Yazar "Abdul-Rahman, Mutawakil" seçeneğine göre listele

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    Are stock prices and the Turkish money demand function related?
    (Sosyoekonomi Society, 2023) Abdul-Rahman, Mutawakil; Seidu, Ayatullahi
    Using the Autoregressive Distributed Lag (ARDL) and Granger causality test, this study demonstrates that M1 and M2 money demand cointegrates with real income, deposit interest rate, real exchange rates, and real stock prices. Real income, deposit interest, and exchange rates are significant determinants of the Turkish economy's long-run M1 and M2 money demand. Furthermore, our findings reveal that the wealth effect of real stock prices outweighs the substitution effect within the Turkish economy. The impact of real stock prices on M1 and M2 money demand is positive and statistically significant in the long run. While M2 is more responsive to changes in real stock prices, M1 exhibits greater stability than M2. Therefore, policymakers must recognise the significant role of the stock market in the longrun money demand function within the Turkish economy and its impact on the effective implementation of monetary policy.
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    Beyond GARCH: Intraday insights into the exchange rate and stock price volatility dynamics in Borsa Istanbul sectors
    (Shaheed Benazir Bhutto Women University, 2024) Abdul-Rahman, Mutawakil; Khan, Asad ul Islam; Kaplan, Muhittin; Yönetim Bilimleri Fakültesi, İktisat Bölümü
    This study investigated the impact of exchange rate volatility on sectoral stock volatility by employing the intraday volatility measure directly calculated from the original data, using daily data from 27 Borsa Istanbul sectors between April 29, 2003, and April 25, 2023. In the literature, GARCH models are commonly used to study the volatility spillovers between exchange rates and stock prices, typically using aggregate data. However, the GARCH family models provide inefficient and biased estimates if they are misspecified. Moreover, using aggregate-level data may lead to biased and misleading conclusions. The research used intraday volatility measures to overcome the shortcomings of GARCH models. The ordinary least squares (OLS), GARCH (1,1) methods, and Garman and Klass (1980) volatility estimator are used. The empirical results showed that the estimates from each method vary significantly, and these disparities in the results might be due to misspecification in GARCH (1,1) models. The intraday volatility model estimation results showed that although stock price volatilities in all sectors are positively and significantly affected by exchange rate volatility, their magnitudes vary significantly. Taken together, this implies the presence of vast heterogeneities in the responses of sectoral stock price volatilities to exchange rate volatility. The results encourage policymakers to pay special attention to these heterogeneities to prevent capital flights and underinvestment. Additionally, the findings assist investors in making more effective decisions by helping them adapt their investment strategies to factor in exchange rate fluctuations and mitigate the impact of unexpected events in the exchange rate market.
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    Oil prices and economic growth nexus in Ghana: New empirical evidence
    (Sciendo, 2023) Abdul-Rahman, Mutawakil; Seidu, Ayatullahi; Abdul Rahman, Mohammed Muntaka; Turgut, Murat; Yönetim Bilimleri Fakültesi, İktisat Bölümü
    The study aims to contribute to the oil price-economic growth nexus in Ghana by assessing the short- and long-run relationships with annual data that covers the period from 1987 to 2020. The study contributes to the literature by accounting for developments in the Ghanaian oil industry post-2012, including the discovery of the Tweneboa-Enyenra-Ntomme (TEN) and Sankofa Gye-Nyame (SGN) oil fields in 2016 and 2017, respectively, thus filling a massive deficiency in the literature. The Autoregressive Distributed Lag (ARDL) and the bounds cointegration test are used because they are appropriate for analyzing short- and long-run dynamics on a theoretical basis when time series are mixed-integrated, i.e., I(1) and I(0). The bounds test results indicated a cointegration relation between economic growth as proxied by real gross domestic product per capita and physical capital, labor force, oil prices, population growth, and government expenditure. The findings provide convincing evidence that the oil price is a significant driver of economic growth in Ghana. Both long-run and short-run impacts of the oil price are positive, statistically significant, and robust for the oil price proxy. The results suggest that because of the recent volatility of oil prices, economic policies should be concentrated on reducing overreliance on oil revenue to avoid the Dutch disease phenomenon. Nonetheless, policymakers should strategize well enough by encouraging more local participation in the oil sector to avoid the risk of falling victim to the Dutch disease.
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    The Impact of domestic and global risk factors on Turkish stock market: Evidence from the NARDL approach
    (Routledge, 2021) Erdoğan, Levent; Ceylan, Reşat; Abdul-Rahman, Mutawakil; Yönetim Bilimleri Fakültesi, İktisat Bölümü
    The study investigates the short-run and long-run asymmetric effects of the global economic policy uncertainty, real oil prices, and country-specific geopolitical risk on real stock returns in Turkey by using the nonlinear autoregressive distributed lag (NARDL) framework over the pre-COVID-19 period of 1997:01-2019:12 and full-sample period of 1997:01-2020:12. The empirical findings indicate the following results. Firstly, global economic policy uncertainty leads to depress real stock returns for both sample periods. Secondly, negative real oil price changes, in the long run, have relatively greater effects compare to positive changes on real stock returns, whereas positive oil price changes affect negatively in the short-run for the full-sample period. Thirdly, the country-specific geopolitical risk exerts positive effects on the real stock returns in the long run for both periods. The overall results suggest that the Turkish real stock returns react more to the bad news caused by the global factors than the domestic one.