Identifying the Liquidity Effects of Monetary Policy Shocks for a Small Open Economy: Turkey

This paper proposes a new liquidity measure for a small open economy. The new measure includes the net liquidity provided to the system by a central bank after accounting for the central bank’s involvement in the foreign exchange market. Empirical evidence gathered from Turkey suggests that a positive innovation in liquidity increases output temporarily and that its effect on prices, exchange rate and money are permanently higher.     

The day of the week effect on stock market volatility

This study tests the presence of the day of the week effect on stock market volatility by using the S&P 500 market index during the period of January 1973 and October 1997. The findings shown that the day of the week effect is present in both volatility and return equations. While the highest and lowest returns are observed on Wednesday and Monday, the highest and the lowest volatility are observed on Friday and Wednesday, respectively. Further investigation of sub-periods reinforces our findings that the volatility pattern across the days of the week is statistically different.(JEL G10, G12, C22)     

Risk Management Strategies in Transportation Capacity Decisions: An Analytical Approach

In recent years, access to freight transportation capacity has become a constant issue in the minds of logistics managers due to capacity shortages. In a buyer–seller relationship, reliable, timely, and cost‐effective access to transportation is critical to the success of such partnerships. Given this, guaranteed capacity contracts with third‐party logistics providers (3PLs) may be appealing to shippers to increase their access to capacity and respond effectively to customer requirements. With this new opportunity, 3PLs must focus on approaches that can assist them in analyzing their options as they promise guaranteed capacity to shippers when faced with uncertain demand and related risks in transportation. In this paper, we analytically analyze three capacity‐based risk mitigation strategies and the mixed use of these individual strategies using industry‐based data to provide insights on which strategy is preferable to the 3PL and under what conditions. We posit that the selection of a strategy is contingent on several conditions faced by both the shipper and the carrier. Although our approach is analytical in nature, it has a high degree of practical utility in that a 3PL can utilize our decision models to effectively analyze and visualize the trade‐offs between the different strategies by considering appropriate cost and demand data.     

A phenomenological approach of blogger’s view on cultural distance

This paper is intended to determine the influence of cultural distance on the international destination choices by tourists. We adopted a phenomenological approach and data were obtained from 17 bloggers with structured interview form and evaluated by content analysis. We evaluated the research data as three processes, as pre-travel, during travel and post-travel. We identified a tangible and an intangible preparation stage in the pre-travel process. We observed that an increase in cultural distance caused an increase in the destination obscurity and thus in the mental preparation. We found cultural experience, cultural acquisition and personal change themes during traveling. In the meantime, the increase in the geographic distance influences the cultural distance perception. We determined that destinations that are geographically remote (especially the Asian countries) are also culturally remote and interesting. We proposed a model that cultural distance is a moderator variable between travel motivation and destination choice.     

The regional trade dynamics of Turkey: a panel data gravity model

This paper analyzes the Turkish export and import flows with regard to regional clusters (RCs) and bilateral trade costs (BTCs) by using a panel data gravity model. We study the role of RCs and BTCs in two complementary parts: in the first part, we use an unbalanced panel data for 180 countries over the period 1960–2012, compiled from the DOTS database. We extend these estimations by running the data at four different time intervals, each representing different economic or political regimes in Turkey. In the second part, we repeat the same exercise at sectoral level for 176 countries over the period 1994–2010, using the BACI database. Aggregate estimates show that the gravity model is very effective in explaining the export and import flows of Turkey and that all close-by regions, including EU27, have a significant impact on trade flows of Turkey. We also find that the EU Customs Union has a negative effect on Turkish exports and a positive effect on imports. Estimates at selected time intervals reinforce aggregate estimates and sectoral level analyses indicate that while some regions contribute positively in all or the majority of sectors, others contribute negatively or produce mixed results.     

Comparing Alternative Service Quality Scales: An Investigation Using Confirmatory Factor Analysis in a Health Care Setting

Despite the availability of several domain-specific instruments and its obvious drawbacks, it is interesting that the SERVQUAL scale is still used in health care settings. For this reason, the main aim of this study was to compare two different service quality scales in a health care setting. We compared the fit of the SERVQUAL model with a domain-specific model through confirmatory factor analysis using AMOS. The results showed that the domain-specific scale was superior to SERVQUAL within the context of a health care environment. We believe that using/modifying a generalized scale is not a good approach when we have domain-specific alternatives available.     

Institutional impact and quote behavior implications of the options penny pilot project

In this study, we expand the analysis of the impact of the options penny pilot project (PPP) using a sample that covers the first three phases of the project, a control group of options that were not part of the project, and options market specific control variables. We show that proportional national best bid offer spreads decrease significantly for the pilot securities, with the control sample demonstrating a general increase in relative spreads. Regression analysis indicates that a decrease in relative spreads can be explained by the switch to penny quoting. We find that the average quote size significantly declines and most pilot securities experience significant increases in quote traffic during the pilot period. For equity options in the pilot group we do not find a pattern of change in the average trading volume that can be attributed to the PPP. The average trading volume shows a general increase for the ETF options in the pilot group during the pilot period. Based on the findings derived from a sample of opening and closing “large” trades, we do not find conclusive evidence that trading in penny increments has a negative impact on the volume of institutional trading activity on the options exchanges during the first few months of Phase I. Our results for relative spreads, average quote size, quote traffic and trading volume are robust to Phases I–III of the PPP.     

Mapping the stocks in MICEX: Who is central in the Moscow Stock Exchange?

In this article, we use partial correlations to derive bi‐directional connections between major firms listed in the Moscow Stock Exchange. We obtain coefficients of partial correlation from the correlation estimates of the Constant Conditional Correlation GARCH (CCC‐GARCH) and the consistent Dynamic Conditional Correlation GARCH (cDCC‐GARCH) models. We map the graph of partial correlations using the Gaussian Graphical Model and apply network analysis to identify the most central firms in terms of both shock propagation and connectedness with others. Moreover we analyze some network characteristics over time and based on these we construct a measure of system vulnerability to external shocks. Our findings suggest that during the crisis interconnectedness between firms strengthens and becomes polarized and the system becomes more vulnerable to systemic shocks. In addition, we found that the most connected firms are the state‐owned firms Sberbank and Gazprom and the private oil company Lukoil, while in terms of the top most central systemic risk contributors, Sberbank gave its place to the NLMK Group.