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713-522-7911

Dr. Sidika Bayram Assistant Professor
Cameron School of Business
713/831-7232
bayrams@stthom.edu

Degrees

  • Master of Business Admin - Business Administration - University of Texas Pan American
  • Doctor of Philosophy - Business Administration - University of Texas Pan American

Publications

  • "The Impact of Political Variables on Stock Returns and Investor Sentiment"
    Journal of Business and Behavioral Sciences
    (2014) Vol. 26
  • "The Impact of Political Variables on Stock Returns and Investor Sentiment"
    Journal of Business and Behavioral Sciences
    In this paper, we employ econometric techniques to examine the impact of political variables on investor sentiment, stock market returns, and the covariance between investor sentiment and equity returns. Similar to prior studies our results indicate that stock market returns are higher during Democratic presidencies. Contrast we also find that both investor sentiment and the covariance between investor sentiment and stock returns are both higher when Democrats control the White House. Our results seem to suggest that political variables not only influence stock returns, but they also influence the way investors feel about the market.
    (2014)
  • "Interest Rate Liberalization and Inflation in Developing Countries: A Theoretical Analysis"
    Banks and Bank Systems
    Interest rate liberalization is often recommended as an effective measure to curb inflation in developing countries. Higher interest rates on deposits, it is particularly asserted, can reduce inflation by lowering the velocity of circulation of money. This assertion, however, ignores the adverse effects of higher interest rates on money supplies, as governments create new money to help their banks deal with losses from higher deposit costs. Indeed, in the context of a simple model, this paper shows that such increases in money supplies can dominate reductions in money velocities, thus exacerbating inflationary pressures. The paper also shows that the use of government bonds instead of money to finance higher deposit costs may prove ineffective, as such bonds are often perfect substitutes for money as a result of governmental bond price support programs.
    (2013) Vol. 8 Page 115-120
  • "The Relative Importance of the Determinants of the US Money Supply"
    AABRI Research in Business and Economics Journal
    This paper examines the changes in the relative importance of the determinants of the US money supply (both narrowly and broadly defined) over the past two decades. Using the cointegration approach and the recently developed technique of dominance analysis, the paper finds the currency ratio to be the main determinant of the US money supply over the sample period, a result in line with others in the literature for earlier periods. However, our findings also indicate that during the peak of the recent financial crisis, 2008-2009, the bank excess reserves ratio emerged as an equally important factor. This was due to the fact that the bulk of the monetary base created by the Fed to counter the crisis ended up as idle bank reserves, thereby significantly limiting the effect of the newly issued monetary base on the money supply.
    (2013) Vol. 8 Page 16
  • "Household Debt, Consumer Sentiment, Inflation and Real Rate of Interest in the U.S"
    Academy of Behavioral Finance and Economics (2013)
  • "Home and Host Country Investor Sentiments and ADR Index Returns: A Brazilian Case"
    "American Depository Receipts (ADRs) provide international portfolio diversification opportunities to the investors in their host country as the underlying securities come from foreign (home country) stock markets. ADRs are appealing because of the fact they are no different from any share of stock that is listed on US stock exchanges and are denominated in US dollars. Such appealing properties of ADRs triggered significant research on ADR return behaviors; however, research on bidirectional relationships between home/host country sentiments and the ADR returns remain rather limited. In an attempt to close this gap, our study investigates the dynamic relationships among the home/host country investor sentiments and the ADR Index returns using US stock exchange traded-Brazilian ADR index as a case study. We choose a Brazilian ADR index since Brazil is one of the leading emerging economies, and her securities are widely used globally for portfolio diversification purposes. We use the monthly time series data from the period of December 2005 to July 2009. As proxies for individual and institutional investor sentiments, consumer and business confidence index scores for Brazil and US are used. Monthly closing prices of Dow Jones Brazil Titans 20 ADR Index are utilized to calculate the Brazilian ADR index returns. Vector Auto Regression (VAR) is chosen as the model due to its superior ability to investigate postulated relationships. Our results indicate that the impulse responses of the Brazilian ADR Index returns to one-time standard deviation increases (shocks) in individual and institutional investor sentiments of both Brazil (home country) and US (host country) are positive and significant. However, the durations of the significant impacts vary depending on the type and the origin of the sentiment variables. The impulse response of the Brazilian ADR index returns to one-time standard deviation increase in the Brazilian institutional investor sentiment is positive and significant for the first three months whereas the same impulse response to one-time SD innovation in the US institutional sentiment lasts for the first two months only. The impulse responses of the Brazilian ADR index returns to one-time innovations in individual sentiment variables are positive and significant for only one month following the innovations for both US and Brazil individual investor sentiments. Thus, the results concluded that institutional investor sentiments in general, Brazilian institutional investor sentiments in particular, have more pronounced and persistent impacts on the Brazilian ADR index returns. Moreover, the impulse responses of the all sentiment variables in both countries to a one-time standard deviation increase in the Brazilian ADR index returns are positive and significant for the first month. It should also be noted that the impulse response of the Brazilian institutional investor sentiment remains persistent for a longer time. In summary, we see a significant and strong feedback effect between the Brazilian institutional investor sentiment and the Brazilian ADR index returns. Although, the effects of home and host country sentiments on Brazilian ADR index returns show similarities, the bidirectional relationship between home country (Brazil) institutional investor sentiment and the ADR index returns are stronger and more persistent. Thus, the institutional investor sentiment of the origin country of underlying stocks for ADRs is the most important and matters the most. The implications of the study can be interpreted as even the host country sentiments and ADR returns are positively and significantly affect each other, the home country sentiments, especially the home country institutional investor sentiment, reveal stronger ties with the ADR returns. These findings are in line with the previous studies that find that the institutional investor sentiments have more pronounced and persistent effects on stock returns than individual investor sentiments. The most plausible outcome of our study is although the ADRs mimic stocks in many aspects, they do reflect their home country’s institutional investor sentiments more than their host country’s institutional investor sentiments."
    Academy of Behavioral Finance and Economics (2012)
  • "Modeling Stock Return Volatility in the Istanbul Stock Exchange"
    This study investigates the volatility of Istanbul Stock Exchange (ISE), which is among the fast-growing emerging stock markets. The study employs GARCH type of models with different distribution assumptions in the error terms and tests the validity of models over the ISE?s 1988-2010 time period. We use ISE-100 index returns as the ISE-100 index represents more than 90% of the ISE?s market capitalization. Preliminary results show that 82% of past volatility in the ISE carries over to future volatility and the current returns of the ISE are significantly affected by the past returns. The latter result implicitly rejects the random walk hypothesis for the time period studied which states that stock market prices evolve according to a random walk and thus the future stock prices cannot be predicted. Results also reveal that market participants are able to price stock market volatility as a perceived measure of risk. Another important result of the study is the ISE?s asymmetric response to negative and positive shocks. The same magnitudes of “sudden good news” and “sudden bad news” in the market do not cause the same magnitudes of volatility changes in the opposite directions. In the case of negative shocks, the volatility of the stock market is higher than the volatility caused by positive shocks and the magnitude of the volatility difference between these two types of shocks is 0.70 in favor of the negative shocks. We also divide our sample period into two periods of decades: first sub-sample period starts from 1988 and ends at the end of 1998 whereas the second subsample period starts from the end of 1998 and ends at the beginning of 2010. The results for the sub-sample periods show no significant differences than the full sample period results except that EGARCH models are insufficient to detect any significant asymmetric response for the first sub-sample period. However, when we create a dummy variable to distinguish between the impact of the positive and negative shocks for this period, we are able to find significant leverage effects as is for other sample periods. This difference may be due to initial difficulties in the market and learning curve complications. For all models in the study, Student?s t error term distribution consistently provides better model fits than normal distribution for the error terms. Our findings are consistent with the literature in that the ISE is not an efficient stock market.
    Society for the Study of Emerging Markets (2011) Page 114
  • "Dynamic Interactions between Rational-Irrational Sentiments and Stock Returns in Emerging Stock Markets: Evidence from Turkey"
    "This study investigates the dynamic relationship between rational and irrational consumer-business sentiments and stock returns in emerging stock markets. Study focuses on Turkey for evidence. Previous literature mostly treats investor sentiment as being fully irrational. However, a recent study by Verma et al. (2008) demonstrates that the investor sentiment could be explained by both rational and irrational risk factors. Following their methodology, we divide consumer and business sentiments into two components: rational and irrational sentiments. Then, we investigate the dynamic interactions and the impact of the sentiment components on stock returns using Vector Auto Regression (VAR) models at both consumer and business levels. We use monthly time series data for the period of 2003-2010. ISE-100 Index is used to calculate the return series as this index represents 90% of the market capitalization in the Istanbul Stock Exchange and fundamental economic variables consist of business conditions, economic risk premium, country risk, exchange rate risk, country growth rate, inflation rate, and terms of trade. The results show that ISE-100 index returns are positively and significantly affected by the rational sentiments of both consumers and businesses. However, irrational sentiments do not have any significant impact on the ISE- 100 returns. Moreover, the impulse responses of rational sentiments of consumers and businesses to onetime standard deviation increase in the ISE-100 returns are positive and significant for the first three months and it becomes insignificant thereafter. On the contrary, the impulse responses of irrational sentiments of consumers and businesses to one-time standard deviation increase in the ISE-100 returns remains insignificant. In summary, significant bidirectional relationship between returns and rational component of consumer and business sentiments is confirmed and the results do not show any significant differences between consumer and business levels. The findings are consistent with study by Calafiore et al. (2009), which focuses on another emerging market: Brazil. Their study also confirms significant bidirectional relationship between returns and rational components of consumer and business sentiments. They find no significant effect of irrational components on Brazilian stock returns.Both our results and that of Calafiore et al. (2009) are partially consistent with Verma et al. (2008). Contrary to Verma et al. (2008), we do not find any significant effect in favor of irrational sentiments. This disparity could be attributed to the differences between developed and emerging stock markets as Verma et al focus on US stock markets. In contrast to developed stock markets, institutional investors play more major role in shaping emerging stock market movements than individual investors. Institutional investors are known to utilize more technical and analytical analysis in their decision- making processes. We believe as the number of individual investors increase and they become more active participants, irrational components of sentiments in emerging stock markets may become significant following the trails of their developed counterparts."
    Academy of Behavioral Finance and Economics (2010) Page 109-111
  • "An Analysis of the Likelihood of Non- Audit Services Provided by CPA Firms and Audit Client Characteristics"
    "The purpose of this study is to investigate the likelihood of an audit client receiving nonaudit services (NAS) provided by its CPA firm through the audit client and CPA firm characteristics. The literature on NAS discusses the relationships between NAS and audit quality and NAS and auditor independence extensively. However, there are few studies in the literature that show the specific characteristics of companies that use NAS provided by their CPA firms and the characteristics of these CPA firms that provide the NAS services for their clients. We form a logistic regression model where an audit client’s consumption status of NAS is the dependent variable with a binary outcome. Explanatory variables included in the study are divided into two categories: (1) variables that are related to audit client firms and (2) variables describing CPA firm characteristics. Size, growth ratio, profitability, leverage, material weakness, and industry are relative variables associated with the first category whereas being a Big 4 CPA firm and/or being an industry specialist CPA firm are the other two explanatory variables used to describe CPA firm characteristics. The data for the study is obtained through Auditor Analytics Database for the year of 2004. Our results show that size, profitability, material weakness, being a Big 4 CPA firm, and being an industry specialist CPA firm significantly contribute to predicting firms’ likelihood of purchasing NAS from their CPA firms. Growth ratio and leverage do not add to the model’s prediction ability. Our model also predicts that firms operating in agriculture, forestry, and fishing, mining, construction, wholesale trade and retail trade industries have higher likelihood of purchasing NAS from their CPA firms than firms that do not operate in one of these industries. Contrary to the some findings of existing studies which were done in the pre-SOX period, we find that working with one of the Big 4 CPA firms and having an industry specialist CPA firm decrease audit client firms’ likelihood of receiving NAS from their CPA firms. One implication of this difference in the findings may be due to tight regulations imposed by the Sarbanes-Oxley Act of 2002."
    European Accounting Association (2010) Page 272

Presentations

  • "Global ETF Returns and Consumer Sentiments: Are We Really Protected?" (2014)
    Academy of Behavioral Finance and Economics
    Exchange traded funds (ETFs) have become increasingly popular in the recent years as they offer greater diversity and flexibility in particular for individual investors. While ETF compositions may vary, it is observed that ETFs that use equities from different stock markets have started to take off as they are believed to provide shelter in reducing country-specific risks. Our goal is to explore whether global ETFs with equities from different developed stock markets protect investors against fluctuations in individual consumer sentiments from these countries. To our knowledge, this is the first study that links global ETF return performance and effectiveness of global ETFs in hedging against country-specific consumer sentiments across different markets. We hypothesize that global ETF returns do not respond to the shocks in individual consumer sentiments of countries that they include equities from. As such, global ETFs should be immune to country-specific consumer sentiment risk. We expect no significant bidirectional causality among global ETF returns and individual consumer sentiments from different countries whose equities are included in the composition of global ETFs.
  • "Household Debt, Consumer Sentiment, Inflation and Real Rate of Interest in the US" (2013)
    Academy of Behavioral Finance and Economics
  • "Interest Rate Liberalization and Inflation in Developing Countries: A Theoretical Analysis" (2012)
    Southern Finance Association Annual Meeting
    "Interest rate liberalization is often recommended as an effective measure to curb inflation in developing countries. Higher interest rates on deposits, it is particularly asserted, can reduce inflation by lowering the velocity of circulation of money. This assertion, however, ignores the adverse effects of higher interest rates on money supplies, as governments create new money to help their banks deal with losses from higher deposit costs. Indeed, in the context of a simple model, this paper shows that such increases in money supplies can dominate reductions in money velocities, thus exacerbating inflationary pressures. The paper also shows that the use of government bonds instead of money to finance higher deposit costs may prove ineffective, as such bonds are often perfect substitutes for money as a result of governmental bond price support programs."
  • "Home and Host Country Investor Sentiments and ADR Index Returns: A Brazilian Case" (2012)
    Academy of Behavioral Finance and Economics Annual Meeting of 2012
    "American Depository Receipts (ADRs) provide international portfolio diversification opportunities to the investors in their host country as the underlying securities come from foreign (home country) stock markets. ADRs are appealing because of the fact they are no different from any share of stock that is listed on US stock exchanges and are denominated in US dollars. Such appealing properties of ADRs triggered significant research on ADR return behaviors; however, research on bidirectional relationships between home/host country sentiments and the ADR returns remain rather limited. In an attempt to close this gap, our study investigates the dynamic relationships among the home/host country investor sentiments and the ADR Index returns using US stock exchange traded-Brazilian ADR index as a case study."
  • "Are Sentiments Completely Irrational in Emerging Stock Markets? Evidence from Turkey" (2012)
    Financial Management Association European Conference
  • "Are Sentiments Completely Irrational in Emerging Stock Markets? Evidence from Turkey" (2011)
    Southern Finance Association Annual Meeting
    "This study investigates the dynamic relationship between rational and irrational consumerbusiness sentiments and stock returns in emerging stock markets. Study focuses on Turkey for evidence."
  • "Modeling Stock Return Volatility in the Istanbul Stock Exchange" (2011)
    The Society for the Study of Emerging Markets Euro Conference
  • "Evolving or revolving? A closer look at the Istanbul Stock Exchange's return volatility" (2011)
    American Economic Association, ASSA Annual Meeting (Middle East Economic Association)
  • "Dynamic Interactions between Rational-Irrational Sentiments and Stock Returns in Emerging Stock Markets: Evidence from Turkey" (2010)
    Academy of Behavioral Finance and Economics
  • "An Analysis of the Likelihood of Non-Audit Services Provided by CPA Firms and Audit Client Characteristics" (2010)
    European Accounting Association Annual Meeting
  • "Further Evidence on the Relationship between Stock Returns and Volatility from an Emerging Capital Market: The Case of the Istanbul Stock Exchange" (2009)
    Midwest Finance Association
  • "Further Evidence on the Relationship between Stock Returns and Volatility from an Emerging Capital Market: The Case of the Istanbul Stock Exchange" (2009)
    Academy of Economics and Finance Annual Meeting
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