Umutlu, Mehmet

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Profile URL
https://gcris.yasar.edu.tr/handle/123456789/12260
Name Variants
Job Title
Prof.Dr.
Email Address
Main Affiliation
01.01.06.04. Uluslararası Ticaret ve Finansman Bölümü
Status
Former Staff
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ORCID ID
0000-0001-6665-3213
Scopus Author ID
Turkish CoHE Profile ID
Google Scholar ID
KG8uEl0AAAAJ
WoS Researcher ID
IWM-3632-2023

Sustainable Development Goals

NO POVERTY1
NO POVERTY
0
Research Products
ZERO HUNGER2
ZERO HUNGER
1
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GOOD HEALTH AND WELL-BEING3
GOOD HEALTH AND WELL-BEING
0
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QUALITY EDUCATION4
QUALITY EDUCATION
0
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GENDER EQUALITY5
GENDER EQUALITY
0
Research Products
CLEAN WATER AND SANITATION6
CLEAN WATER AND SANITATION
0
Research Products
AFFORDABLE AND CLEAN ENERGY7
AFFORDABLE AND CLEAN ENERGY
0
Research Products
DECENT WORK AND ECONOMIC GROWTH8
DECENT WORK AND ECONOMIC GROWTH
1
Research Products
INDUSTRY, INNOVATION AND INFRASTRUCTURE9
INDUSTRY, INNOVATION AND INFRASTRUCTURE
0
Research Products
REDUCED INEQUALITIES10
REDUCED INEQUALITIES
6
Research Products
SUSTAINABLE CITIES AND COMMUNITIES11
SUSTAINABLE CITIES AND COMMUNITIES
0
Research Products
RESPONSIBLE CONSUMPTION AND PRODUCTION12
RESPONSIBLE CONSUMPTION AND PRODUCTION
0
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CLIMATE ACTION13
CLIMATE ACTION
0
Research Products
LIFE BELOW WATER14
LIFE BELOW WATER
0
Research Products
LIFE ON LAND15
LIFE ON LAND
0
Research Products
PEACE, JUSTICE AND STRONG INSTITUTIONS16
PEACE, JUSTICE AND STRONG INSTITUTIONS
0
Research Products
PARTNERSHIPS FOR THE GOALS17
PARTNERSHIPS FOR THE GOALS
5
Research Products
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Documents

25

Citations

313

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Scholarly Output

31

Articles

21

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Supervised MSc Theses

6

Supervised PhD Theses

4

WoS Citation Count

181

Scopus Citation Count

180

Patents

0

Projects

0

WoS Citations per Publication

5.84

Scopus Citations per Publication

5.81

Open Access Source

5

Supervised Theses

10

JournalCount
SSRN Electronic Journal7
Applied Economics2
Ege Akademik Bakış1
Finance Research Letters1
International Review of Financial Analysis1
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  • Thumbnail Image
    Article
    Citation - WoS: 12
    Citation - Scopus: 13
    Size matters everywhere: Decomposing the small country and small industry premia
    (Elsevier Inc. usjcs@elsevier.com, 2018) Adam Zaremba; Mehmet Umutlu; Zaremba, Adam; Umutlu, Mehmet
    We explore the country and industry size effects by decomposing market value into four components: short-term return representing momentum, long-run return representing reversal, composite issuance, and lagged market value. We examine the implications of this decomposition for the country and industry size premia within a sample of 51 equity markets for the years 1973–2017. We confirm a significant size effect across countries and uncover an industry size effect: small industries markedly outperform large industries. While the cross-sectional dispersion in market value is determined almost exclusively by the lagged market value component the country and industry size premia have two prmary drivers: lagged market value and long-run reversal. Our analysis also discovers an industry issuance effect and a remarkable January effect inboth country and industry returns. Finally we also shed some light on the vanishing small country effect in the last decade. © 2018 Elsevier B.V. All rights reserved.
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    Article
    YSA DVM ve Karar Ağacı ile Tarımsal Emtiaların Fiyat Endekslerinin Tahminlenmesi: Kuru Üzüm Örneği
    (2018) Burcu KARAÖZ; IKBAL ECE DIZBAY; sevkinaz Gumusoglu; Ercin Guducu; Karaöz, Burcu; Guducu, Ercin; Dızbay, Ikbal Ece; Gumusoglu, Sevkinaz
    Emtia fiyat endekslerinin başarılı bir şekilde tahminlenmesi ekonomik aktörlere doğru alım satım kararları verebilmeleri için fayda sağlamaktadır. Türkiye’deki ticaret borsalarında işlem gören tarımsal ürünlerden biri olan kuru üzüm fiyatlarının oynak değişkenler kullanılarak tahminlenmesinin incelendiği çalışmada üç temel soru üzerinde durulmuştur. İç karışıklığın yüksek olduğu ülkelerde sosyal ve politik olaylar kuru üzüm fiyatlarını etkiler mi? Oynaklığı yüksek olan değişkenler kullanılarak kuru üzüm fiyat endeksleri tahminlenebilir mi? Son olarak bu tip bir çalışmada Yapay Sinir Ağları (YSA) Karar Ağacı ve Destek Vektör Makineleri (DVM) yöntemlerinden hangisinin tahmin performansı daha yüksektir? Bu amaçla oluşturulan tahmin modeline YSA KA ve DVM yöntemleri uygulanmış ve yöntemlerin tahmin performansları karşılaştırılmıştır. Uygulama sonuçları oynak değişkenler ile sosyal ve politik olayların kuru üzüm fiyatlarının tahminlenmesinde kullanılabileceğini ve ilgili modelde DVM yönteminin en yüksek doğruluk oranını verdiğini göstermiştir.
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    Doctoral Thesis
    Essays on Financial Development in Emerging Countries
    (2022) Gültekin, Melis; Umutlu, Mehmet
    Financial development plays a part in the enhancement of growth, and its goal is to decrease poverty. If a country develops its financial system, it will improve its functions by improving public services, productivity, wealth, and increasing savings, and access to credits. In the first chapter of this dissertation, financial development and its determinants are explained in detail. It is discussed why financial development is important for emerging countries, and how it can be accomplished and sustained. In the second chapter, the association between financial development and financial openness is analyzed by using panel data regression for 27 emerging countries from 1996 to 2016. The second Chapter especially emphasizes three different financial openness measures which are trade, capital account and stock market openness. This issue is particularly important for emerging markets trying to improve their financial system to raise much-needed capital for investment projects. The financial development variable is measured by three different ratios: stock market capitalization/GDP, liquid liabilities/GDP, and private credits/GDP. Alternative measures are also employed for trade and capital account openness. Moreover, capital flow-based and valuation-based variables used in this chapter for measuring stock market openness have not been employed to explain financial development in the literature before. Empirical results suggest that openness to trade and openness to the capital account are the key factors for accomplishing financial development. These outcomes are also robust to the use of alternative financial development and financial openness variables and after controlling for institutional quality and its sub-components. The results of this chapter will have implications for policymakers in emerging markets who endeavor to raise the depth of their financial markets for easier and cheaper access to funds. In Chapter Three, the long-run association between financial development and economic growth is investigated by performing the Johansen-Fisher panel cointegration method for 27 emerging countries between the years 1980 to 2018. The Vector Error Correction Method (VECM) is also applied to determine the direction of a causal relationship between economic growth and financial development The two components of the overall financial development index developed by Svirydzenka (2016) (financial institutions index and financial markets index) are used to discover through which channels economic growth has a long-term association with financial development. This multi-dimensional variable explains the nature of financial development more inclusively than other alternative measures. This chapter's empirical outcomes suggest that there is a significant long-run relationship between economic growth, the overall financial development index, and its sub-indices. Likewise, outcomes from panel VECMs display a unidirectional causality between economic growth and the overall financial development index whereas bidirectional causality occurs among economic growth, financial institutions and financial markets indices. These outcomes are also robust to the use of Pedroni and Kao panel cointegration tests. The outcomes reveal that both financial markets and financial institutions have a significant effect on economic growth in the long run. Hence, the results of this chapter have implications for policymakers in emerging markets who try to develop economic growth.
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    Article
    Citation - WoS: 25
    Citation - Scopus: 28
    Idiosyncratic volatility and expected returns at the global level
    (CFA Institute info@cfainstitute.org, 2015) Mehmet Umutlu; Umutlu, Mehmet
    The author investigated the existence and significance of a global cross-sectional relation between idiosyncratic volatility and expected returns by introducing a global idiosyncratic volatility measure and globally diversified test assets. He found that portfolios with the highest and lowest global idiosyncratic volatility do not earn significantly different average returns indicating no link between global idiosyncratic volatility and expected returns. His results show that global diversification is effective in stabilizing the returns of global test assets and that benefits from global diversification can be gained by diversifying across either countries or industries. © 2017 Elsevier B.V. All rights reserved.
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    Article
    Citation - WoS: 6
    Citation - Scopus: 7
    Strategies can be expensive too! The value spread and asset allocation in global equity markets
    (ROUTLEDGE JOURNALS TAYLOR & FRANCIS LTD, 2018) Adam Zaremba; Mehmet Umutlu; Zaremba, Adam; Umutlu, Mehmet
    Is the value spread useful for forecasting returns on quantitative equity strategies for country selection? To test this we examine a sample of 120 country-level equity strategies replicated within 72 stock markets for the years 1996-2017. The value spread is a powerful and robust predictor of strategy returns in the cross-section subsuming other methods based on momentum reversal or seasonality. Going long (short) the strategies with the broadest (narrowest) value spread produces significant four-factor model alphas markedly outperforming an equal-weighted benchmark of all of the strategies. The results are robust to many considerations.
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    Master Thesis
    Measuring Model Independent Global Idiosyncratic Volatility
    (2017) Demir, Efe; Umutlu, Mehmet
    Borsada işlem gören hisse senetlerinin getirileri sürekli olarak dalgalanmaktadır. Yatırımcılar ve portföy yöneticileri ise sahip oldukları finansal enstrümanlardan bekledikleri getirileri varlıkların volatilitelerine göre belirlemektedir. Finansal varlıkların volatilite seviyesi ve volatilitenin zaman içindeki seyri yatırımcıların yatırım kararlarını tümüyle etkilemektedir. Bu nedenle volatilitenin doğru bir şekilde ölçülmesi büyük önem taşımaktadır. Bu tez çalışmasının amaçlarından biri herhangi bir varlık fiyatlama modeline dayanmadan global düzeyde sistematik olmayan volatiliteyi ölçebilmektir. Literatürde geliştirilmiş farklı varlık fiyatlama modelleri olduğundan, her bir varlık fiyatlama modelinden elde edilecek sistematik olmayan volatilite farklı olacaktır. Bu da, modele bağlı olarak elde edilen farklı volatilite ölçütlerinden hangisinin geçerli olduğu konusunda bir belirsizliğe yol açacaktır. Çalışmanın bir diğer amacı ise global düzeyde sistematik olmayan volatilite seviyesinin zaman içinde değişip değişmediğinin test edilmesidir. Çalışma sonucunda, global düzeyde sistematik olmayan volatilitenin kriz zamanlarında sıçramalar yapmış olduğu görülse de, zaman içinde uzun dönem ortalamasına geri döndüğü ve durağan olduğu tespit edilmiştir.
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    Master Thesis
    Fon giderleri etkisi altında BIST'deki fonların performans analizi
    (2015) Gören, Seher; Umutlu, Mehmet
    Investing in mutual and pension funds provides many advantages. Funds have become the most preferred investment instrumets by virtue of reducing the risk through diversification, providing market foresight with professional management and allowing fund investors to be exempt from tax. Increases in both the size and the number of funds due to their popularity brings the need for performance measurement. In this thesis, performance of fund groups which contain 9 kinds of A Type, 9 kinds of B Type mutual funds along with A Type (total), B Type (total) mutual funds and pension (total) funds are measured at daily and monthly frequencies for the period between July 2001 and December 2011. The research period is shorter for the funds whose trading dates do not exactly match with the full research period. Different from many studies aiming to measure fund performance, this study takes into account the expense ratios in calculating the net returns of fund groups. Whether the fund groups provide return commensurate with their risk is tested by using Capital Asset Pricing Model (CAPM) and the Fama – French three factor model. Jensen Alpha which is a risk-adjusted performance measure is obtained from the aforementioned asset pricing models and is used to test whether fund groups provide abnormal return. Consequently, in contrast to the expectations a great majority of funds evaluated under the control of expenses do not display high performance.
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    Article
    Citation - WoS: 13
    Citation - Scopus: 15
    Stock-return volatility and daily equity trading by investor groups in Korea
    (Elsevier, 2015) Mehmet Umutlu; Mark B. Shackleton; Shackleton, Mark B.; Umutlu, Mehmet
    We examine the short-run relationship between stock-return volatility and daily equity trading by several investor groups in the Korean Stock Exchange. We also investigate whether trade characteristics and trading styles can explain the potential distinct volatility effects of these investor groups. For large stocks we find that whether a trade is a purchase or a sale and whether it is a contrarian or a momentum trade does not play a role in the relation between volatility and trading. It is the trading of informed institutional investors against non-informed individual investors that drives volatility and produces a negative volatility effect. We further show that net foreign trading has an increasing impact on volatility though it is not always significant. Our results are robust to alternative measures of volatility and obtained after controlling for volatility persistency total volume and lagged stock returns. © 2015 Elsevier B.V. All rights reserved.
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    Article
    Citation - WoS: 13
    Citation - Scopus: 13
    Alpha momentum and alpha reversal in country and industry equity indexes
    (ELSEVIER, 2019) Adam Zaremba; Mehmet Umutlu; Andreas Karathanasopoulos; Karathanasopoulos, Andreas; Zaremba, Adam; Umutlu, Mehmet
    Do past alphas predict future country and industry returns? Examination of equity indexes from 51 stock markets between 1973 and 2018 allows us to demonstrate new return patterns in the cross-section of country and industry returns. Past short-term (long-term) alphas positively (negatively) predict future returns. These phenomena can be translated into effective international equity allocation strategies producing economically and statistically significant raw and risk-adjusted returns. The profitability is robust to many considerations including alternative alpha models the role of trading costs different holding periods or subsample analyses. Furthermore the alpha momentum subsumes its return-based counterpart.
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    Doctoral Thesis
    Ülkeler veya endüstriler arasındaki korelasyon yapısı ve uluslararası çeşitlendirme ve portföy yönetimi için çıkarımları
    (2021) Yargı, Seher Gören; Umutlu, Mehmet
    Diversification is an important factor in risk reduction for investors and portfolio managers. Return correlations among international markets are important for determining the diversification strategy. Analysis of correlation structure among international assets helps in analyzing the effectiveness of international portfolio diversification. The main purpose of this study is to investigate the effectiveness of international diversification options through local industry or local country indexes and to examine how well these correlations predict future index returns. Firstly, monthly average pair-wise return correlations, based on two distinct samples of local industry and local country indexes, are calculated using daily index-return data within a month over the research period. Then, monthly average correlations against global market return, implied correlations from asset pricing models with a single factor, with Fama-French three factors, with six factors and idiosyncratic correlations are calculated over the research period. The time-series behavior of average correlations is examined using stationarity tests. Tests for the stationarity of the average correlation series have implications for international investors seeking efficient diversification. The average correlations are examined to compare local industries and local countries by conducting mean difference tests. Developed and emerging countries are also compared to examine their diversification potential. Secondly, monthly sample correlations, implied correlations from the global Fama-French three-factor model and idiosyncratic correlations from the global Fama-French three-factor model are calculated based on local industry and local country indexes for an extended data set over the new research period. Cross-sectional Fama-Macbeth regression analyses are employed to examine the relationship between returns and correlations. Further details are then given by conducting sub-sample and sub-period analyses. The results show that correlations do not rise permanently over time. Therefore, international diversification can still be applied to reduce portfolio risk and stabilize asset returns. The results also show that diversifying across local industries rather than local countries is more efficient. Average slope estimates of correlation coefficients from Fama-MacBeth regressions for local industry indexes are significantly different from zero whereas those for local country indexes do not differ from zero. Thus, correlation coefficients for local industry indexes have substantial predictive power on future returns. Key Words: international portfolio diversification, return correlation, portfolio management, local industry index, local country index