Publications & Research

PUBLISHED

1- High Frequency Correlation Dynamics and Day-of-the-Week Effect: A score-Driven Approach in an Emerging Market Stock Exchange. 2022. International Review of Financial Analysis, (with Cenk C. Karahan), 80, 102008

2- Epps Effect still existent: Differing unconditional correlation behaviors for inter-sector stock pairs. 2020. International Journal of Disciplines Economics & Administrative Sciences Studies, 6(24), 797-805

WORKING PAPERS

1-New Avenues in Expected Returns: Investor Overreaction and Overnight Price Jumps in US Stock Markets

(with Lammertjan Dam & Halit Gonenc)

Abstract

Using 9,283 stocks listed on NYSE, AMEX, and NASDAQ, we identify investor overreaction to overnight information shocks and find that cumulative overnight jump returns negatively predict short-term returns in positive and negative market episodes. We also show that hoarding stocks obscures actual overnight and intraday return dynamics. Examining the persistence in overnight and intraday return components of tug-of-war literature, we document that jump stocks have significantly different abnormal returns than non-jump stocks in both overnight and intraday sections for the next month. We argue that treating jump and non-jump stocks in isolation uncovers concealed patterns and heralds new avenues for return predictability.

2-Market Ambiguity and Mispricing in S&P500 Futures Contracts

(with Cenk C. Karahan)

Abstract

We empirically unveil the effect of having multiple priors on asset mispricing in the market where mean-variance optimization and Bayesian approach do not have any say. We show that the level of mispricing in S&P500 E-Mini futures contracts is also linked to the degree of prevailing market ambiguity. Crucial findings are in order: First, our study unearths how different levels of Knightian uncertainty impact the direction and level of mispricing in US futures markets. Second, profound analysis reveals an asymmetric outlook for episodes of market euphoria and unrest. Third, we identify the primary channels through which the ambiguity permeates the market. Findings are robust to different ambiguity measurement techniques. Extant literature on marred prospects and market implications rests heavily on experimental data. This study expands recently burgeoning thin literature that is built upon market data.

PS: We are now focusing on the main drivers of futures markets. Hazelkorn et al. (2023) show that liquidity demands from different market actors shape futures-cash basis. In a similar fashion, we are currently compiling data from the Commodity Futures Trading Commission to work on the supply & demand dynamics and cross-market activities of different clientele.

ONGOING

1‑ Solving Idiosyncratic Volatility Puzzle: Discrete vs Continuous Information Flows

2- Discontinuity-induced Circuit Breaker and Price Efficiency in Stock Markets

3‑ Role of Ambiguity in Investor Overreaction Around Information Shocks

(with Cenk C. Karahan and Merve Gizem Cevheroglu)

4- Invisible Hand on Correlations: Portfolio Rebalancing