Details about Ahmet Sensoy

Access statistics for papers by Ahmet Sensoy.

Last updated 2021-03-06. Update your information in the RePEc Author Service.

Short-id: pse604

Working Papers

2021

1. Dynamics of Return and Liquidity (Co)Jumps in Emerging Foreign Exchange Markets
   MPRA Paper, University Library of Munich, Germany
2. Interest Rate Uncertainty and the Predictability of Bank Revenues
   Working Papers, Copenhagen Business School, Department of Economics
   Also in Working Papers, University of Pretoria, Department of Economics (2020)
3. Statistical arbitrage: Factor investing approach
   MPRA Paper, University Library of Munich, Germany

2020

4. Broker Network Connectivity and the Cross-Section of Expected Stock Returns
   MPRA Paper, University Library of Munich, Germany
5. Endogenous Financial Uncertainty and Macroeconomic Volatility: Evidence from the United States
   MPRA Paper, University Library of Munich, Germany

2019

6. Intraday Volume-Volatility Nexus in the FX Markets: Evidence from an Emerging Market
   Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey View citations (2)
   See also Journal Article in International Review of Financial Analysis (2019)

2015

7. European economic and monetary union sovereign debt markets
   Policy Research Working Paper Series, The World Bank View citations (4)

2014

8. Dynamic spanning trees in stock market networks: The case of Asia-Pacific
   Working Papers Series, Central Bank of Brazil, Research Department View citations (18)
   See also Journal Article in Physica A: Statistical Mechanics and its Applications (2014)

2013

9. How much random does European Union walk? A time-varying long memory analysis
   Working Papers Series, Central Bank of Brazil, Research Department View citations (1)

2012

10. Analysis on Runs of Daily Returns in Istanbul Stock Exchange
    MPRA Paper, University Library of Munich, Germany

Journal Articles

2021

1. Covid-19 pandemic and tail-dependency networks of financial assets
   Finance Research Letters, 2021, 38, (C)
2. Financial contagion during COVID–19 crisis
   Finance Research Letters, 2021, 38, (C)
3. Prediction of cryptocurrency returns using machine learning
   Annals of Operations Research, 2021, 297, (1), 3-36

2020

4. Applications of Machine Learning Methods in Complex Economics and Financial Networks
   Complexity, 2020, 2020, 1-2
5. Does bitcoin co-move and share risk with Sukuk and world and regional Islamic stock markets? Evidence using a time-frequency approach
   Research in International Business and Finance, 2020, 53, (C) View citations (4)
6. Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices
   Resources Policy, 2020, 69, (C) View citations (1)
7. Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market
   International Review of Financial Analysis, 2020, 68, (C)
8. Intraday efficiency-frequency nexus in the cryptocurrency markets
   Finance Research Letters, 2020, 35, (C) View citations (3)
9. Regulatory changes and long-run relationships of the EMU sovereign debt markets: Implications for future policy framework
   International Review of Law and Economics, 2020, 63, (C) View citations (1)
10. Riding the Wave of Crypto-Exuberance: The Potential Misusage of Corporate Blockchain Announcements
    Technological Forecasting and Social Change, 2020, 159, (C) View citations (3)
11. The development of Bitcoin futures: Exploring the interactions between cryptocurrency derivatives
    Finance Research Letters, 2020, 34, (C) View citations (12)
12. The financial market effects of international aviation disasters
    International Review of Financial Analysis, 2020, 69, (C) View citations (3)
13. The impact of blockchain related name changes on corporate performance
    Journal of Corporate Finance, 2020, 65, (C) View citations (2)
14. The influence of Bitcoin on portfolio diversification and design
    Finance Research Letters, 2020, 37, (C) View citations (1)
15. The relationship between implied volatility and cryptocurrency returns
    Finance Research Letters, 2020, 33, (C) View citations (5)
16. U.S. equity and commodity futures markets: Hedging or financialization?
    Energy Economics, 2020, 86, (C) View citations (2)

2019

17. Commonality in ask-side vs. bid-side liquidity
    Finance Research Letters, 2019, 28, (C), 198-207 View citations (2)
18. Dynamic integration and network structure of the EMU sovereign bond markets
    Annals of Operations Research, 2019, 281, (1), 297-314 View citations (6)
19. Energy, precious metals, and GCC stock markets: Is there any risk spillover?
    Pacific-Basin Finance Journal, 2019, 56, (C), 45-70 View citations (5)
20. Financial Networks 2019
    Complexity, 2019, 2019, 1-2
21. High-frequency asymmetric volatility connectedness between Bitcoin and major precious metals markets
    The North American Journal of Economics and Finance, 2019, 50, (C) View citations (6)
22. Intraday downward/upward multifractality and long memory in Bitcoin and Ethereum markets: An asymmetric multifractal detrended fluctuation analysis
    Finance Research Letters, 2019, 31, (C), 19-25 View citations (15)
23. Intraday volume-volatility nexus in the FX markets: Evidence from an emerging market
    International Review of Financial Analysis, 2019, 64, (C), 1-12 View citations (2)
    See also Working Paper (2019)
24. The effectiveness of technical trading rules in cryptocurrency markets
    Finance Research Letters, 2019, 31, (C), 32-37 View citations (13)
25. The inefficiency of Bitcoin revisited: A high-frequency analysis with alternative currencies
    Finance Research Letters, 2019, 28, (C), 68-73 View citations (49)

2018

26. A tale of two risks in the EMU sovereign debt markets
    Economics Letters, 2018, 172, (C), 102-106
27. Financial Networks
    Complexity, 2018, 2018, 1-2 View citations (13)
28. Implied volatility indices: A review and extension in the Turkish case
    International Review of Financial Analysis, 2018, 60, (C), 151-161 View citations (1)

2017

29. Analysing dynamic linkages and hedging strategies between Islamic and conventional sector equity indexes
    Applied Economics, 2017, 49, (25), 2456-2479 View citations (5)
30. Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications
    Energy Economics, 2017, 67, (C), 454-475 View citations (29)
31. Firm size, ownership structure, and systematic liquidity risk: The case of an emerging market
    Journal of Financial Stability, 2017, 31, (C), 62-80 View citations (6)
32. Not all emerging markets are the same: A classification approach with correlation based networks
    Journal of Financial Stability, 2017, 33, (C), 163-186 View citations (4)
33. Predictability dynamics of emerging sovereign CDS markets
    Economics Letters, 2017, 161, (C), 5-9 View citations (5)

2016

34. Commonality in liquidity: Effects of monetary policy and macroeconomic announcements
    Finance Research Letters, 2016, 16, (C), 125-131 View citations (9)
35. Do sovereign rating announcements have an impact on regional stock market co-movements? The case of Central and Eastern Europe
    Economic Systems, 2016, 40, (4), 552-567 View citations (2)
36. Dynamic efficiency of stock markets and exchange rates
    International Review of Financial Analysis, 2016, 47, (C), 353-371 View citations (8)
37. Impact of sovereign rating changes on stock market co-movements: the case of Latin America
    Applied Economics, 2016, 48, (28), 2600-2610 View citations (2)
38. Systematic Risk in Conventional and Islamic Equity Markets
    International Review of Finance, 2016, 16, (3), 457-466 View citations (14)

2015

39. An alternative way to track the hot money in turbulent times
    Physica A: Statistical Mechanics and its Applications, 2015, 419, (C), 215-220 View citations (1)
40. Cross-sectoral interactions in Islamic equity markets
    Pacific-Basin Finance Journal, 2015, 32, (C), 1-20 View citations (31)
41. Dynamic convergence of commodity futures: Not all types of commodities are alike
    Resources Policy, 2015, 44, (C), 150-160 View citations (31)
42. Predictability dynamics of Islamic and conventional equity markets
    The North American Journal of Economics and Finance, 2015, 31, (C), 222-248 View citations (21)
43. Shaping the manufacturing industry performance: MIDAS approach
    Chaos, Solitons & Fractals, 2015, 77, (C), 286-290 View citations (1)
44. Time-varying long term memory in the European Union stock markets
    Physica A: Statistical Mechanics and its Applications, 2015, 436, (C), 147-158 View citations (18)

2014

45. A comparative analysis of the dynamic relationship between oil prices and exchange rates
    Journal of International Financial Markets, Institutions and Money, 2014, 32, (C), 397-414 View citations (35)
46. A view to the long-run dynamic relationship between crude oil and the major asset classes
    International Review of Economics & Finance, 2014, 33, (C), 286-299 View citations (15)
47. Constructing a financial fragility index for emerging countries
    Finance Research Letters, 2014, 11, (4), 410-419 View citations (6)
48. Dynamic relationship between Turkey and European countries during the global financial crisis
    Economic Modelling, 2014, 40, (C), 290-298 View citations (9)
49. Dynamic spanning trees in stock market networks: The case of Asia-Pacific
    Physica A: Statistical Mechanics and its Applications, 2014, 414, (C), 387-402 View citations (11)
    See also Working Paper (2014)
50. Effective transfer entropy approach to information flow between exchange rates and stock markets
    Chaos, Solitons & Fractals, 2014, 68, (C), 180-185 View citations (5)
51. Effects of volatility shocks on the dynamic linkages between exchange rate, interest rate and the stock market: The case of Turkey
    Economic Modelling, 2014, 43, (C), 448-457 View citations (15)
52. Impact of short selling activity on market dynamics: Evidence from an emerging market
    Journal of Financial Stability, 2014, 15, (C), 53-62 View citations (7)
53. Time-varying long range dependence in energy futures markets
    Energy Economics, 2014, 46, (C), 318-327 View citations (18)

2013

54. Analysis of cross-correlations between financial markets after the 2008 crisis
    Physica A: Statistical Mechanics and its Applications, 2013, 392, (20), 5027-5045 View citations (13)
55. Dynamic relationship between precious metals
    Resources Policy, 2013, 38, (4), 504-511 View citations (51)
56. Effects of monetary policy on the long memory in interest rates: Evidence from an emerging market
    Chaos, Solitons & Fractals, 2013, 57, (C), 85-88 View citations (3)
57. Generalized Hurst exponent approach to efficiency in MENA markets
    Physica A: Statistical Mechanics and its Applications, 2013, 392, (20), 5019-5026 View citations (17)
58. Time-varying long range dependence in market returns of FEAS members
    Chaos, Solitons & Fractals, 2013, 53, (C), 39-45 View citations (2)