Khan

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.

Adı Soyadı

Khan

İlgi Alanları

Solunum Sistemi, Genel ve Dahili Tıp, Çevre Bilimleri ve Ekoloji, İş Ekonomisi, Bilim ve Teknoloji

Kurumdaki Durumu

Aktif Personel

Detaylı Öğe Kaydı

Arama Sonuçları

Listeleniyor 1 - 10 / 29

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 Bölümü
This 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.
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 Bölümü
This 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.
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 Bölümü
The 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.
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 Bölümü
Purpose: 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.
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 Bölümü
This 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.
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 Bölümü
This 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.
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 Bölümü
Economic 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.
Monetary policy and nonperforming loan ratios in a monetary union; a counterfactual study
(Emerald Publishing, 2023) Özcan, Rasim; Khan, Asad ul Islam; Napari, Ayuba; Yönetim Bilimleri Fakültesi, İktisat Bölümü
Purpose – For close to two decades, the West African Monetary Zone (WAMZ) has been preparing to launch a second monetary union within the ECOWAS region. This study aims to determine the impact such a unionised monetary regime will have on financial stability as represented by the nonperforming loan ratios of Ghana in a counterfactual framework. Design/methodology/approach – This study models nonperforming loan ratios as dependent on the monetary policy rate and the business cycle. The study then used historical data to estimate the parameters of the nonperforming loan ratio response function using an Autoregressive Distributed Lag (ARDL) approach. The estimated parameters are further used to estimate the impact of several counterfactual unionised monetary policy rates on the nonperforming loan ratios and its volatility of Ghana. As robustness check, the Least Absolute Shrinkage Selection Operator (LASSO) regression is also used to estimate the nonperforming loan ratios response function and to predict nonperforming loans under the counterfactual unionised monetary policy rates. Findings – The results of the counterfactual study reveals that the apparent cost of monetary unification is much less than supposed with a monetary union likely to dampen volatility in non-performing loans in Ghana. As such, the WAMZ members should increase the pace towards monetary unification. Originality/value – The paper contributes to the existing literature by explicitly modelling nonperforming loan ratios as dependent on monetary policy and the business cycle. The study also settles the debate on the financial stability cost of a monetary union due to the nonalignment of business cycles and economic structures.
Threat of intervention in cryptocurrency market: West side story of Bitcoin and Ripple
(Bucharest University of Economic Studies, 2023) Aysan, Ahmet Faruk; Isac, Nicoleta; Drammeh, Ousman; Khan, Asad ul Islam; Özcan, Rasim; Yönetim Bilimleri Fakültesi, İktisat Bölümü
This study examines the impact of intervention threats on the price and volume volatility of Bitcoin and XRP. Using the Threshold or GJR-GARCH model, we analyse the relationship between news shocks (representing intervention threats) and the volatilities of Bitcoin and XRP price and volume returns, based on data from January 2014 to April 2021. The results indicate a significant association between news shocks and Bitcoin's price volatility, suggesting that intervention-related news events have a notable impact. However, the relationship between news shocks and XRP's price volatility is insignificant. Notably, XRP's volume returns demonstrate a positive and significant relationship with news shocks, while Bitcoin's volume returns do not exhibit a significant relationship. Additionally, past shocks and conditional variance shocks significantly contribute to the volatility of today's price or volume returns. These findings suggest that Ripple (XRP) may benefit from the implicit threat of intervention, strategically managing its availability to control price surges.
The triple impact of innovation, financial inclusion, and renewable energy consumption on environmental quality in some emerging economies
(Econjournals, 2024) Kaplan, Muhittin; Abdul Rahman, Mohammed Muntaka; Khan, Asad ul Islam; Vergil, Hasan; Yönetim Bilimleri Fakültesi, İktisat Bölümü
This paper investigates the triple impact of innovation, financial inclusion, and renewable energy consumption on the quality of environment. The study employed data between 2007 and 2019 from selected emerging economies. Using the fixed effect two-step GMM econometric method. The result found that financial inclusion and innovation have a positive relationship with carbon emissions, hence, contributing to the reduction in the quality of the environment. Renewable energy consumption was found to reduce carbon emissions. Similarly, the interactive terms TPT*FIN, FIN*REN, and TPT*REN were all negatively related to carbon emissions. The study recommends that governments should increase financial instruments to support innovation that will enhance environmental quality. Additionally, governments should strengthen their environmental policies. Financial institutions should encourage firms to access green finance solutions. The value and originality of this study is the introduction of the interactive term which throws more light on variables that affect the environment and through which channel. Moreso, there are few works with these interactive terms relative to emerging economies. Third, there are no previous studies that employed the fixed effect two-step GMM to analyze the impact of financial inclusion, technological innovation, and renewable energy consumption on environmental quality.

Khan, Asad ul Islam

Araştırma projeleri

Organizasyon Birimleri

Adı Soyadı

İlgi Alanları

Kurumdaki Durumu

Filtreler

Yazar

Konu

Tarih

İndeks

WoS Q

Scopus Q

Dil

Tür

Kategori

Bölüm

Erişim Hakkı

Tam Metin

Öğe Türü

Ayarlar

Sırala

Sayfa Başına Sonuç

Arama Sonuçları