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In Which Sectors Can Historical Prices Be Used for Return Predictability? An Empirical Study on Istanbul Stock Exchange with Automatic Portmanteau Test

In Which Sectors Can Historical Prices Be Used for Return Predictability? An Empirical Study on Istanbul Stock Exchange with Automatic Portmanteau Test

Article Information
Journal: Business and Economics Research Journal
Title of Article: In Which Sectors Can Historical Prices Be Used for Return Predictability? An Empirical Study on Istanbul Stock Exchange with Automatic Portmanteau Test
Author(s): Oktay Ozkan
Volume: 11
Number: 3
Year: 2020
Page: 703-712
ISSN: 2619-9491
DOI Number: 10.20409/berj.2020.278
Abstract
The aim of this study, to compare return predictability in other words, the weak form of market efficiency of different sectors in Turkey. For this purpose, analyses were carried out by automatic portmanteau test with a 2-year sub-sample size using the daily data between 19.04.2000-07.02.2020 of 19 primary sector indexes within Borsa Istanbul. As a result of the analyses, it was understood that Transportation, Insurance, Electricity, and Metal Products Machinery sectors have higher return predictability periods and therefore their weak form market efficiency is lower than other sectors. In addition, it was determined that the sectors that have the least predictable periods of return, in other words, that have more weak form efficiency than other sectors, are Food Beverage, Banks, Wholesale and Retail Trade, and Wood Paper Printing.

Keywords: Return Predictability, Automatic Portmanteau Test, Return, Efficient Markets Hypothesis, Stock Market

JEL Classification: C12, C22, G11, G14

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Determination of Volatility Spillover Effect Between Exchange Rates and BIST Tourism Index Returns

Determination of Volatility Spillover Effect Between Exchange Rates and BIST Tourism Index Returns

Article Information
Journal: Business and Economics Research Journal
Title of Article: Determination of Volatility Spillover Effect Between Exchange Rates and BIST Tourism Index Returns
Author(s): Serdar Yaman, Turhan Korkmaz
Volume: 11
Number: 3
Year: 2020
Page: 681-702
ISSN: 2619-9491
DOI Number: 10.20409/berj.2020.277
Abstract
The purpose of this study is to determine the volatility spillover effects between exchange rates and BİST Tourism Index (XTRZM) returns by using econometric methods. In this concept, the volatility spillover between USD, EUR, JPY, and GBP as highly convertible currencies and RUB, the currency of Russia which is a country that sends large amounts of tourists to Turkey, and BIST XTRZM returns has been analyzed by Diagonal VECH-GARCH method which is one of the multivariate GARCH models. The findings show that volatility has constant effects on XTRZM and exchange rates and volatility clusters are formed. According to the results of Diagonal VECH-GARCH model, statistically significant volatility spillover effects between USD/TRY, EUR/TRY, GBP/TRY and RUB/TRY exchange rates and XTRZM Index returns have been determined. According to the results of the analysis, there is no statistically significant volatility spillover effect between JPY/TRY and XTRZM Index returns. The findings of the study indicate that volatility in XTRZM index returns increased especially during periods of volatility in exchange rates.

Keywords: Exchange Rates, BIST Tourism Index, Volatility Spillover, Multi-GARCH Models

JEL Classification: C58, F31, G10

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Another Look at the Relationship between Portfolio Returns and Market Multiples

Another Look at the Relationship between Portfolio Returns and Market Multiples

Article Information
Journal: Business and Economics Research Journal
Title of Article: Another Look at the Relationship between Portfolio Returns and Market Multiples
Author(s): Marlena Akhbari, M. Fall Ainina, James E. Larsen
Volume: 11
Number: 3
Year: 2020
Page: 671-680
ISSN: 2619-9491
DOI Number: 10.20409/berj.2020.276
Abstract
Equity investors are always interested in identifying profitable trading strategies. The price-to-earnings ratio (P/E) and price-to-sales ratio (P/S) are two simple metrics that researchers have reported may meet this objective under particular market conditions. During our study period, which is longer in duration than most of the previous works, the performance of portfolios based on P/S dominated those based on P/E. However, portfolios based upon the combination of low P/E and net profit momentum outperformed all other strategies tested. Another way the predictive power of P/E may be improved is by dividing it by a measure of the firm’s earnings growth, yielding a composite metric known as the price-to-earnings-to-earnings growth ratio (PEG). This metric has gained the attention of professional investors and researchers. Because many investors prefer P/S over P/E, it is surprising that a counterpart to PEG has not gained similar traction. Our results provide evidence that helps explain why the price-to-sales-to-sales growth ratio (PSG) has failed to gain attention. Our results also indicate that none of these market multiples alone can be employed to provide consistently profitable investment performance.

Keywords: Holding periods, Portfolio, Portfolio choice, Price-to earnings ratio, price-to-earnings-to-earnings growth ratio, Price-to-sales ratio, Price-to-sales-to-sales growth ratio.

JEL Classification: G11, G23

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Evaluation of Development Plans within the Framework of New Public Management: ARDL Bound Testing Approach

Evaluation of Development Plans within the Framework of New Public Management: ARDL Bound Testing Approach

Article Information
Journal: Business and Economics Research Journal
Title of Article: Evaluation of Development Plans within the Framework of New Public Management: ARDL Bound Testing Approach
Author(s): Eren Caskurlua, Erman Eroglu
Volume: 11
Number: 3
Year: 2020
Page: 647-669
ISSN: 2619-9491
DOI Number: 10.20409/berj.2020.275
Abstract
Traditional public administration was mainly applied in the period when the welfare state was dominant. The new public management approach is a conception systematic shaped within the framework of neoliberal thought and limiting the state. Policies were implemented to reduce public expenditures and public employment, with privatization coming into prominence, and to increase efficiency in deregulation and provision of public services. In this study, the basic policies in the Tenth and Eleventh Development Plans are evaluated based on the new public management approach. The points that draw attention to public administration in the plans can be listed as the importance given to privatization, accountability, and financial localization. It can be pointed out that the goals and the policies envisaged in public management in both plans emphasize the new public management approach. In the empirical analysis part of the study, the effect of the added value created in the state-owned enterprises on the growth rates of the agriculture and industry sectors is investigated. In this context, cointegration with ARDL bound test and causality with Toda – Yamomoto between these variables in the period of 1985-2017 were examined. According to the results, the added value of state-owned enterprises increased the growth rate of the agricultural and industrial sectors and the presence of a long-term positive relationship between the variables was determined.

Keywords: Traditional Public Administration, New Public Management, Development Plans, Cointegration Analysis, Causality Test

JEL Classification: H19, H89, O20

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The Effects of Democracy on Foreign Direct Investment in Turkey: ARDL Approach

The Effects of Democracy on Foreign Direct Investment in Turkey: ARDL Approach

Article Information
Journal: Business and Economics Research Journal
Title of Article: The Effects of Democracy on Foreign Direct Investment in Turkey: ARDL Approach
Author(s): Dilek Tandogan, Murat Can Genc
Volume: 11
Number: 3
Year: 2020
Page: 635-646
ISSN: 2619-9491
DOI Number: 10.20409/berj.2020.274
Abstract
Foreign direct investments are an important resource contributing to economic growth, especially for developing countries. In this context, determining the factors affecting foreign direct investment inflows to the host country is among the important issues. Necessary policies can be created to increase foreign direct investment inflows in host country by determining the mentioned factors. Thus, competitive advantage will be obtained in the international arena. As the level of democracy develops, FDI increases as the confidence in the country increases. The aim of this study is to determine the effect of democracy on foreign direct investment in Turkey by using ARDL approach with annual data for the period of 1974-2018. The empirical results of the Bounds test stated that the variables are cointegrated. The findings obtained from ARDL model estimation indicate that increases in level of democracy increase foreign direct investment in Turkey in short and long run. Therefore, the study is important in terms of demonstrating the importance of democracy in efforts to increase foreign direct investments to the country.

Keywords: Democracy, Foreign Direct Investment, ARDL Approach, Turkey

JEL Classification: F10, C22

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Exploring the Linkage between Income Inequality, GDP and Human Well-Being

Exploring the Linkage between Income Inequality, GDP and Human Well-Being

Article Information
Journal: Business and Economics Research Journal
Title of Article: Exploring the Linkage between Income Inequality, GDP and Human Well-Being
Author(s): Shashank Vikram Pratap Singh, Sumanjeet Singh
Volume: 11
Number: 3
Year: 2020
Page: 621-634
ISSN: 2619-9491
DOI Number: 10.20409/berj.2020.273
Abstract
The scorning of gross domestic product (GDP) is as old as its birth. Income inequality and ensuring human well-being are few out of many causes of its fulmination. Existing literature on the concern issues reveals that, where there are great disparities in wealth, there are heightened level of social distrust. Poor countries having reasonable distribution of wealth are much better in terms of health and happiness of people than in rich countries having unfair distribution of wealth. It has also been found that, people’ health are better in the more equally income distributed societies than the societies having highly skewed distribution of income. It has repercussion effect in the form of reduction of workforces’ productivity, upsurge in national expenditures on health, and diversion of resources from prolific endeavours to somewhere else. These are results of growth driven policies which ensure improvements in GDP indicator without assuring improvements in the human well-being. The status of income inequality raises questions on the sustainability of GDP driven development. Hence there is a need for an alternative. This paper is an attempt to discuss the issues concerning rise in income inequality and to shift our focus towards Human Well-Being approach as an alternative to GDP approach.

Keywords: GDP, Income Inequality, Happiness, Human Well-Being

JEL Classification: I31, D63, O47

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Exchange Rate and Import Price Pass-Through in Turkey

Exchange Rate and Import Price Pass-Through in Turkey

Article Information
Journal: Business and Economics Research Journal
Title of Article: Exchange Rate and Import Price Pass-Through in Turkey
Author(s): Bilgin Bari
Volume: 11
Number: 3
Year: 2020
Page: 609-620
ISSN: 2619-9491
DOI Number: 10.20409/berj.2020.272
Abstract
This study researches the effect of exchange rate movements on Turkey’s domestic prices from 2003 through 2019. For the Turkish economy, the structural problems behind the inflation phenomenon are the dependency on imported intermediate goods for production and inflation expectations. Therefore, changes in exchange rates have a significant impact on domestic inflation. To analyze this process, the consumer price index (CPI), producer price index (PPI) and import price index (IPI) are examined by using VAR analysis. Estimations for two distinct periods- stable and upward courses in the exchange rate movement- yield different results. For the first stable period, import price and producer price shocks were more reflective than exchange rate shocks. Exchange rate shocks are found to be stronger than the import price shocks in the second period. The results show that structural problems of the Turkish economy related to production based on the import of intermediate goods, dollarization, and pricing behavior support exchange rate and imported price pass-through to consumer prices.

Keywords: Exchange Rate, Exchange Rate Pass-Through, Imported Prices Pass-Through, Consumer Prices, Vector Auto Regressive Model

JEL Classification: E31, F31, F41

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Distributional Effects of Human Capital in Advanced Economies: Dynamics of Economic Globalization

Distributional Effects of Human Capital in Advanced Economies: Dynamics of Economic Globalization

Article Information
Journal: Business and Economics Research Journal
Title of Article: Distributional Effects of Human Capital in Advanced Economies: Dynamics of Economic Globalization
Author(s): Onur Ozdemir
Volume: 11
Number: 3
Year: 2020
Page: 591-607
ISSN: 2619-9491
DOI Number: 10.20409/berj.2020.271
Abstract
This study investigates the human capital-income inequality nexus for 19 advanced economies. The whole sample covers the period between 1990 and 2017. The econometric analysis considers two fundamental panel data methods, namely the fixed-effects and two-step system GMM, to test whether the correlation between human capital development and income inequality is negative or not. The empirical findings of these two particular panel data methods reveal that while the initial stages of accumulating a higher degree of human capital through increasing the average years of schooling and returns to education reduce the level of income inequality, the later stages show that this negative relationship turns into positive by way of widening the unequal distribution of national income. In addition, the economic globalization appears to be positively correlated with income inequality, meaning that globalized economic relations widen the scale of inequality where the statistical significance of human capital-income inequality nexus still prevails. All these estimation results show that they are contradicted with the mainstream findings, each of which puts forward that higher level of human capital reduces the level of income inequality.

Keywords: Human Capital, Income Inequality, Economic Globalization, Education, Income Distribution

JEL Classification: D63, I24, I26

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Modelling of Housing Prices by Spatial Quantile Regression Approach: A Case of Denizli Province

Modelling of Housing Prices by Spatial Quantile Regression Approach: A Case of Denizli Province

Article Information
Journal: Business and Economics Research Journal
Title of Article: Modelling of Housing Prices by Spatial Quantile Regression Approach: A Case of Denizli Province
Author(s): Sinem Guler Kangallı Uyar, Nur Duygu Keten
Volume: 11
Number: 3
Year: 2020
Page: 713-734
ISSN: 2619-9491
DOI Number: 10.20409/berj.2020.270
Abstract
The aim of the study is to examine the relationships between housing prices and characteristics by spatial quantile regression approach within the framework of hedonic price theory. In the period of May-June 2019, 3666 units of housing data for sale were obtained from the central districts for the Denizli housing market and it was aimed to provide information regarding the demand direction of the Denizli housing market. According to the estimation results of spatial quantile regression, the effects of structural, physical and locational housing characteristics on the housing prices change for the quantiles with the highest and lowest housing prices. One of the remarkable findings of the study is that an increment in the prices of neighboring houses for different segments of the distribution of housing asking prices increases the housing prices at different rates. The housing prices in neighbor locations most affect positively the housing prices at the bottom of 25th quartile. Consequently, determining the characteristics that increase and decrease the housing prices for different segments might implicitly provide information about the housing preferences of households with different income levels.

Keywords: Hedonic Price Theory, Spatial Quantile Regression, Two-Stage Quantile Regression, Housing Market, Denizli

JEL Classification: C21, R31, R32

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The Methodological Analysis of Scale Development Studies in Management and Organizational Behavior Fields

The Methodological Analysis of Scale Development Studies in Management and Organizational Behavior Fields

Article Information
Journal: Business and Economics Research Journal
Title of Article: The Methodological Analysis of Scale Development Studies in Management and Organizational Behavior Fields
Author(s): Pelin Kanten, Benan Arda
Volume: 11
Number: 2
Year: 2020
Page: 581-590
ISSN: 2619-9491
DOI Number: 10.20409/berj.2020.269
Abstract
Scale development is a study that requires significant expert knowledge and long-term effort. The scientificness of these studies in terms of reliability and validity is based on the implementation of some methodological principles. In the social sciences literature, it is seen that specific methods are applied in some of the scale development studies, while in others, every stage of the scientific criteria is not taken into account. In this context, this study aimed to examine the scale development studies in management and organizational behavior literature between the 2000-2019 years from the methodological perspective by the content analysis. As the scope of the objectives of the study, it is aimed to determine the existing methods of the scale development process in the studies and to present a model that includes the required steps of the scale development studies. According to this purpose, 65 studies in the scope of the graduate theses, articles, and conference proceedings indexed by the national database in Turkey between the specific years are examined. These 65 studies are evaluated using the qualitative data analysis program MAXQDA 10.0 software based on scale development criteria determined.

Keywords: Scale Development, Methodology, Management, Organizational Behavior

JEL Classification: M10, M20

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