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Economic Growth and Financial Development: Evidence from Panel Cointegration Tests in Emerging Countries (2023)
Journal Article
Gültekin, M., & Umutlu, M. (2023). Economic Growth and Financial Development: Evidence from Panel Cointegration Tests in Emerging Countries. International Journal of Contemporary Economics and Administrative Sciences, 13(1), 101-126. https://doi.org/10.5281/zenodo.8332442

In This study analyzes the long-run relationship between economic growth (EG) and financial development (FD) in 27 emerging countries over the period 1980 to 2018 by employing the Johansen-Fisher panel cointegration method. The study also performs th... Read More about Economic Growth and Financial Development: Evidence from Panel Cointegration Tests in Emerging Countries.

Are return predictors of industrial equity indexes common across regions? (2023)
Journal Article
Bengitöz, P., & Umutlu, M. (2023). Are return predictors of industrial equity indexes common across regions?. Journal of Asset Management, 24, 396–418. https://doi.org/10.1057/s41260-023-00313-4

We investigate the potential cross-sectional relationship between several equity index attributes and future returns on country-industry indexes in the regions of North America, Europe, Asia-Pacific, South America, MENA, and Japan. Index attributes i... Read More about Are return predictors of industrial equity indexes common across regions?.

Market segmentation and international diversification across country and industry portfolios (2023)
Journal Article
Umutlu, M., Yargı, S. G., & Zaremba, A. (2023). Market segmentation and international diversification across country and industry portfolios. Research in International Business and Finance, 65, Article 101954. https://doi.org/10.1016/j.ribaf.2023.101954

We conjecture that partially segmented stock indexes that are characterized by low correlation with the world market are mainly priced by local factors and should produce abnormal returns relative to a global asset-pricing model. This implies a negat... Read More about Market segmentation and international diversification across country and industry portfolios.

Decomposing the earnings-to-price ratio and the cross-section of international equity-index returns (2021)
Journal Article
Umutlu, M., Bengitöz, P., & Zaremba, A. (2021). Decomposing the earnings-to-price ratio and the cross-section of international equity-index returns. Applied Economics, 53(54), 6213-6230. https://doi.org/10.1080/00036846.2021.1937499

We examine whether components of the earnings-to-price (EP) ratio can be used to extract incremental information to better estimate future returns in the cross-section of country-industry indexes. We demonstrate that the EP components, such as lagged... Read More about Decomposing the earnings-to-price ratio and the cross-section of international equity-index returns.

Return range and the cross-section of expected index returns in international stock markets (2021)
Journal Article
Umutlu, M., & Bengitöz, P. (2021). Return range and the cross-section of expected index returns in international stock markets. Quantitative Finance and Economics, 5(3), 421-451. https://doi.org/10.3934/qfe.2021019

This study examines the cross-sectional relation between return range and future returns for the first time in literature. We show that the return range can serve as a very practical measure of total volatility instead of standard deviation due to th... Read More about Return range and the cross-section of expected index returns in international stock markets.

To diversify or not to diversify internationally? (2021)
Journal Article
Umutlu, M., & Yargı, S. G. (2022). To diversify or not to diversify internationally?. Finance Research Letters, 44, Article 102110. https://doi.org/10.1016/j.frl.2021.102110

Using alternative measures of return correlations, we show that neither industry nor country correlations exhibit an ever-increasing trend. Instead, correlations jump during recessions with a tendency to revert in stable periods. This keeps internati... Read More about To diversify or not to diversify internationally?.

Financial Openness and Financial Development: Evidence from Emerging Countries (2020)
Journal Article
Umutlu, M., Gultekin, M., & Özkaya, H. (2020). Financial Openness and Financial Development: Evidence from Emerging Countries. Istanbul Business Research, 49(2), 316-338. https://doi.org/10.26650/ibr.2020.49.0040

We investigate the potential relation between financial openness and financial development for 27 emerging countries for the period between 1996 and 2016. We focus on three dimensions of financial openness: capital account openness, trade openness, a... Read More about Financial Openness and Financial Development: Evidence from Emerging Countries.

Where have the profits gone? Market efficiency and the disappearing equity anomalies in country and industry returns (2020)
Journal Article
Zaremba, A., Umutlu, M., & Maydybura, A. (2020). Where have the profits gone? Market efficiency and the disappearing equity anomalies in country and industry returns. Journal of Banking and Finance, 121, Article 105966. https://doi.org/10.1016/j.jbankfin.2020.105966

We are the first to demonstrate the decline in the cross-sectional predictability of country and industry returns in recent years. We examine 53 anomalies in country and industry indices from 64 markets for the years 1973–2018. The profitability of t... Read More about Where have the profits gone? Market efficiency and the disappearing equity anomalies in country and industry returns.

The cross-section of industry equity returns and global tactical asset allocation across regions and industries (2020)
Journal Article
Umutlu, M., & Bengitöz, P. (2020). The cross-section of industry equity returns and global tactical asset allocation across regions and industries. International Review of Financial Analysis, 72, Article 101574. https://doi.org/10.1016/j.irfa.2020.101574

This study investigates which index characteristics predict returns in the cross-section of local industry indexes in six regions. The results show that geographical origin and market capitalization of indexes critically determine the predictive abil... Read More about The cross-section of industry equity returns and global tactical asset allocation across regions and industries.

Opposites Attract: Combining Alpha Momentum and Alpha Reversal in International Equity Markets (2020)
Journal Article
Zaremba, A., Umutlu, M., & Karathanasopoulos, A. (2020). Opposites Attract: Combining Alpha Momentum and Alpha Reversal in International Equity Markets. Journal of Investing, 29(3), 38-62. https://doi.org/10.3905/joi.2020.1.120

The authors offer a new integrated framework to combine alpha momentum and alpha reversal into a superior investment strategy for international equity markets. Mixing both effects into a single blended alpha signal forms a stronger country and indust... Read More about Opposites Attract: Combining Alpha Momentum and Alpha Reversal in International Equity Markets.

Alpha momentum and alpha reversal in country and industry equity indexes (2019)
Journal Article
Zaremba, A., Umutlu, M., & Karathanasopoulos, A. (2019). Alpha momentum and alpha reversal in country and industry equity indexes. Journal of Empirical Finance, 53, 144-161. https://doi.org/10.1016/j.jempfin.2019.07.003

Do past alphas predict future country and industry returns? Examination of equity indexes from 51 stock markets between 1973 and 2018 allows us to demonstrate new return patterns in the cross-section of country and industry returns. Past short-term (... Read More about Alpha momentum and alpha reversal in country and industry equity indexes.

Does idiosyncratic volatility matter at the global level? (2018)
Journal Article
Umutlu, M. (2019). Does idiosyncratic volatility matter at the global level?. North American Journal of Economics and Finance, 47, 252-268. https://doi.org/10.1016/j.najef.2018.12.015

I test the existence of a time-series relationship between the aggregate idiosyncratic volatility and the market index return at the global level by introducing various global measures of aggregate idiosyncratic volatility. I offer four definitions o... Read More about Does idiosyncratic volatility matter at the global level?.

Strategies can be expensive too! The value spread and asset allocation in global equity markets (2018)
Journal Article
Zaremba, A., & Umutlu, M. (2018). Strategies can be expensive too! The value spread and asset allocation in global equity markets. Applied Economics, 50(60), 6529-6546. https://doi.org/10.1080/00036846.2018.1489523

Is the value spread useful for forecasting returns on quantitative equity strategies for country selection? To test this, we examine a sample of 120 country-level equity strategies replicated within 72 stock markets for the years 1996–2017. The value... Read More about Strategies can be expensive too! The value spread and asset allocation in global equity markets.

Less pain, more gain: Volatility-adjusted residual momentum in international equity markets (2018)
Journal Article
Zaremba, A., Umutlu, M., & Maydybura, A. (2018). Less pain, more gain: Volatility-adjusted residual momentum in international equity markets. Investment Analysts Journal, 47(2), 165-191. https://doi.org/10.1080/10293523.2018.1469290

We offer a new type of momentum strategy — the volatility-adjusted residual momentum (VARMOM) — which is based on average past residuals scaled with their volatility. We demonstrate its application for international asset allocation within 51 country... Read More about Less pain, more gain: Volatility-adjusted residual momentum in international equity markets.

Size matters everywhere: Decomposing the small country and small industry premia (2017)
Journal Article
Zaremba, A., & Umutlu, M. (2018). Size matters everywhere: Decomposing the small country and small industry premia. North American Journal of Economics and Finance, 43, 1-18. https://doi.org/10.1016/j.najef.2017.09.002

We explore the country and industry size effects by decomposing market value into four components: short-term return, representing momentum; long-run return, representing reversal; composite issuance; and lagged market value. We examine the implicati... Read More about Size matters everywhere: Decomposing the small country and small industry premia.

Option-Implied Volatility Measures and Stock Return Predictability (2016)
Journal Article
Fu, X., Arisoy, Y. E., Shackleton, M. B., & Umutlu, M. (2016). Option-Implied Volatility Measures and Stock Return Predictability. Journal of Derivatives, 24(1), 58-78. https://doi.org/10.3905/jod.2016.24.1.058

Do changes in implied volatilities (IVs) or differences among options at different spots on the volatility surface contain predictive information for future returns? The question has been asked repeatedly—and often answered in the affirmative for spe... Read More about Option-Implied Volatility Measures and Stock Return Predictability.

Idiosyncratic Volatility and Expected Returns at the Global Level (2015)
Journal Article
Umutlu, M. (2015). Idiosyncratic Volatility and Expected Returns at the Global Level. Financial Analysts Journal, 71(6), 58-71. https://doi.org/10.2469/faj.v71.n6.5

The author investigated the existence and significance of a global cross-sectional relation between idiosyncratic volatility and expected returns by introducing a global idiosyncratic volatility measure and globally diversified test assets. He found... Read More about Idiosyncratic Volatility and Expected Returns at the Global Level.

Stock-return volatility and daily equity trading by investor groups in Korea (2015)
Journal Article
Umutlu, M., & Shackleton, M. B. (2015). Stock-return volatility and daily equity trading by investor groups in Korea. Pacific-Basin Finance Journal, 34, 43-70. https://doi.org/10.1016/j.pacfin.2015.05.003

We examine the short-run relationship between stock-return volatility and daily equity trading by several investor groups in the Korean Stock Exchange. We also investigate whether trade characteristics and trading styles can explain the potential dis... Read More about Stock-return volatility and daily equity trading by investor groups in Korea.

The Link between Financial System and Economics: Functions of the Financial System, Financial Crises, and Policy Implications (2014)
Journal Article
Akdogu, S. K., & Umutlu, M. (2014). The Link between Financial System and Economics: Functions of the Financial System, Financial Crises, and Policy Implications. International Journal of Financial Research, 5(4), 52-66. https://doi.org/10.5430/ijfr.v5n4p52

Financial system plays a key role in fostering economic growth by efficiently channelling the funds to investments. However, financial system is also considered as the source of instability especially during crisis periods. How to redesign financial... Read More about The Link between Financial System and Economics: Functions of the Financial System, Financial Crises, and Policy Implications.

Foreign Equity Trading and Average Stock-return Volatility (2013)
Journal Article
Umutlu, M., Akdeniz, L., & Altay-Salih, A. (2013). Foreign Equity Trading and Average Stock-return Volatility. World Economy, 36(9), 1209-1228. https://doi.org/10.1111/twec.12011

We examine whether there is a relationship between foreign equity trading and average total volatility, measured as the value-weighted average of stock-return variance in the Istanbul Stock Exchange. We employ foreign equity purchase and sale data to... Read More about Foreign Equity Trading and Average Stock-return Volatility.