Details about Numan Ülkü

Access statistics for papers by Numan Ülkü.

Last updated 2025-03-15. Update your information in the RePEc Author Service.

Short-id: pul52

Working Papers

2011

1. Bigger Fish in Small Pond: The Interaction between Foreigners' Trading and Emerging Stock Market Returns under the Microscope
   Working Papers, Leibniz Institut für Ost- und Südosteuropaforschung (Institute for East and Southeast European Studies)
   Also in University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics (2011)

Journal Articles

2025

1. Idiosyncratic volatility and the cross-section of abnormal returns in Pakistan: Evidence from a country with religious bans on lotteries and substantive institutional investor participation
   International Review of Economics & Finance, 2025, 98, (C)
2. Tournament-type utility, absolute cumulative intra-quarter return, institutional feedback trading and return autocorrelation
   Journal of Behavioral and Experimental Finance, 2025, 45, (C)

2024

3. A mixed-frequency VAR application to studying joint dynamics of foreign investor trading and stock market returns
   Empirical Economics, 2024, 67, (1), 47-73

2023

4. COVID caused a negative bubble. Who profited? Who lost? How stock markets changed?
   Pacific-Basin Finance Journal, 2023, 79, (C) View citations (7)
5. Institutional Overcrowding Everyday
   Journal of Behavioral Finance, 2023, 24, (1), 1-21 View citations (2)
6. Stock Market's Response to Real Output Shocks in China: A VARwAL Estimation
   China & World Economy, 2023, 31, (5), 1-25

2022

7. Investor types' trading around the short‐term reversal pattern
   International Journal of Finance & Economics, 2022, 27, (2), 2627-2647 View citations (1)

2021

8. Individual investors’ trading behavior in Moscow Exchange and the COVID-19 crisis
   Journal of Behavioral and Experimental Finance, 2021, 31, (C) View citations (4)
9. Quest for a parsimonious factor model in the wake of quality-minus-junk, misvaluation and Fama-French-six factors
   Finance Research Letters, 2021, 41, (C) View citations (2)

2020

10. Weekday seasonality of stock returns: The contrary case of China
    Journal of Asian Economics, 2020, 68, (C) View citations (9)

2019

11. Foreign investor trading behavior has evolved
    Journal of Multinational Financial Management, 2019, 51, (C), 98-115 View citations (6)
12. Monday Effect in the RMW and the Short‐Term Reversal Factors
    International Review of Finance, 2019, 19, (3), 681-691 View citations (2)
13. Tests of technical trading rules and the 52-week high strategy in the corporate bond market
    Global Finance Journal, 2019, 40, (C), 85-103 View citations (2)
14. Trading volume and prediction of stock return reversals: Conditioning on investor types' trading
    Journal of Forecasting, 2019, 38, (6), 582-599 View citations (4)

2018

15. Who drives the Monday effect?
    Journal of Economic Behavior & Organization, 2018, 148, (C), 46-65 View citations (8)

2017

16. Stock market's response to real output shocks in Eastern European frontier markets: A VARwAL model
    Emerging Markets Review, 2017, 33, (C), 140-154 View citations (3)

2016

17. Can risk-rebalancing explain the negative correlation between stock return differential and currency? Or, does source status drive it?
    Journal of Financial Markets, 2016, 27, (C), 28-54 View citations (6)
18. Reversal of Monday returns
    Quantitative Finance, 2016, 16, (4), 649-665 View citations (3)

2015

19. 'Leverage Effect' in country betas and volatilities?
    Applied Economics Letters, 2015, 22, (11), 848-853
20. Foreigners’ trading and stock returns in Spain
    Journal of International Financial Markets, Institutions and Money, 2015, 34, (C), 111-126 View citations (11)
21. How Reliable Are the Findings of ‘Foreign’ Investor Studies That Use TIC Data? A Look from the Host Market
    International Review of Finance, 2015, 15, (4), 521-553 View citations (3)
22. Stock Market's Response to Real Output Shocks: Connection Restored but Delayed
    International Review of Finance, 2015, 15, (4), 613-622 View citations (2)

2014

23. Country world betas: The link between the stock market beta and macroeconomic beta
    Finance Research Letters, 2014, 11, (1), 36-46 View citations (4)
24. Do international equity investors rebalance to manage currency exposure? A study of Greece foreign investor flows data
    Journal of International Financial Markets, Institutions and Money, 2014, 29, (C), 150-169 View citations (4)
25. Identifying the Interaction between Foreign Investor Flows and Emerging Stock Market Returns
    Review of Finance, 2014, 18, (4), 1541-1581 View citations (13)

2013

26. Drivers of technical trend-following rules' profitability in world stock markets
    International Review of Financial Analysis, 2013, 30, (C), 214-229 View citations (7)
27. Identifying the interaction between stock market returns and trading flows of investor types: Looking into the day using daily data
    Journal of Banking & Finance, 2013, 37, (8), 2733-2749 View citations (8)

2012

28. Big players’ aggregated trading and market returns in Istanbul Stock Exchange
    Applied Financial Economics, 2012, 22, (6), 491-508
29. Joint dynamics of foreign exchange and stock markets in emerging Europe
    Journal of International Financial Markets, Institutions and Money, 2012, 22, (1), 55-86 View citations (40)
30. Political Risk and Foreigners' Trading: Evidence from an Emerging Stock Market
    Emerging Markets Finance and Trade, 2012, 48, (3), 106-121 View citations (1)

2011

31. Modeling Comovement among Emerging Stock Markets: The Case of Budapest and Istanbul
    Czech Journal of Economics and Finance (Finance a uver), 2011, 61, (3), 277-304 View citations (2)

2009

32. Further Out-of-Sample Tests of Simple Technical Trading Rules
    Istanbul Stock Exchange Review, 2009, 11, (41), 25-44
33. Persistent mispricing in a recently opened emerging index futures market: Arbitrageurs invited
    Journal of Futures Markets, 2009, 29, (3), 218-243 View citations (7)

2008

34. Do Big Investors’ Trades Have Predictive Power? A Note on Istanbul Stock Market
    Journal of BRSA Banking and Financial Markets, 2008, 2, (1), 85-108
35. Expectations of Professionals in The Turkish Stock Market: a Study of a Monthly Reuters Survey
    Bogazici Journal, Review of Social, Economic and Administrative Studies, 2008, 22, (1+2), 1-16

2001

36. Behavioral Finance Theories and the Price Behavior of the ISE Around the Start of the Disinflation Programme
    Istanbul Stock Exchange Review, 2001, 5, (17), 93-124 View citations (1)