This paper aims to evaluate the performance of South African equity funds between January 2009 and November 2014. This study period overlaps with the period of quantitative easing during which developing economies in financial markets have been influenced severely. Thanks to the increase in the money supply directed towards the capital markets, a relief was experienced in related markets following the crisis period. During this 5-year 10-month period, in which the relevant quantitative easing continued, Johannesburg Stock Exchange (JSE) yielded approximately 16% compounded on average, per year. In this study, South African equity funds are examined in order to compare these funds' performance within this period. Within this scope, 10 South African equity funds are selected. In order to measure these funds' performances, the Sharpe ratio (1966), Treynor ratio (1965), Jensen's alpha (1968) methods are used. Jensen's alpha is also used in identifying selectivity skills of fund managers. Furthermore, the Treynor & Mazuy (1966) and Henriksson & Merton (1981) regression analysis methods are applied to ascertain the market timing ability of fund managers. Furthermore, Treynor&Mazuy (1966) regression analysis method is applied for market timing ability of fund managers.

This study analyzes the effect of Ramadan on the market index

The month of Ramadan is one the most renowned religious rituals in the world for more than 1.5 billion Muslims. This study analyzes the effect of religious experience during the Muslim holy days of Ramadan on the stock exchanges of 16 Muslim-majority countries. According to the results, among 16 countries, 13 Muslim financial markets have positive returns during Ramadan, which can be attributed to the generally positive investor mood or emotion. In contrast, only 4 stock markets-Dubai Financial Market, Amman Stock Exchange, Karachi Stock Exchange, and Tunis Stock Exchange-exhibit differences that are both positive and statistically significant. Moreover, the study divides the Muslim holy days into 3 periods, where the first period comprises the first 10 days of Ramadan, second period covers the next 10 days of the Ramadan month, and the final period involves the last 10 days. According to results, while the first 10 days witness the lowest performance, the last 10 days experience the highest performance. Keywords: Ramadan Effect, Regression Analysis, Muslim Countries, Stock Markets ÖzRamazan ayı, dünyadaki 1,5 milyardan fazla Müslüman için en önemli dinsel ritüellerden biridir. Bu çalışma Ramazan ayının Müslümanların çoğunlukta olduğu 16 ülkenin menkul kıymetler borsası üzerindeki etkisini incelemektedir. Elde edilen sonuçlara göre, Ramazan ayının söz konusu 16 Müslüman ülkenin 13'ünde finans piyasası üzerinde olumlu etkisi görülmektedir ve bu etki genellikle pozitif yatırımcı ruh hali veya duygusu ile açıklanabilmektedir. Diğer taraftan, sadece Dubai, Ürdün, Pakistan ve Tunus Borsaları hem olumlu hem de istatistiksel olarak anlamlı farklılıklar göstermektedir. Ek olarak bu çalışma, Ramazan ayını; ilk on günü birinci dönem, ikinci on günü ikinci dönem ve son on günü üçüncü dönem olmak üzere üçe bölmüştür. Elde edilen sonuçlara göre, ilk on gün en düşük performans ile karşılaşılmakta, son on gün ise en yüksek performans gösterilmektedir.

Although foreign exchange rates (FER) and inflation increased slowly between from 2002 and 2013, they increased rapidly after that time and they have reached the highest level in 2018 on annual base since 2006. Adverse developments in indicators like FER make negative effects on economic actors by causing uncertainty and uneasiness. They also cause adverse effects on a variety of macroeconomic indicators such as foreign debt burden and interest payments. For this reason, it is important for countries to determine causes of increasing in FER and take measures to keep them under control. For this purpose, there are a lot of conventional tools like tight monetary policy, tight fiscal policy, implementation of harmonious policies and capital controls. In this context, reserves of CBRT are an important tool. However, it is necessary to have adequate reserves in order to use reserves to keep FER under control. Taking into consideration this fact, it is recommended to impose reserve tax liability to financial institutions so that reserves of CBRT could be increased.

The COVID-19 pandemic, which emerged in December 2019 and then spread worldwide, has affected not only economic and social life but also the financial markets. It has left investors greatly panicked and affected their decisions. In this study, the effect of COVID-19 related news on Borsa Istanbul is analyzed using the panel quantile regression method. The study period is set between 10 March 2020 and 17 April 2020. The panic index, media hype index, fake news index, country sentiment index, infodemic index, and media coverage index created by the RavenPack data platform are used for the analysis. The impact of news, it was found, varies amongst the quantiles, and there exists an asymmetric dependence between the returns of Borsa Istanbul and COVID-19 related news. More efficient communication channels, the results indicate, should be used to alleviate the financial turmoil caused by

No abstract

This study predicts the cash holdings policy of Turkish firms, given the 20 selected features with machine learning algorithm methods. 211 listed firms in the Borsa Istanbul are analyzed over the period between 2006 and 2019. Multiple linear regression (MLR), k-nearest neighbors (KNN), support vector regression (SVR), decision trees (DT), extreme gradient boosting algorithm (XGBoost) and multi-layer neural networks (MLNN) are used for prediction. Results reveal that MLR, KNN, and SVR provide high root mean square error (RMSE) and low R2 values. Meanwhile, more complex algorithms, such as DT and especially XGBoost, derive higher accuracy with a 0.73 R2 value. Therefore, using advanced machine learning algorithms, we may predict cash holdings considerably.

No abstract