin, Ethereum, Litecoin, Ripple, and Cardano. The conformity of cryptocurrencies to the normal distribution was examined by the Jarque-Bera test and their stationarity was tested by unit root tests. The cryptocurrency daily return predictability was measured using the Automatic Portmanteau and Wild Bootstrap Automatic Variance Ratio tests. Besides, the daily returns of cryptocurrencies were analyzed using the 500-days rolling window approach to capture the time-varying nature of the cryptocurrency market efficiency. Findings are consistent with the Adaptive Market Hypothesis and indicate that the cryptocurrency market efficiency varies over time. Besides, the cryptocurrency market efficiency varies and generally corresponds to positive or negative news/events.
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    Effect of Economic Policy Uncertainty on Stock Returns: Analysing the Moderating Role of Government Size
    (Vysoka Skola Ekonomicka, 2024) Karaomer, Yunus; Guzel, Arif Eser
    This study investigates whether the response of stock returns to economic policy uncertainty depends on the level of government size in the economy. Although there is a consensus in the literature that stock markets react negatively to policy -related uncertainties, the factors that determine the magnitude of this effect have been ignored. This study is the first to demonstrate that the magnitude of this effect depends on the size of the government in the economy. In the study, data for the period 1997Q1-2021Q4 pertaining to 18 countries are used. According to results of fixed -effects estimations with Driscoll-Kraay robust standard errors, economic policy uncertainty affects stock returns negatively. In addition, the coefficient of interaction term formed by the variables of policy uncertainty and government size is also negative and significant. These results indicate that the negative response of stock returns to policy uncertainty grows as government size increases. The sensitivity analysis results show that the findings are not sensitive to the estimations made by alternative approaches and are therefore robust. The findings of the study contain important implications for policymakers. Investors can also benefit from the results at the point of international asset allocation against future policy -related uncertainties.
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    The impact of COVID-19 outbreak on Borsa Istanbul: an event study method
    (Emerald Group Publishing Ltd, 2022) Karaomer, Yunus; Acaravci, Songul Kakilli
    Purpose - This study aims to research how the outbreak of coronavirus disease 2019 (COVID-19) impacts the selected sector price indices in Borsa Istanbul (BIST), Turkey. Design/methodology/approach - The authors use the event study method because it is a useful method as stock prices and market instantly reflect the effect of such an unusual event. Data are retrieved from the . Findings - The authors find that selected sectors are impacted by the COVID-19 outbreak. The banking and transportation sectors, on the announcement of first death, were impacted negatively, while the telecommunication and food -beverage sectors were impacted positively. The transportation and banking sectors experience an obvious downturn after the spread of COVID-19, while the food-beverage and telecommunication sectors experience an obvious upturn after the spread of COVID-19. Besides, the most adversely impacted sector is banking. Originality/value - This study bridges the research gap and adds significant insights to the existing literature. The main contribution of this study to the existing literature is the unexpected outbreak impacts on financial markets, especially on BIST. It is also expected that this study will make a significant contribution to analysts, researchers and policymakers.
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    Investigation of Fractal Market Hypothesis in Emerging Markets: Evidence from the MINT Stock Markets
    (Vilnius Univ, 2022) Karaomer, Yunus
    This study aims to investigate the market efficiency of emerging stock markets, namely the Mexico, Indonesia, Nigeria, and Turkey (MINT) stock markets based on the Fractal Market Hypothesis. For this purpose, the ARFIMA and ARFIMA-FIGARCH type models are used to analyze the MINT stock return series. In this study, the dataset encompasses the daily frequency data of the MINT stock market indices from January 12, 2018, to January 12, 2022. The empirical findings show that long memory is reported for the MINT stock returns. The long memory in the returns implies that the MINT stock prices follow a predictable behavior that is consistent with the Fractal Market Hypothesis. The long memory in the volatility implies that the uncertainty or risk is an important factor in the formation of price movements in the MINT stock prices. Moreover, the MINT stock prices consist of the effect of shocks and news that occurred in the recent past. Thus, this study contributes to investors, academics, and market regulatory authorities. Besides, as far as we know, the current literature on the analysis of the fractal market hypothesis to explore the efficiency of the MINT stock markets has not been found.
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    The time-varying correlation between cryptocurrency policy uncertainty and cryptocurrency returns
    (Emerald Group Publishing Ltd, 2022) Karaomer, Yunus
    Purpose This study aims to analyze the time-varying correlation between the cryptocurrency policy uncertainty (UCRY Policy) and cryptocurrency returns. More specifically, it analyzes whether these correlations vary according to the uncertainty attributable to salient events such as China banning ICOs, cryptocurrency exchanges attacks, Coronavirus (Covid-19) pandemic crisis and the United States (U.S.) Security and Exchange Commission's (SEC's) announcement about Ripple. Design/methodology/approach To measure the dynamic relationship, it uses the dynamic conditional correlation (DCC) model of Engle (2002) to consider time variation in UCRY Policy and cryptocurrency returns. The data set encompasses the weekly frequency data of the UCRY Policy and Bitcoin (BTC), Ethereum (ETH), Litecoin (LTC), Ripple (XRP), Stellar (XLM), Dash (DASH), Monero (XMR) from 4 September 2016, to 21 February 2021. Findings Empirical findings indicate that the correlations between the UCRY Policy and the BTC, ETH, LTC, XRP, XLM, DASH and XMR returns are consistently negative. Thus, an increase in the volatility of the UCRY Policy can lead to a decrease in volatility for BTC, ETH, LTC, XRP, XLM, DASH and XMR returns. Besides, these findings indicate that the estimated DCC is not only time-varying but also substantially responsive to salient events, such as China banning ICOs, cryptocurrency exchanges attacks, the Covid-19 pandemic crisis and SEC's announcement about Ripple. Besides, empirical findings show that cryptocurrency returns are adversely impacted by UCRY Policy during the salient events (China bans ICOs, the hack of cryptocurrency exchanges, Covid-19 crisis), suggesting their failure to act as a hedge or safe-haven asset. Originality/value To the best of the author's knowledge, this study investigates the time-varying correlation between UCRY Policy and cryptocurrency returns. Besides, this study may be useful for new studies and fill a gap in the finance literature, due to the limited number of studies on the UCRY Policy in the finance literature.