Volume 9 No:36
Subjects
Detecting the Manipulation of Financial Information by Using Artificial Neural Network Models
Güray Küçükkocaoğlu & Yasemin Keskin Benli & Cemal Küçüksözen
Impact of Audit Opinions on Stock Returns in
Istanbul Stock Exchange (ISE)
Hakan Aygören & Süleyman Uyar
Pricing Mortgage Assets
Şerafettin SEVİM & Birol YILDIZ & Soner AKKOÇ
Global Capital Markets
ISE Market Indicators
DETECTING THE MANIPULATION OF FINANCIAL
INFORMATION BY USING ARTIFICIAL NEURAL NETWORK MODELS
Güray KÜÇÜKKOCAOĞLU
Yasemin KESKİN BENLİ
Cemal KÜÇÜKSÖZEN
Abstract
Despite their widespread usage, models of accrual based methods in detecting false financial statements have been subject to significant criticism. An alternative to the accruals approach is to use binary probit and logit models and some other multivariate statistical techniques where they combine accruals and some other financial ratios and/or indexes. The objective of this paper is to explain the historical evolution of the accrual based methods where they provide some evidence of earnings management practices and than extend to some other alternative methods in detecting manipulative practices in financial reporting. This paper also, introduces a new method that has been widely used in detecting financial distress companies. An Artificial Neural Network Model, which is based on the concept of using artificial neurons, to estimate the manipulative financial reporting practices of the companies listed in the Istanbul Stock Exchange (ISE). The results indicate that the proposed Artificial Neural Network Model outperforms the traditional statistical techniques used in earnings manipulation practices.
IMPACT OF AUDIT OPINIONS ON STOCK RETURNS IN
ISTANBUL STOCK EXCHANGE (ISE)
Hakan AYGÖREN
Süleyman UYAR
Abstract
The purpose of this study is to analyze the impact of audit opinions on stock returns in the Istanbul Stock Exchange (ISE). In this sense, abnormal returns
are calculated in order to see the reaction of the market to audit opinions around the issuance date. Data used in the study were obtained from the audit
reports of 2004 and 2005 for randomly selected 101 companies traded in the ISE. We have used the event study methodology in our work, and maintain
that the capital market is efficient at the intermediate level.
Based on the empirical findings, investors obtained abnormal or excess returns over the event window. It is also concluded that unqualified and qualified audit opinions do provide different information to investors. It should be also indicated that the perception of investors to audit reports in different time periods are dissimilar. Overall, from the findings it can be concluded that the ISE cannot be classified as a semi-strong form efficient market.
PRICING MORTGAGE ASSETS
Cem KARAKAŞ
Onur ÖZSAN
Abstract
In this study, the weak form efficiency of the ISE is tested with the operational strategy which the overreaction hypothesis projects. The period between January 1, 1988 and December 31, 2002 is examined. The total number of 4 periods consisted of 36 months, were examined. According to the results of the empirical study show that the Winner portfolio provides lower yield with a ratio of 50,57 %, which is below the market whereas the Loser portfolio produces higher yield with a ratio of 66,11 %, above the market. The findings gathered by under the operational strategy which overreaction hypothesis foresees have shown that the ISE is not a weak form of efficient market. The side effect is seen to become more evident in the fourth period including financial crisis that prevailed in Turkey between November 2000 and February 2001.
ASYMMETRIC RESPONSES IN VOLATILITY BETWEEN POSITIVE AND NEGATIVE SHOCKS:
NEW EVIDENCE FROM TURKISH DATA BY USING TAR-GARCH MODEL
Cüneyt AKAR
Abstract
The aim of this study is to investigate the asymmetric responses in volatility between positive and negative shocks in Turkish stock market. The daily
closing values of Istanbul Stock Exchange 100 Index (ISE-100), cover the period from January 02, 1990 to December 29, 2004, are analyzed by using
threshold autoregressive GARCH (TAR-GARCH) model. This study is the first one which examines the asymmetric volatility of stock index return in
Turkish stock market by using TAR-GARCH model with daily data for a period of fifteen years. Results show that stock return volatility reacts
asymmetrically to past information at a lag of one time period in the Turkish stock market.
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