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    Liquidity Timing Ability of Fund Managers under Changing Market Dynamics
    (İstanbul Gelişim Üniversitesi Yayınları / Istanbul Gelisim University Press, 2020) Yalçın, Hale; Dube, Sema
    We examine the liquidity timing ability of Turkish variable fund managers during 2011-2018, and how this ability is affected by the environmental factors such as the technological advancement level, the presence of derivatives market, the growth in the overall economy, the level of market openness, and the performance of portfolios for bond, gold, real estate, foreign exchange, emerging markets. We use interaction variables within a panel data framework. We find strong evidence of the liquidity timing ability of mutual fund managers even after controlling for environmental factors. The nature of the interactions for most of the control factors with liquidity timing ability is strongly significant and differs based on the factor.
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    Should We Expect Bitcoin Markets to Be Efficient?
    (İstanbul Gelişim Üniversitesi Yayınları / Istanbul Gelisim University Press, 2021) Dube, Sema; Şahin, Hayati
    We investigate whether Bitcoin markets demonstrate month-of-the-year effects, and whether such anomalies are present across markets that differ in terms of fees, trading requirements, size as well as the extent of legal support in their host countries. We use monthly return data for the period of 2015-2018 for Bitfinex, Bitstamp and Okcoin and find that returns were similar across the markets suggesting lack of internal frictions, and that all three Bitcoin markets showed a positive effect in December and a negative effect in January, followed by a positive effect in February. One explanation for the anomalies in the Bitcoin markets could be spillovers from the seasonal anomalies in broader markets, such as those posited by tax-loss or portfolio rebalancing hypotheses, which could result in some investors selling equity in December and repurchasing it in January and parking the proceeds in Bitcoin in the interim. If related to tax considerations, this situation could change as various jurisdictions start to enforce tax regulations for cryptocurrencies.