Details about Ahmet Sensoy
Access statistics for papers by Ahmet Sensoy.
Last updated 2023-05-16. Update your information in the RePEc Author Service.
Short-id: pse604
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Working Papers
2021
- 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)
- Determinants of ICO Success and Post-ICO Performance
Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey
- Dynamics of Return and Liquidity (Co)Jumps in Emerging Foreign Exchange Markets
MPRA Paper, University Library of Munich, Germany View citations (4)
Also in Working Papers, Department of Research, Ipag Business School (2020) 
See also Journal Article in Journal of International Financial Markets, Institutions and Money (2021)
- 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 in Journal of Forecasting (2022)
- Statistical Arbitrage: Factor Investing Approach
Working Papers, Department of Research, Ipag Business School 
Also in MPRA Paper, University Library of Munich, Germany (2021)
2020
- Endogenous Financial Uncertainty and Macroeconomic Volatility: Evidence from the United States
MPRA Paper, University Library of Munich, Germany
2019
- 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 (4)
See also Journal Article in International Review of Financial Analysis (2019)
- Order Flow Persistence in Equity Spot and Futures Markets: Evidence from a Dynamic Emerging Market
Working Papers, Department of Research, Ipag Business School
- 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 in International Review of Law and Economics (2020)
2018
- 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 in Economics Letters (2018)
- 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 in Annals of Operations Research (2019)
2015
- European economic and monetary union sovereign debt markets
Policy Research Working Paper Series, The World Bank View citations (4)
2014
- Dynamic spanning trees in stock market networks: The case of Asia-Pacific
Working Papers Series, Central Bank of Brazil, Research Department View citations (27)
See also Journal Article in Physica A: Statistical Mechanics and its Applications (2014)
2013
- 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
- Analysis on Runs of Daily Returns in Istanbul Stock Exchange
MPRA Paper, University Library of Munich, Germany
Journal Articles
2023
- Building Eco-friendly Corporations: The Role of Minority Shareholders
Journal of Business Ethics, 2023, 182, (4), 933-966
- Economic policy uncertainty and green innovation: Evidence from China
Economic Modelling, 2023, 118, (C) View citations (4)
- 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
- Jump forecasting in foreign exchange markets: A high‐frequency analysis
Journal of Forecasting, 2023, 42, (3), 578-624
- Managing disease containment measures during a pandemic
Production and Operations Management, 2023, 32, (5), 1362-1379
2022
- Can investors’ informed trading predict cryptocurrency returns? Evidence from machine learning
Research in International Business and Finance, 2022, 62, (C)
- Early warning systems for currency and systemic banking crises in Vietnam
Post-Communist Economies, 2022, 34, (3), 350-375
- Forecasting high-frequency stock returns: a comparison of alternative methods
Annals of Operations Research, 2022, 313, (2), 639-690
- Green Credit Policy and Corporate Productivity: Evidence from a Quasi-natural Experiment in China
Technological Forecasting and Social Change, 2022, 177, (C) View citations (4)
- Information content of order imbalance in the index options market
International Review of Economics & Finance, 2022, 78, (C), 418-432
- Interest rate uncertainty and the predictability of bank revenues
Journal of Forecasting, 2022, 41, (8), 1559-1569 
See also Working Paper (2021)
- Learning from failures: Director interlocks and corporate misconduct
International Review of Financial Analysis, 2022, 84, (C)
- Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment
Journal of Behavioral and Experimental Finance, 2022, 36, (C) View citations (1)
- Other people's money: A comparison of institutional investors
Emerging Markets Review, 2022, 53, (C) View citations (1)
- Positive information shocks, investor behavior and stock price crash risk
Journal of Economic Behavior & Organization, 2022, 197, (C), 493-518 View citations (1)
- 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 (1)
- Retail vs institutional investor attention in the cryptocurrency market
Journal of International Financial Markets, Institutions and Money, 2022, 81, (C)
- Statistical arbitrage in jump-diffusion models with compound Poisson processes
Annals of Operations Research, 2022, 313, (2), 1357-1371
- Three channels of monetary policy international transmission: Identifying spillover effects from the US to China
Research in International Business and Finance, 2022, 61, (C)
- Top executives’ great famine experience and stock price crash risk
Research in International Business and Finance, 2022, 59, (C) View citations (3)
2021
- Big data analytics, order imbalance and the predictability of stock returns
Journal of Multinational Financial Management, 2021, 62, (C)
- Commonality in FX liquidity: High-frequency evidence
Finance Research Letters, 2021, 39, (C) View citations (2)
- Correction to: High frequency multiscale relationships among major cryptocurrencies: portfolio management implications
Financial Innovation, 2021, 7, (1), 1-1 View citations (2)
- Covid-19 pandemic and tail-dependency networks of financial assets
Finance Research Letters, 2021, 38, (C) View citations (26)
- 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 (10)
- 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 (4)
See also Working Paper (2021)
- Financial contagion during COVID–19 crisis
Finance Research Letters, 2021, 38, (C) View citations (52)
- 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 (32)
- Green credit policy and firm performance: What we learn from China
Energy Economics, 2021, 101, (C) View citations (39)
- High frequency multiscale relationships among major cryptocurrencies: portfolio management implications
Financial Innovation, 2021, 7, (1), 1-21 View citations (2)
- High-frequency return and volatility spillovers among cryptocurrencies
Applied Economics, 2021, 53, (37), 4310-4328 View citations (6)
- Is gold a hedge or a safe-haven asset in the COVID–19 crisis?
Economic Modelling, 2021, 102, (C) View citations (68)
- Lottery-like preferences and the MAX effect in the cryptocurrency market
Financial Innovation, 2021, 7, (1), 1-27 View citations (2)
- Prediction of cryptocurrency returns using machine learning
Annals of Operations Research, 2021, 297, (1), 3-36 View citations (19)
- 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 (8)
- The dark side of marital leadership: Evidence from China
International Review of Financial Analysis, 2021, 77, (C) View citations (3)
- 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 (1)
- The voice of minority shareholders: Online voting and corporate social responsibility
Research in International Business and Finance, 2021, 57, (C) View citations (4)
2020
- Applications of Machine Learning Methods in Complex Economics and Financial Networks
Complexity, 2020, 2020, 1-2
- 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 (28)
- Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices
Resources Policy, 2020, 69, (C) View citations (79)
- Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market
International Review of Financial Analysis, 2020, 68, (C)
- Intraday efficiency-frequency nexus in the cryptocurrency markets
Finance Research Letters, 2020, 35, (C) View citations (16)
- 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 (2019)
- Riding the Wave of Crypto-Exuberance: The Potential Misusage of Corporate Blockchain Announcements
Technological Forecasting and Social Change, 2020, 159, (C) View citations (16)
- The development of Bitcoin futures: Exploring the interactions between cryptocurrency derivatives
Finance Research Letters, 2020, 34, (C) View citations (21)
- The financial market effects of international aviation disasters
International Review of Financial Analysis, 2020, 69, (C) View citations (17)
- The impact of blockchain related name changes on corporate performance
Journal of Corporate Finance, 2020, 65, (C) View citations (24)
- The influence of Bitcoin on portfolio diversification and design
Finance Research Letters, 2020, 37, (C) View citations (23)
- The relationship between implied volatility and cryptocurrency returns
Finance Research Letters, 2020, 33, (C) View citations (24)
- U.S. equity and commodity futures markets: Hedging or financialization?
Energy Economics, 2020, 86, (C) View citations (19)
2019
- Commonality in ask-side vs. bid-side liquidity
Finance Research Letters, 2019, 28, (C), 198-207 View citations (4)
- Dynamic integration and network structure of the EMU sovereign bond markets
Annals of Operations Research, 2019, 281, (1), 297-314 View citations (16)
See also Working Paper (2018)
- Energy, precious metals, and GCC stock markets: Is there any risk spillover?
Pacific-Basin Finance Journal, 2019, 56, (C), 45-70 View citations (45)
- Financial Networks 2019
Complexity, 2019, 2019, 1-2
- 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 (39)
- 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 (38)
- 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 (4)
See also Working Paper (2019)
- The effectiveness of technical trading rules in cryptocurrency markets
Finance Research Letters, 2019, 31, (C), 32-37 View citations (40)
- The inefficiency of Bitcoin revisited: A high-frequency analysis with alternative currencies
Finance Research Letters, 2019, 28, (C), 68-73 View citations (88)
2018
- 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 (2018)
- Financial Networks
Complexity, 2018, 2018, 1-2 View citations (19)
- Implied volatility indices: A review and extension in the Turkish case
International Review of Financial Analysis, 2018, 60, (C), 151-161 View citations (3)
2017
- Analysing dynamic linkages and hedging strategies between Islamic and conventional sector equity indexes
Applied Economics, 2017, 49, (25), 2456-2479 View citations (11)
- 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 (66)
- 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 (13)
- 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 (8)
- Predictability dynamics of emerging sovereign CDS markets
Economics Letters, 2017, 161, (C), 5-9 View citations (7)
2016
- Commonality in liquidity: Effects of monetary policy and macroeconomic announcements
Finance Research Letters, 2016, 16, (C), 125-131 View citations (13)
- 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)
- Dynamic efficiency of stock markets and exchange rates
International Review of Financial Analysis, 2016, 47, (C), 353-371 View citations (15)
- 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)
- Systematic Risk in Conventional and Islamic Equity Markets
International Review of Finance, 2016, 16, (3), 457-466 View citations (27)
2015
- 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)
- Cross-sectoral interactions in Islamic equity markets
Pacific-Basin Finance Journal, 2015, 32, (C), 1-20 View citations (41)
- Dynamic convergence of commodity futures: Not all types of commodities are alike
Resources Policy, 2015, 44, (C), 150-160 View citations (43)
- Predictability dynamics of Islamic and conventional equity markets
The North American Journal of Economics and Finance, 2015, 31, (C), 222-248 View citations (27)
- Shaping the manufacturing industry performance: MIDAS approach
Chaos, Solitons & Fractals, 2015, 77, (C), 286-290 View citations (2)
- 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 (21)
2014
- 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 (51)
- 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 (29)
- Constructing a financial fragility index for emerging countries
Finance Research Letters, 2014, 11, (4), 410-419 View citations (9)
- Dynamic relationship between Turkey and European countries during the global financial crisis
Economic Modelling, 2014, 40, (C), 290-298 View citations (10)
- 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 (27)
See also Working Paper (2014)
- Effective transfer entropy approach to information flow between exchange rates and stock markets
Chaos, Solitons & Fractals, 2014, 68, (C), 180-185 View citations (15)
- 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 (20)
- 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)
- Time-varying long range dependence in energy futures markets
Energy Economics, 2014, 46, (C), 318-327 View citations (23)
2013
- 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 (17)
- Dynamic relationship between precious metals
Resources Policy, 2013, 38, (4), 504-511 View citations (74)
- 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)
- Generalized Hurst exponent approach to efficiency in MENA markets
Physica A: Statistical Mechanics and its Applications, 2013, 392, (20), 5019-5026 View citations (32)
- Time-varying long range dependence in market returns of FEAS members
Chaos, Solitons & Fractals, 2013, 53, (C), 39-45 View citations (12)
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