Browsing by Author "Aktan, Bora"

Now showing 1 - 20 of 28

Citation - WoS: 57
Citation - Scopus: 81
A comparison of data mining techniques for credit scoring in banking: A managerial perspective
(Vilnius Gediminas Tech Univ, 2009) Hüseyin Ince; Bora Aktan; Aktan, Bora; Ince, Huseyin
Credit scoring is a very important task for lenders to evaluate the loan applications they receive from consumers as well as for insurance companies which use scoring systems today to evaluate new policyholders and the risks these prospective customers might present to the insurer. Credit scoring systems are used to model the potential risk of loan applications which have the advantage of being able to handle a large volume of credit applications quickly with minimal labour thus reducing operating costs and they may be an effective substitute for the use of judgment among inexperienced loan officers thus helping to control bad debt losses. This study explores the performance of credit scoring models using traditional and artificial intelligence approaches: discriminant analysis logistic regression neural networks and classification and regression trees. Experimental studies using real world data sets have demonstrated that the classification and regression trees and neural networks outperform the traditional credit scoring models in terms of predictive accuracy and type II errors. © 2010 Elsevier B.V. All rights reserved.
Citation - WoS: 6
A Discussion of Financial Regulations' Impact on the Subprime Crisis: Implications for Financial Markets
(Chaoyang Univ Technology, 2010) Omar Masood; Bora Aktan; Georges Pariente; Aktan, Bora; Pariente, Georges; Masood, Omar
The financial crisis sparked by the US subprime is now posing a serious threat to global financial markets with its severity intensifying as widening losses and a liquidity crunch push some financial institutions to the brink of failure. The US and the Western Europe seem to be falling victim to a debt spiral in which market turmoil is aggravating deterioration in the real economy. The crisis which has its roots in the closing years of the 20th century became apparent in 2007 and has exposed pervasive weaknesses in financial industry regulation and the global financial system. The subprime mortgage crisis is resulting in a sea of litigation presenting novel and significant legal problems. These issues will affect a universe of potential defendants including traditional lenders investment banks and investors. This article seeks to provide a practical understanding of how modifications to the legal and accounting regulations governing the banking value chain encouraged fragmentation and outsourcing connected with tile process of mortgage securitization. Our study will help to assess legal ramifications and litigation trends associated with the fallout with characteristics of emerging mortgage markets. We observe that in the instance of subprime mortgage woes there is no single entity or individual to be point out instead this mess is a collective creation of the world's central banks homeowners lenders credit rating agencies legal and accounting regulations underwriters hedge funds investment behavior.
Citation - WoS: 9
An empirical study on Banks profitability in the KSA: A co-integration approach
(ACADEMIC JOURNALS, 2009) Omar Masood; Bora Aktan; Sahil Chaudhary; Chaudhary, Sahil; Aktan, Bora; Masood, Omar
This study aims to give the analysis of the determinants of banks' profitability in the Kingdom of Saudi Arabia (KSA) over the period 1999-2007. This paper investigates the co-integration and causal relationship between return of assets (ROA) and return of equity ( ROE) of Saudi banks. The analysis employs Augmented Dickey Fuller (ADF) test Johansen's cointegration test Granger causality test. Analyzing the cointegration and other tests on Saudi Arabian banking sector over the study period the relationships between the two variables are examined. The empirical results have found strong evidence that the variables are co-integrated.
An outlook on Chinese banks based on total assets and equity perspective
(National Academy of Management eco@nam.kiev.ua Vul. Panasa Myrnogo 26 Kyiv 01011, 2011) Bora Aktan; Omar Masood; Guluzar Kurt-Gumuş; Bora Bodur; Kurt-Gumus, Guluzar; Bodur, Bora; Aktan, Bora; Masood, Omar
This study gives the analysis of the determinants of banks' profitability in China over the period of 2003-2007 by investigating the cointegration and the causal relationship between total assets (TA) and total equity (TE) of Chinese banks. The analysis employs Augmented Dickey Fuller (ADF) test Johansen cointegration test and Granger causality test on Chinese banking sector over the study period in order to examine the relationship between these 2 variables. The empirical results have found strong evidence that the variables are cointegrated. © Bora Aktan Omar Masood Guluzar Kurt-Gumus Bora Bodur 2011. © 2015 Elsevier B.V. All rights reserved.
ANALYSIS OF ISLAMIC BANKING INDUSTRY IN THE REPUBLIC OF SUDAN
(NATL ACAD MANAGEMENT, 2011) Guluzar Kurt-Gumus; Bora Aktaif; Omar Masood; Kurt-Gumus, Guluzar; Aktan, Bora; Aktaif, Bora; Masood, Omar
This paper seeks to analyze the financial performance of the selected Sudanese Islamic banks and highlight their growth using financial statement analysis. The procedure involves calculating numerous financial ratios and categorizing them into 5 key groups in order to examine profitability earning potential liquidity credit risk and assets activity. Findings reveal that Sudanese Islamic banks are doing very well in terms of generating reasonable profits and the liquidity earning performance and asset activity performance of the 3 selected banks is satisfactory. Finally while analyzing the credit risk we found that Sudanese Islamic banks are taking excessive risks.
Citation - WoS: 15
Behaviour of emerging stock markets in the global financial meltdown: Evidence from bric-a
(ACADEMIC JOURNALS, 2009) Bora Aktan; Pinar Evrim Mandaci; Baris Serkan Kopurlu; Buelent Ersener; Kopurlu, Baris Serkan; Ersener, Buelent; Mandaci, Pinar Evrim; Aktan, Bora
This paper examines the emerging market indices of Brazil Russia India China and Argentina (BRICA) and investigates the linkages among the stock markets of the BRICA countries and their relations with the US market. We employ the vector auto regression (VAR) techniques to model the interdependencies and Granger causality test to find evidence of a short-run relationship between these markets. In addition we employ the Impulse Response test to evaluate the persistence of shocks by using daily data from 1(st) January 2002 to 18(th) February 2009. Our findings show that the US market has a significant effect on all BRICA countries in the same trading day. The most integrated markets to the BRICA countries are Russia and Brazil, the least integrated ones are China and Argentina. The Granger causality test supports our VAR calculations and shows that Russia influences all other countries and Brazil affects Argentina Russia and India. However China only affects Argentina and Russia. Impulse response test shows that all countries respond to an anticipated shock immediately and recover in nearly five or six days.
Citation - Scopus: 9
Changing face of banks and the evaluation of internet banking in Turkey
(2009) Bora Aktan; Edip Teker; Pervin Ersoy; Aktan, Bora; Teker, Edip; Ersoy, Pervin
Banking historically has been a sector based on individual or institutional client service. In today's browser-based competitive finance world banks need to flourish this client service viewpoint with web-empowered features for keeping clients and attracting prospective ones. Internet has emerged as a key competitive field for the future of financial services. In a sense it is almost synonymous with change. Banks especially commercial ones are swiftly becoming more aware of the importance of internet banking in this era. This topic was selected to dilate the current developments and implications of internet banking in Turkey which has been repeatedly cited as an emerging market with its growing sectors over the period 2005 and 2008. © Bora Aktan Edip Teker and Pervin Ersoy 2009. © 2009 Elsevier B.V. All rights reserved.
CLUSTERING IN EUROPEAN STOCK INDICES IN CRISIS AND NON-CRISIS PERIODS
(VILNIUS GEDIMINAS TECHNICAL UNIV PRESS TECHNIKA, 2014) Sinem Peker; Bora Aktan; Peker, Sinem; Aktan, Bora; J Stankeviciene; R Ginevicius; AV Rutkauskas
Grouping the major indices of stock markets based on their homogeneities may facilitate the selection period for investors especially today's information rich financial world. This paper attempts to detect and group the homogenous stock indices in Europe both throughout the crisis and non-crisis periods. The daily index returns of leading stock exchanges over the period 03.01.2007-09.04.2013 are considered, one of the hierarchical clustering techniques so-called Ward's Method is applied and similar cases are evaluated respectively. Then Wilcoxon signed rank test is employed for the same periods on daily index returns and meaningful differences are found.
Citation - WoS: 8
Citation - Scopus: 10
Decay factor optimisation in time weighted simulation - Evaluating VaR performance
(ELSEVIER, 2011) Sasa Zikovic; Bora Aktan; Aktan, Bora; Zikovic, Sasa; Sašžiković, Saša
We propose an optimisation approach for determining the optimal decay factor in time weighted (BRW) simulation. The backtesting of the BRW simulation which involves different decay factors together with a broad range of competing VaR models has been performed on a sample of seven stock indexes and two commodities: gold and WTI oil. The results obtained show that the BRW simulation with an optimised decay factor relative to the Lopez (1998) size-adjusted function is among the best performing VaR models second only to the conditional extreme value approach (McNeil & Frey 2000). The optimised decay factors are sufficiently stable over time giving economic justification to the optimisation because they do not change over longer time periods. Unlike most of the VaR models tested in the large majority of cases the optimised BRW model passes the Basel II criteria but yields significantly lower VaR forecasts than the extreme value approaches thus resulting in a lower idle capital i.e. lower costs. (C) 2011 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.
Citation - Scopus: 1
Development and future prospects of Islamic banking in Bangladesh
(2009) Bora Aktan; Omar Masood; Muzafar Iqbal; Iqbal, Muzafar; Aktan, Bora; Masood, Omar
The objective of this research is to provide a brief analysis of the performance of Islamic banks in Bangladesh. The Islamic banks in Bangladesh continued to show strong growth since its inception in 1983 to June 2007 Islamic banks maintained and achieved strong position in the key areas like capital adequacy liquidity assets quality management and earnings. The research is based on primary data which has been collected by giving out a questionnaire to the employees of four selected banks at random basis. A sample of 200 respondents took part in this study. © 2009 Inderscience Enterprises Ltd. © 2016 Elsevier B.V. All rights reserved.
Citation - WoS: 9
Citation - Scopus: 13
Empirical examination of REITs in Turkey: An emerging market perspective
(Emerald Group Publishing Ltd, 2009) Bora Aktan; Mustafa Ozturk; Aktan, Bora; Ozturk, Mustafa
Purpose: The aim of this paper is to investigate the risk-return relationship of REITs listed on the Istanbul Stock Exchange (ISE) in order to assess the risk and to find some empirical results for investors within the framework of modern portfolio theory (MPT) using the standard version of the capital asset-pricing model (CAPM) and the single index model (SIM) over the period January 2002-June 2008. Design/methodology/approach: Time series cross-sectional regression and structural literature review are employed. Findings: Results indicate that linearity assumption for both the CAPM and the SIM are rejected. It should be emphasized that the econometrical specification exposed the weaknesses of t-test methodology for testing coefficients of regression due to the non-normality of residuals. Originality/value: Understanding of risk and its resultant impact on the returns and evaluation of risk-return relationship is extremely important for investors. In this regard real estate investment trusts (REITs) as indirect investment instruments are increasingly becoming an important part of investors' diversified portfolios to lessen the risk. The study is the first attempt to explore the structure of REITs in Turkey as an emerging market. © Emerald Group Publishing Limited. © 2009 Elsevier B.V. All rights reserved.
Citation - WoS: 2
Citation - Scopus: 2
Financial Crisis and Economic Downturn
(PREMIER PUBLISHING INC, 2011) Georges Pariente; Bora Aktan; Omar Masood; Pariente, Georges; Aktan, Bora; Masood, Omar
In the recent economic recession Federal Reserve (The FED) and Federal Government have preferred different methods to stimulate the economy. The key factor is the choice of financing each have following to implement their stimulus programs. The FED had opted to use quantitative easing (QE) in increasing money the FED expect to ease credit and investments by commercial banks hence improving the flow of money in the economy. The Federal Government have opted to use US Treasuries in paying vast fiscal stimulus programs to fuel the economy. Both are feasible for the objective each is trying to pursue, however both have long-term disadvantages on the economy. For this purpose the focal point of this paper is to discuss the stimulus programs. Findings show that the current recession is a combination of financial crisis in the banking system and an economic downturn. Hence there is a requirement for the implementation of both fiscal stimulus and countercyclical monetary policies to stimulate the economy.
Citation - Scopus: 44
Financial performance impacts of Corporate Entrepreneurship in Emerging markets: A case of Turkey
(2008) Bora Aktan; Cagri Kaderoglu Bulut; Aktan, Bora; Bulut, Cagri
The aim of this study is to examine the effects of four sub-dimensions of corporate entrepreneurship (hereafter CE) on firms' financial performance in Turkey. The research of this study has been conducted from 2032 respondents of 312 firms which are largely active in Turkey as an emerging economy. Concerning research data have been gathered by the SOBAG Project 104K117 which is supported by The Scientific and Technological Research Council of Turkey. To test the financial performance effects of CE the scales for the dimensions of CE and financial performance have been adopted from the existing literature. A series of reliability and validity tests are conducted for the measurement of the scales. Confirmatory factor analysis and multiple regression analysis have been conducted to test the hypotheses. The results of this research will provide guidelines to help investors managers and also academicians to comprehend the importance of CE well on the way to create financially successful firm performance and sustain it in developing countries. © EuroJournals Inc. 2008. © 2009 Elsevier B.V. All rights reserved.
Citation - WoS: 1
FISCAL STIMULUS AND COUNTERCYCLICAL MONETARY POLICIES: COMMENTARIES ON CURRENT WORLDWIDE DEPRESSION
(NATIONAL ACAD MANAGEMENT, 2010) Omar Masud; Bora Aktan; Masud, Omar; Aktan, Bora
The US and the world in general are inside the worst financial crisis since the Great Depression of the 1930s. Signs of significant problems in the US economy first occurred in late 2006 and the second quarter of 2007 when home prices plummeted and defaults by subprime mortgage borrowers began to affect the mortgage-lending sector entirely as well as other parts of the economy noticeably. These events sent equity markets consumer confidence and overall economic health lower. As. the US government debated over the rescue plan the crisis spread worldwide. As we approached the end of 2009 the world financial system and the economies were still in crisis. firms paper examines the fiscal stimulus and countercyclical monetary policies in the US during the current financial tsunami and the economic downturn. It is fair to say that current recession is a combination of financial crisis in the banking system?: and economic downturn. Hence there is a requirement for implementation of both fiscal stimulus and countercyclical monetary policy to stimulate the economy.
FUND MANAGERS PERFORMANCE IN TURKEY: AN EMPIRICAL EVALUATION
(VILNIUS GEDIMINAS TECHNICAL UNIV PRESS TECHNIKA, 2010) Omar Masood; Bora Aktan; Pinar Evrim Mandaci; Edip Teker; Mandaci, Pinar Evrim; Aktan, Bora; Teker, Edip; Masood, Omar; R Ginevicius; AV Rutkauskas; R Pocs; J Stankeviciene
The aim of this study is to investigate whether some certain characteristics of fund managers help to explain their performance in the context of an emerging market Turkey. We test the statistical significance between two measures of fund manager performance (number of clients and portfolio size) and fund manager characteristics such as education job experience etc by using a survey methodology to obtain primary data and applying the ordered choice models. Both measures of performance are positively correlated with the number of training courses attended and the number of years of experience in a particular organization.
Citation - WoS: 17
Citation - Scopus: 21
Global financial crisis and VaR performance in emerging markets: A case of EU candidate states - Turkey and Croatia
(UNIV RIJEKA FAC ECOMOMICS, 2009) Sasa Zikovic; Bora Aktan; Žiković, Saša; Aktan, Bora
We investigate the relative performance of a wide array of Value at Risk (VaR) models with the daily returns of Turkish (XU100) and Croatian (CROBEX) stock index prior to and during the ongoing financial crisis. In addition to widely used VaR models we also study the behaviour of conditional and unconditional extreme value theory (EVT) and hybrid historical simulation (HPIS) models to generate 95 99 and 99.5% confidence level estimates. Results indicate that during the crisis period all tested VaR model except EVT and HHS models seriously underpredict the true level of risk with EVT models doing so at a higher cost of capital compared to HHS model.
IMPACT OF POLITICAL EVENTS ON EMERGING EQUITY MARKETS: THE CASE OF PAKISTAN
(NATL ACAD MANAGEMENT, 2010) Omar Masood; Bora Aktan; Aktan, Bora; Masood, Omar
In this paper we seek to examine the impact of political events on Pakistan's equity market using mathematical calculations rather than judgements. Questionnaires and interviews were used to collect data from historians economists politicians government officials bankers and stock market analysts in Pakistan. KSE100 index closing figures were extracted in order to monitor movements of stock market before during and after each event. As data is sparse several Bayesian hierarchical models and Markov Chain Monte Carlo (MCMC) techniques were used in the forecasts in order to overcome difficulties associated with obtaining conjecture within this framework.
Citation - Scopus: 14
Islamic banking: a study of customer satisfaction and preferences in non-Islamic countries
(2009) Omar Masood; Bora Aktan; Qazi Awais Amin; Amin, Qazi Awais; Aktan, Bora; Masood, Omar
The analysis of their responses revealed a certain degree of satisfaction of many of the Islamic bank’s facilities and products. The respondents expressed their dissatisfaction with some of the Islamic bank’s services. Although the respondents indicated that they are aware of a number of specific Islamic financial products like Murabaha Musharaka and Mudaraba they show that they do not deal with them. © 2009 Inderscience Enterprises Ltd. © 2016 Elsevier B.V. All rights reserved.
Citation - Scopus: 2
Linkage between company scores and stock returns
(Centre of Sociological Research, 2017) Şaban Çelik; Bora Aktan; Manuela Tvaronavičienė; Pelin Bengitöz; Celik, Saban; Aktan, Bora; Bengitoz, Pelin; Tvaronaviciene, Manuela
Previous studies on company scores conducted at firm-level generally concluded that there exists a positive relation between company scores and stock returns. Motivated by these studies this study examines the relationship between company scores (Corporate Governance Score Economic Score Environmental Score and Social Score) and stock returns both at portfolio-level analysis and firm-level cross-sectional regressions. In portfolio-level analysis stocks are sorted based on each company scores and quintile portfolio are formed with different levels of company scores. Then existence and significance of raw returns and risk-adjusted returns difference between portfolios with the extreme company scores (portfolio 10 and portfolio 1) is tested. In addition firm-level cross-sectional regression is performed to examine the significance of company scores effects with control variables. While portfolio-level analysis results indicate that there is no significant relation between company scores and stock returns, firm-level analysis indicates that economic environmental and social scores have effect on stock returns however significance and direction of these effects change depending on the included control variables in the cross-sectional regression. © 2021 Elsevier B.V. All rights reserved.
MARKET PORTFOLIO IMPACT ON TEXTILE WEARING APPAREL AND LEATHER INDUSTRIES IN TURKEY: SHARPE DIAGONAL MODEL APPROACH
(NATIONAL ACAD MANAGEMENT, 2010) Bora Aktan; Jia Wang; Sasa Zikovic; Wang, Jia; Zikovic, Sasa; Aktan, Bora
In this paper we have examined the use of the Sharpe diagonal model as a way to assess the risk of the textile wearing apparel and leather industries in Turkey within the framework of the CAPM over the period between January 2002 and June 2008 when there is no financial crises and big shocks in the market. The purposes of this paper are threefold: first is to examine the explanatory power of market portfolio return on stock returns in Istanbul Stock Exchange (ISE) second is to investigate how the CAPM performs on the sample of stocks in those industries and third is to explore if the CAPM is a valid model to estimate the expected returns. The results show that the CAPM is not rejected in the second pass regression whereas tests of alphas and betas partially validate some of its assumptions.