Details about Ahmet Sensoy

Access statistics for papers by Ahmet Sensoy.

Last updated 2024-11-07. Update your information in the RePEc Author Service.

Short-id: pse604

Working Papers

2023

1. Unknown Unknowns: Knightian Uncertainty and Corporate Opportunistic Earnings Management
   Post-Print, HAL

2021

2. Broker Network Connectivity and the Cross-Section of Expected Stock Returns
   Working Papers, Department of Research, Ipag Business School
   Also in MPRA Paper, University Library of Munich, Germany (2020)
3. Determinants of ICO Success and Post-ICO Performance
   Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey
4. Dynamics of Return and Liquidity (Co)Jumps in Emerging Foreign Exchange Markets
   MPRA Paper, University Library of Munich, Germany View citations (6)
   Also in Working Papers, Department of Research, Ipag Business School (2020)
   See also Journal Article Dynamics of return and liquidity (co) jumps in emerging foreign exchange markets, Journal of International Financial Markets, Institutions and Money, Elsevier (2021) View citations (6) (2021)
5. Financial contagion during COVID–19 crisis
   Post-Print, HAL View citations (18)
   See also Journal Article Financial contagion during COVID–19 crisis, Finance Research Letters, Elsevier (2021) View citations (71) (2021)
6. 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)
   See also Journal Article Interest rate uncertainty and the predictability of bank revenues, Journal of Forecasting, John Wiley & Sons, Ltd. (2022) View citations (2) (2022)
7. Statistical Arbitrage: Factor Investing Approach
   Working Papers, Department of Research, Ipag Business School
   Also in MPRA Paper, University Library of Munich, Germany (2021)
   See also Journal Article Statistical arbitrage: factor investing approach, OR Spectrum: Quantitative Approaches in Management, Springer (2023) (2023)

2020

8. Endogenous Financial Uncertainty and Macroeconomic Volatility: Evidence from the United States
   MPRA Paper, University Library of Munich, Germany

2019

9. 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 (8)
   See also Journal Article Intraday volume-volatility nexus in the FX markets: Evidence from an emerging market, International Review of Financial Analysis, Elsevier (2019) View citations (7) (2019)
10. Order Flow Persistence in Equity Spot and Futures Markets: Evidence from a Dynamic Emerging Market
    Working Papers, Department of Research, Ipag Business School
11. Regulatory Changes and Long-run Relationships of the EMU Sovereign Debt Markets: Implications for Future Policy Framework
    Working Papers, Department of Research, Ipag Business School
    See also Journal Article Regulatory changes and long-run relationships of the EMU sovereign debt markets: Implications for future policy framework, International Review of Law and Economics, Elsevier (2020) View citations (1) (2020)

2018

12. A Tale of Two Risks in the EMU Sovereign Debt Markets
    Working Papers, Department of Research, Ipag Business School View citations (1)
    See also Journal Article A tale of two risks in the EMU sovereign debt markets, Economics Letters, Elsevier (2018) View citations (1) (2018)
13. Dynamic Integration and Network Structure of the EMU Sovereign Bond Markets
    Working Papers, Department of Research, Ipag Business School View citations (4)
    See also Journal Article Dynamic integration and network structure of the EMU sovereign bond markets, Annals of Operations Research, Springer (2019) View citations (19) (2019)

2015

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

2014

15. Dynamic spanning trees in stock market networks: The case of Asia-Pacific
    Working Papers Series, Central Bank of Brazil, Research Department View citations (30)
    See also Journal Article Dynamic spanning trees in stock market networks: The case of Asia-Pacific, Physica A: Statistical Mechanics and its Applications, Elsevier (2014) View citations (28) (2014)

2013

16. 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

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

Journal Articles

2024

1. Anatomy of sovereign yield behaviour using textual news
   Research in International Business and Finance, 2024, 71, (C)
2. Assessing the US financial sector post three bank collapses: Signals from fintech and financial sector ETFs
   International Review of Financial Analysis, 2024, 91, (C) View citations (5)
3. Career aspirations and financial planning of young people in family businesses
   Research in International Business and Finance, 2024, 70, (PB)
4. Climate change exposure and cost of equity
   Energy Economics, 2024, 130, (C)
5. Commonality in volatility among green, brown, and sustainable energy indices
   Finance Research Letters, 2024, 64, (C)
6. Connectivity and spillover during crises: Highlighting the prominent and growing role of green energy
   Energy Economics, 2024, 129, (C) View citations (3)
7. Excessive financialization and “Original Sin Theory”: Redemption from corporate reputation
   Research in International Business and Finance, 2024, 70, (PA)
8. Extant linkages between Shanghai crude oil and US energy futures: Insights from spillovers of higher-order moments
   Energy Economics, 2024, 136, (C)
9. Financial fusion: Bridging Islamic and Green investments in the European stock market
   International Review of Financial Analysis, 2024, 94, (C)
10. Green cryptocurrencies and portfolio diversification in the era of greener paths
    Renewable and Sustainable Energy Reviews, 2024, 191, (C) View citations (2)
11. Higher-order moment connectedness between stock and commodity markets and portfolio management
    Resources Policy, 2024, 89, (C) View citations (1)
12. How does the time-varying dynamics of spillover between clean and brown energy ETFs change with the intervention of climate risk and climate policy uncertainty?
    International Review of Economics & Finance, 2024, 93, (PA), 442-468 View citations (2)
13. Impact of media hype and fake news on commodity futures prices: A deep learning approach over the COVID-19 period
    Finance Research Letters, 2024, 59, (C) View citations (1)
14. Investor attention and cryptocurrency market liquidity: a double-edged sword
    Annals of Operations Research, 2024, 334, (1), 815-856
15. Investor attention and environmental information disclosure quality: Evidence from heavy pollution industries in China
    International Journal of Finance & Economics, 2024, 29, (3), 2971-2990
16. Investor attention and idiosyncratic risk in cryptocurrency markets
    The European Journal of Finance, 2024, 30, (16), 1932-1950
17. Over-expected shocks and financial market security: Evidence from China's markets
    Research in International Business and Finance, 2024, 68, (C)
18. Robust portfolio optimization with fuzzy TODIM, genetic algorithm and multi-criteria constraints
    Annals of Operations Research, 2024, 337, (1), 1-22
19. STATISTICAL ANALYSIS BY WAVELET LEADERS REVEALS DIFFERENCES IN MULTI-FRACTAL CHARACTERISTICS OF STOCK PRICE AND RETURN SERIES IN TURKISH HIGH FREQUENCY DATA
    FRACTALS (fractals), 2024, 32, (01), 1-10
20. Volatility spillovers and hedging strategies between impact investing and agricultural commodities
    International Review of Financial Analysis, 2024, 94, (C) View citations (2)

2023

21. Building Eco-friendly Corporations: The Role of Minority Shareholders
    Journal of Business Ethics, 2023, 182, (4), 933-966 View citations (4)
22. Does corporate green innovation behaviour impact trade credit? Evidence from China
    Research in International Business and Finance, 2023, 66, (C) View citations (5)
23. Economic policy uncertainty and green innovation: Evidence from China
    Economic Modelling, 2023, 118, (C) View citations (34)
24. Extending the Merton model with applications to credit value adjustment
    Annals of Operations Research, 2023, 326, (1), 27-65
25. Identifying diversifiers, hedges, and safe havens among Asia Pacific equity markets during COVID-19: New results for ongoing portfolio allocation
    International Review of Economics & Finance, 2023, 85, (C), 744-792 View citations (10)
26. Jump forecasting in foreign exchange markets: A high‐frequency analysis
    Journal of Forecasting, 2023, 42, (3), 578-624
27. Managing disease containment measures during a pandemic
    Production and Operations Management, 2023, 32, (5), 1362-1379 View citations (1)
28. Modeling dynamic VaR and CVaR of cryptocurrency returns with alpha-stable innovations
    Finance Research Letters, 2023, 55, (PA) View citations (5)
29. Statistical arbitrage: factor investing approach
    OR Spectrum: Quantitative Approaches in Management, 2023, 45, (4), 1295-1331
    See also Working Paper Statistical Arbitrage: Factor Investing Approach, Working Papers (2021) (2021)

2022

30. Can investors’ informed trading predict cryptocurrency returns? Evidence from machine learning
    Research in International Business and Finance, 2022, 62, (C) View citations (1)
31. Early warning systems for currency and systemic banking crises in Vietnam
    Post-Communist Economies, 2022, 34, (3), 350-375
32. Forecasting high-frequency stock returns: a comparison of alternative methods
    Annals of Operations Research, 2022, 313, (2), 639-690 View citations (1)
33. Green Credit Policy and Corporate Productivity: Evidence from a Quasi-natural Experiment in China
    Technological Forecasting and Social Change, 2022, 177, (C) View citations (27)
34. Information content of order imbalance in the index options market
    International Review of Economics & Finance, 2022, 78, (C), 418-432
35. Interest rate uncertainty and the predictability of bank revenues
    Journal of Forecasting, 2022, 41, (8), 1559-1569 View citations (2)
    See also Working Paper Interest Rate Uncertainty and the Predictability of Bank Revenues, Working Papers (2021) (2021)
36. Learning from failures: Director interlocks and corporate misconduct
    International Review of Financial Analysis, 2022, 84, (C) View citations (3)
37. Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment
    Journal of Behavioral and Experimental Finance, 2022, 36, (C) View citations (13)
38. Other people's money: A comparison of institutional investors
    Emerging Markets Review, 2022, 53, (C) View citations (1)
39. Positive information shocks, investor behavior and stock price crash risk
    Journal of Economic Behavior & Organization, 2022, 197, (C), 493-518 View citations (5)
40. Pricing efficiency and asymmetric multifractality of major asset classes before and during COVID-19 crisis
    The North American Journal of Economics and Finance, 2022, 62, (C) View citations (11)
41. Retail vs institutional investor attention in the cryptocurrency market
    Journal of International Financial Markets, Institutions and Money, 2022, 81, (C) View citations (2)
42. Statistical arbitrage in jump-diffusion models with compound Poisson processes
    Annals of Operations Research, 2022, 313, (2), 1357-1371
43. Three channels of monetary policy international transmission: Identifying spillover effects from the US to China
    Research in International Business and Finance, 2022, 61, (C) View citations (3)
44. Top executives’ great famine experience and stock price crash risk
    Research in International Business and Finance, 2022, 59, (C) View citations (6)
45. Variance Risk Premium in Energy Markets: Ex-Ante and Ex-Post Perspectives
    The Energy Journal, 2022, 43, (1_suppl), 1-30

2021

46. Big data analytics, order imbalance and the predictability of stock returns
    Journal of Multinational Financial Management, 2021, 62, (C) View citations (3)
47. Commonality in FX liquidity: High-frequency evidence
    Finance Research Letters, 2021, 39, (C) View citations (4)
48. Correction to: High frequency multiscale relationships among major cryptocurrencies: portfolio management implications
    Financial Innovation, 2021, 7, (1), 1-1 View citations (8)
49. Covid-19 pandemic and tail-dependency networks of financial assets
    Finance Research Letters, 2021, 38, (C) View citations (47)
50. Downside risk in Dow Jones Islamic equity indices: Precious metals and portfolio diversification before and after the COVID-19 bear market
    Research in International Business and Finance, 2021, 58, (C) View citations (24)
51. Dynamics of return and liquidity (co) jumps in emerging foreign exchange markets
    Journal of International Financial Markets, Institutions and Money, 2021, 73, (C) View citations (6)
    See also Working Paper Dynamics of Return and Liquidity (Co)Jumps in Emerging Foreign Exchange Markets, MPRA Paper (2021) View citations (6) (2021)
52. Financial contagion during COVID–19 crisis
    Finance Research Letters, 2021, 38, (C) View citations (71)
    See also Working Paper Financial contagion during COVID–19 crisis, Post-Print (2021) View citations (18) (2021)
53. Government’s awareness of Environmental protection and corporate green innovation: A natural experiment from the new environmental protection law in China
    Economic Analysis and Policy, 2021, 70, (C), 294-312 View citations (72)
54. Green credit policy and firm performance: What we learn from China
    Energy Economics, 2021, 101, (C) View citations (102)
55. High frequency multiscale relationships among major cryptocurrencies: portfolio management implications
    Financial Innovation, 2021, 7, (1), 1-21 View citations (8)
56. High-frequency return and volatility spillovers among cryptocurrencies
    Applied Economics, 2021, 53, (37), 4310-4328 View citations (20)
57. Is gold a hedge or a safe-haven asset in the COVID–19 crisis?
    Economic Modelling, 2021, 102, (C) View citations (155)
58. Lottery-like preferences and the MAX effect in the cryptocurrency market
    Financial Innovation, 2021, 7, (1), 1-27 View citations (8)
59. Prediction of cryptocurrency returns using machine learning
    Annals of Operations Research, 2021, 297, (1), 3-36 View citations (36)
60. Sensitivity of US equity returns to economic policy uncertainty and investor sentiments
    The North American Journal of Economics and Finance, 2021, 57, (C) View citations (9)
61. The dark side of marital leadership: Evidence from China
    International Review of Financial Analysis, 2021, 77, (C) View citations (3)
62. The influence of aviation disasters on engine manufacturers: An analysis of financial and reputational contagion risks
    International Review of Financial Analysis, 2021, 74, (C) View citations (4)
63. The voice of minority shareholders: Online voting and corporate social responsibility
    Research in International Business and Finance, 2021, 57, (C) View citations (12)

2020

64. Applications of Machine Learning Methods in Complex Economics and Financial Networks
    Complexity, 2020, 2020, 1-2
65. 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 (39)
66. Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices
    Resources Policy, 2020, 69, (C) View citations (110)
67. Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market
    International Review of Financial Analysis, 2020, 68, (C)
68. Intraday efficiency-frequency nexus in the cryptocurrency markets
    Finance Research Letters, 2020, 35, (C) View citations (28)
69. 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)
    See also Working Paper Regulatory Changes and Long-run Relationships of the EMU Sovereign Debt Markets: Implications for Future Policy Framework, Working Papers (2019) (2019)
70. Riding the Wave of Crypto-Exuberance: The Potential Misusage of Corporate Blockchain Announcements
    Technological Forecasting and Social Change, 2020, 159, (C) View citations (23)
71. The development of Bitcoin futures: Exploring the interactions between cryptocurrency derivatives
    Finance Research Letters, 2020, 34, (C) View citations (34)
72. The financial market effects of international aviation disasters
    International Review of Financial Analysis, 2020, 69, (C) View citations (17)
73. The impact of blockchain related name changes on corporate performance
    Journal of Corporate Finance, 2020, 65, (C) View citations (47)
74. The influence of Bitcoin on portfolio diversification and design
    Finance Research Letters, 2020, 37, (C) View citations (48)
75. The relationship between implied volatility and cryptocurrency returns
    Finance Research Letters, 2020, 33, (C) View citations (50)
76. U.S. equity and commodity futures markets: Hedging or financialization?
    Energy Economics, 2020, 86, (C) View citations (28)

2019

77. Commonality in ask-side vs. bid-side liquidity
    Finance Research Letters, 2019, 28, (C), 198-207 View citations (4)
78. Dynamic integration and network structure of the EMU sovereign bond markets
    Annals of Operations Research, 2019, 281, (1), 297-314 View citations (19)
    See also Working Paper Dynamic Integration and Network Structure of the EMU Sovereign Bond Markets, Working Papers (2018) View citations (4) (2018)
79. Energy, precious metals, and GCC stock markets: Is there any risk spillover?
    Pacific-Basin Finance Journal, 2019, 56, (C), 45-70 View citations (63)
80. Financial Networks 2019
    Complexity, 2019, 2019, 1-2
81. 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 (57)
82. 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 (55)
83. 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 (7)
    See also Working Paper Intraday Volume-Volatility Nexus in the FX Markets: Evidence from an Emerging Market, Working Papers (2019) View citations (8) (2019)
84. The effectiveness of technical trading rules in cryptocurrency markets
    Finance Research Letters, 2019, 31, (C), 32-37 View citations (51)
85. The inefficiency of Bitcoin revisited: A high-frequency analysis with alternative currencies
    Finance Research Letters, 2019, 28, (C), 68-73 View citations (109)

2018

86. A tale of two risks in the EMU sovereign debt markets
    Economics Letters, 2018, 172, (C), 102-106 View citations (1)
    See also Working Paper A Tale of Two Risks in the EMU Sovereign Debt Markets, Working Papers (2018) View citations (1) (2018)
87. Financial Networks
    Complexity, 2018, 2018, 1-2 View citations (19)
88. Implied volatility indices: A review and extension in the Turkish case
    International Review of Financial Analysis, 2018, 60, (C), 151-161 View citations (7)

2017

89. Analysing dynamic linkages and hedging strategies between Islamic and conventional sector equity indexes
    Applied Economics, 2017, 49, (25), 2456-2479 View citations (14)
90. 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 (91)
91. 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 (14)
92. 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 (9)
93. Predictability dynamics of emerging sovereign CDS markets
    Economics Letters, 2017, 161, (C), 5-9 View citations (9)

2016

94. Commonality in liquidity: Effects of monetary policy and macroeconomic announcements
    Finance Research Letters, 2016, 16, (C), 125-131 View citations (14)
95. 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 (3)
96. Dynamic efficiency of stock markets and exchange rates
    International Review of Financial Analysis, 2016, 47, (C), 353-371 View citations (16)
97. Impact of sovereign rating changes on stock market co-movements: the case of Latin America
    Applied Economics, 2016, 48, (28), 2600-2610 View citations (3)
98. Systematic Risk in Conventional and Islamic Equity Markets
    International Review of Finance, 2016, 16, (3), 457-466 View citations (30)

2015

99. 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)
100. Cross-sectoral interactions in Islamic equity markets
     Pacific-Basin Finance Journal, 2015, 32, (C), 1-20 View citations (45)
101. Dynamic convergence of commodity futures: Not all types of commodities are alike
     Resources Policy, 2015, 44, (C), 150-160 View citations (55)
102. Predictability dynamics of Islamic and conventional equity markets
     The North American Journal of Economics and Finance, 2015, 31, (C), 222-248 View citations (29)
103. Shaping the manufacturing industry performance: MIDAS approach
     Chaos, Solitons & Fractals, 2015, 77, (C), 286-290 View citations (2)
104. 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 (23)

2014

105. 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 (62)
106. 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 (30)
107. Constructing a financial fragility index for emerging countries
     Finance Research Letters, 2014, 11, (4), 410-419 View citations (9)
108. Dynamic relationship between Turkey and European countries during the global financial crisis
     Economic Modelling, 2014, 40, (C), 290-298 View citations (10)
109. 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 (28)
     See also Working Paper Dynamic spanning trees in stock market networks: The case of Asia-Pacific, Working Papers Series (2014) View citations (30) (2014)
110. Effective transfer entropy approach to information flow between exchange rates and stock markets
     Chaos, Solitons & Fractals, 2014, 68, (C), 180-185 View citations (17)
111. 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 (26)
112. Impact of short selling activity on market dynamics: Evidence from an emerging market
     Journal of Financial Stability, 2014, 15, (C), 53-62 View citations (8)
113. Time-varying long range dependence in energy futures markets
     Energy Economics, 2014, 46, (C), 318-327 View citations (25)

2013

114. 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 (18)
115. Dynamic relationship between precious metals
     Resources Policy, 2013, 38, (4), 504-511 View citations (80)
116. 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 (11)
117. Generalized Hurst exponent approach to efficiency in MENA markets
     Physica A: Statistical Mechanics and its Applications, 2013, 392, (20), 5019-5026 View citations (35)
118. Time-varying long range dependence in market returns of FEAS members
     Chaos, Solitons & Fractals, 2013, 53, (C), 39-45 View citations (13)