Khan, Asad ul Islam
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Yönetim Bilimleri Fakültesi, İktisat Bölümü
İktisat Bölümü, başta Türkiye ve çevre ülkeler olmak üzere küresel ekonomileri anlayan, var olan sorunları analiz ederken, iktisadi kuramları ve kavramları yetkin ve özgün bir şekilde kullanma becerisine sahip bireyler yetiştirmeyi amaçlamaktadır.
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Khan
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Solunum Sistemi, Genel ve Dahili Tıp, Çevre Bilimleri ve Ekoloji, İş Ekonomisi, Bilim ve Teknoloji
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Yayın The probabilities of type I and II error of null of cointegration tests: A Monte Carlo comparison(Plos One, 2022) Khan, Asad ul Islam; Khan, Asad ul Islam; Aysan, Ahmet Faruk; Güney, İbrahim; Isac, Nicoleta; Khan, Asad ul Islam; Yönetim Bilimleri Fakültesi, İktisat Bölümü; Yönetim Bilimleri Fakültesi, İktisat BölümüThis paper evaluates the performance of eight tests with null hypothesis of cointegration on basis of probabilities of type I and II errors using Monte Carlo simulations. This study uses a variety of 132 different data generations covering three cases of deterministic part and four sample sizes. The three cases of deterministic part considered are: absence of both intercept and linear time trend, presence of only the intercept and presence of both the intercept and linear time trend. It is found that all of tests have either larger or smaller probabilities of type I error and concluded that tests face either problems of over rejection or under rejection, when asymptotic critical values are used. It is also concluded that use of simulated critical values leads to controlled probability of type I error. So, the use of asymptotic critical values may be avoided, and the use of simulated critical values is highly recommended. It is found and concluded that the simple LM test based on KPSS statistic performs better than rest for all specifications of deterministic part and sample sizes.Yayın Effect of monetary policy on the Nigerian stock market: A smooth transition autoregressive approach(Central Bank of Nigeria, 2021) Babangida, Jamilu S.; Khan, Asad ul Islam; Yönetim Bilimleri Fakültesi, İktisat BölümüThis paper examines the nonlinear effect of monetary policy decisions on the performance of the Nigerian Stock Exchange market, by employing the Smooth Transition Autoregressive (STAR) model on monthly data from 2013 M4 to 2019 M12 for All Share Index and monetary policy instrument. This study considers the two regimes characterizing the stock market, which are the lower regime (the bear market) and the upper regime (the bull market). The results show evidence of nonlinear effect of monetary policy on the stock exchange market. Monetary policy rate, money supply, lagged monetary policy rate and lagged treasury bill rate are found to have significant positive effects on the stock exchange market in the lower regime while current treasury bill rate shows a negative effect. In the upper regime, money supply and lagged treasury bill rate have significant negative effect on the stock market. The current treasury bill rate is found to have a positive effect on the stock exchange market. It is recommended that the Central Bank of Nigeria should maintain a stable money supply growth that is consistent with increased activities in the Nigerian stock market.Yayın Asymmetric effects of economic growth, fossil fuel consumption, and financial development on carbon emissions in Ghana(Shaheed Benazir Bhutto Women University, 2024) Abdul Rahman, Mutawakil; Iftikhar, Sundas; Khan, Asad ul Islam; Yönetim Bilimleri Fakültesi, İktisat BölümüThis research analyzes the impact of economic expansion, non-renewable energy consumption (NonREC), financial sector improvement, and carbon releases in Ghana. The study used yearly data from 1971 to 2014 and applied the Nonlinear Autoregressive Distributed Lag (NARDL) method to examine the data. The NARDL approach facilitated the differentiation of variables into favorable and unfavorable adjustments by examining the short-and long-run effects. The results indicated that all the independent variables exhibited short-term asymmetries, while economic growth presented long-term asymmetry. Negative adjustments in economic expansion led to a decline in carbon releases in the long run but an increase in the short run. favorable and unfavorable adjustments in NonREC positively and negatively impact carbon releases in both the short and long term. Additionally, negative adjustments in financial development positively affected carbon releases in the long run. The cumulative dynamic multipliers graphs and impulse response function graphs illustrate the same impact pattern of the independent variables on carbon releases, confirming the findings' robustness. The study suggests implementing environmental policies in Ghana that promote renewable sources of energy and energy-conserving innovations to reduce environmental degradation. The findings recommend that the decision-maker prioritize effective environmental strategies like a green economy, renewable energy use, and energy-saving technologies. By adopting clean energy and implementing advanced technologies, sustainable economic growth can be achieved while preserving the environment and the ecosystem.Yayın Moderating role of board gender diversity between odd board composition and audit quality(Johar Education Society Pakistan, 2023) Hassan, Muhammad Zia Ul; Baith, S. M. Labib Abdul; Butt, Jahanzaib Safdar; Khan, Asad ul Islam; Khan, Asad ul Islam; Yönetim Bilimleri Fakültesi, İktisat BölümüThis study investigates the relationship between odd board structure, board gender diversity, and audit quality in Pakistani firms. The data is collected from Pakistan Stock Exchange’s KSE100 index companies from the year 2016 to 2020. The study employs regression models to analyze the impact of an odd board structure on audit quality, as measured by audit fees. Additionally, the moderating role of board gender diversity on this relationship is examined. The findings reveal that an odd board structure positively influences audit quality, indicating that firms with an odd number of directors pay higher audit fees. However, the study could not find a significant moderating role of board gender diversity. The study recommends the adoption of an odd board structure to enhance audit quality and further emphasizes the importance of promoting board gender diversity to strengthen governance practices especially audit quality in the Pakistani context.Yayın Stock market tumble sparks crypto chaos: A crash risk spillover analysis(Hungarian Central Statistical Office, 2024) Khan, Asad ul Islam; Özcan, Rasim; Abdul Rahman, Mutawakil; Waheed, Abdul; Yönetim Bilimleri Fakültesi, İktisat BölümüThe study employs an empirical Bayesian estimation approach to examine how the crash risk of the G-7 (United States [US], United Kingdom [UK], Japan, Germany, Canada, and France excluding Italy) and Chinese equity markets affects the crash risk of the top 11 cryptocurrencies. Two crash risk measures were adopted to determine the monthly crash risk of the two types of markets, which are the most appropriate for skewed returns. Four separate models were estimated using the empirical Bayes estimation method because it considers heterogeneity, is more efficient than least squares, and facilitates more accurate coefficient estimation. The results reveal that the German stock market's crash risks are significantly and contemporaneously associated with the crash risk of all 11 cryptocurrencies, indicating that the German equity market is not a reliable diversifier for cryptocurrencies. The crash risks of the US, UK, and Japanese (German and Canadian) equity markets have a positive (negative) impact on the crash risk of cryptocurrency markets with a one-month lag. Generally, lagged crash risks have a more substantial influence on cryptocurrency crash risk, suggesting that historical crashes in equity markets are better predictors of cryptocurrency crashes. The one-month significant delay effect may present arbitrage opportunities because the risk of crashes in stock markets may signal potential crashes in cryptocurrencies one month in advance. A series of robustness checks confirmed the results of the analysis and the validity of our conclusions. These findings suggest that crypto investors and policy-makers should pay attention to historical events in equity markets. Investors and portfolio managers in the cryptocurrency market should monitor unexpected fluctuations in the stock market, particularly significant declines that could result in significant losses in the future.Yayın Stablecoins and emerging market currencies: A time-varying analysis(Emerald Publishing, 2025) Napari, Ayuba; Khan, Asad ul Islam; Kaplan, Muhittin; Vergil, Hasan; Yönetim Bilimleri Fakültesi, İktisat BölümüPurpose: Owing to the growing evidence of crypto asset connectedness and correlation with traditional financial assets, this study sought to determine if there is a time-varying correlation and/or connectedness between the stablecoin market and the currencies of emerging market and developing economies (EMDEs) with significant cryptocurrency penetration. Design/methodology/approach: This study uses a probabilistic principal component analysis (PPCA) to create stablecoin and EMDEs currency returns and volatility indices for EMDEs with significant cryptocurrency penetration. We then employ a time-varying correlation and time-varying parameter vector autoregressive (TVP-VAR) connectedness measures to document the time-dependent correlation and connectedness between the EMDE currencies and the stablecoin market. Findings: The result points to a spillover of return shocks from the EMDE currencies to the stablecoin market prior to and after the COVID-19 pandemic. This is indicative of a flight-to-safety role of stablecoins for EMDE currencies. This calls for increased attention to the stablecoin market by money market investors and monetary authorities. Originality/value: The paper contributes to the growing cryptocurrency and finance literature by empirically examining the level of connectedness between stablecoins and emerging market currencies. Knowing the relationship (correlation) and shock spillover (connectedness) between the stablecoins and the EMDE currencies will be valuable to currency investors’ diversification and hedging strategies, and to macroeconomic policymakers in designing and implementing regulation.Yayın Whether the crypto market is efficient? Evidence from testing the validity of the efficient market hypothesis(Bank Indonesia Institute, 2024) Iftikhar, Sundas; Khan, Asad ul Islam; Özcan, Rasim; Yönetim Bilimleri Fakültesi, İktisat BölümüThis study examines the validity of the efficient market hypothesis for the cryptocurrency market. We use the Exponential Generalized Autoregressive Conditional Heteroscedastic approach to examine the presence of different calendar anomalies i.e., the Halloween effect, the day-of-the-week (DOW) effect, and the month-of-the-year effect in the case of Bitcoin, Ethereum, XRP, Tether, and USD Coin. The findings show that there is no strong evidence of the Halloween effect. We find only robust Thursday and Saturday effects in the mean equation. In the case of the month-of-the-year effect, there is only a reverse January effect. More specifically, we note that April and February are statistically significant in the case of Bitcoin and Ethereum, respectively. Results obtained from the variance equations imply that September and October are the least risky months for investors.Yayın Survival of the fittest: A natural experiment from crypto exchanges(World Scientific Publishing, 2021) Khan, Asad ul Islam; Khan, Asad ul Islam; Aysan, Ahmet Faruk; Khan, Asad ul Islam; Topuz, Humeyra; Tunalı, Ahmet Semih; Yönetim Bilimleri Fakültesi, İktisat Bölümü; Yönetim Bilimleri Fakültesi, İktisat BölümüThis paper explores the applicability of universal cryptocurrency exchange by analyzing crypto exchanges of Binance, Latoken, Kucoin and Qash, which also have their own cryptocurrencies in the crypto market. Results of the recursive Johansen cointegration test proved that even though all of the cryptocurrencies have cointegration among each other, Binance positively disassociated itself from the others after it moved to Malta on 23 March 2018. Based on the daily prices of cryptocurrencies over the period from 6 November 2017 to 10 November 2019, taken from coinmarketcap, we conclude that Binance can be considered as a survival of the fittest among all of the crypto exchanges in this natural experiment.Yayın A comparative assessment of frequentist forecasting models: Evidence from the S&P 500 pharmaceuticals index(İstanbul University Press, 2023) Muneza, Christian; Khan, Asad ul Islam; Badshah, Waqar; Khan, Asad ul Islam; Yönetim Bilimleri Fakültesi, İktisat BölümüThis paper compares three forecasting methods, the autoregressive integrated moving average (ARIMA), generalized autoregressive conditional heteroscedasticity (GARCH), and neural network autoregression (NNAR) methods, using the S&P 500 Pharmaceuticals Index. The objective is to identify the most accurate model based on the mean average forecasting error (MAFE). The results consistently show the NNAR model to outperform ARIMA and GARCH and to exhibit a significantly lower MAFE. The existing literature presents conflicting findings on forecasting model accuracy for stock indexes. While studies have explored various models, no universally applicable model exists. Therefore, a comparative analysis is crucial. The methodology includes data collection and cleaning, exploratory analysis, and model building. The daily closing prices of pharmaceutical stocks from the S&P 500 serve as the dataset. The exploratory analysis reveals an upward trend and increasing heteroscedasticity in the pharmaceuticals index, with the unit root tests confirming non-stationarity. To address this, the dataset has been transformed into stationary returns using logarithmic and differencing techniques. Model building involves splitting the dataset into training and test sets. The training set determines the best-fit models for each method. The models are then compared using MAFE on the test set, with the model possessing the lowest MAFE being considered the best. The findings provide insights into model accuracy for pharmaceutical industry indexes, aiding investor predictions, with the comparative analysis emphasizing tailored forecasting models for specific indexes and datasets.Yayın Till debt does us apart: Cross-country evidence on the relationship between microfinance prevalence and social distrust(Public Library Science, 2023) Khan, Asad ul Islam; Özcan, Rasim; Masood, Syed Muhammad Usman; Yönetim Bilimleri Fakültesi, İktisat BölümüEconomic interventions have social consequences. In this paper, we explore one such relationship, between microfinance intensity and social distrust levels reported by the low-income people. We find a significant association between microfinance intensity in a country and distrust among the poor as well as ultra-poor in cross-section using World Values Survey & European Values Survey (WVS-EVS) Wave 7 (2017-2022). We supplement these findings using empirical Bayes on a panel extending back from 7th to the 4th WVS wave (1999-2004). To deal with potential endogeneity, we run 2SLS as well as weak instruments-robust conditional instrumental variable tests and find evidence showing microfinance prevalence intensity affects distrust levels among the poor and ultra-poor households. We find no association between microfinance and distrust levels in the rich in any of the tests, potentially because the rich are not exposed to microfinance.
