Purpose This study aims to compare investors of major conventional currencies and Bitcoin (BTC) investors by using the value at risk (VaR) method common risk measure. Design/methodology/approach The paper used a risk analysis named as VaR. The analysis has various computations that Historical Simulation and Monte Carlo Simulation methods were used for this paper. Findings Findings of the analysis are assessed in two different aspects of singular currency risk and portfolios built. First, BTC is found to be significantly risky with respect to the major currencies; and it is six times riskier than the singular most risky currency. Second, in terms of inclusion of BTC into a portfolio, which equally weights all currencies, it elevates overall portfolio risk by 98 per cent. Practical implications In spite of the remarkable risk level, it could be considered that investors are desirous of making an investment on BTC could mitigate their overall exposed risk relatively by building a portfolio. Originality/value The paper questions the risk level of Bitcoin, which is a digital currency. BTC, a matter of debate in the contemporary period, is seen as a digital currency free from control or supervision of a regulatory board. With the comparison of major currencies and BTC shows that how could be risky of a financial instrument without regulations. However, there is some advice for investors who would like to invest digital currencies despite the risk level in this study.

Forecasting models based on the assumption that returns are normally distributed do not perform sufficiently on shallow markets. These models are more likely to fail in the estimation of the extreme points that can be reached especially at high volatility markets, and this situation is led to investors in predicting volatility. In the volatility forecasting of crypto money, which is seen as an alternative investment tool for the financial investors, single volatility models such as, ARCH, GARCH, T-GARCH, GARCH-M, E-GARCH, and I-GARCH and long memory models (AP-GARCH and C-GARCH) was utilized. In addition, the most suitable model was tried to be tested among the models used for volatility estimation. In this context, the price data of Bitcoin, Ethereum and Ripple cryptocurrency with the highest market value in the crypto money market have been utilized between 24/08/2016-07/05/2018. According to the results of the research, for Bitcoin and Ethereum, the volatility effect of the shocks is permanent and the effect of the positive shocks is more than that of the negative shocks, whereas for Ripple, the volatility effect of the shocks is transient and the passivity of the volatility is short.

The rating decisions of international credit rating agencies affect the decisions of financial market actors. It is not possible today to ignore the impact of credit ratings on behalf of developing countries on investors' interest in the financial markets of the countries concerned. Especially considering that Turkey is an emerging market in the financial markets, an important question as to what extent the credit rating notes made by credit rating agencies affect the related markets emerge. From this point on, in the study, the affect of the rating notes of the three credit rating agencies' Fitch, Moody's and Standard and Poor's, which have the highest recognition rating firms' in the World, for Turkey is analyzed. For this purpose, 14 sector indexes

Bu çalışmada Türkiye'de ilk halka arzı gerçekleşen 320 şirketten oluşan geniş bir örneklem üzerinde düşük fiyatlamanın varlığı ve düşük fiyatlama seviyesinin zaman içerisinde değişip değişmediği araştırılmaktadır. Farklı anormal getiri hesaplama yöntemlerinin kullanıldığı çalışmada, düşük fiyatlamanın varlığı tespit edilmiştir. Yapılan analizlerde ilk halka arzlarda ilk üç gün boyunca istatistiksel olarak anlamlı bir şekilde anormal getiri elde edildiği ve bu dönemde halka arz fiyatına göre ortalama %10.2 kümülatif anormal getiri elde edildiği saptanmıştır. Ancak daha sonraki günlerde anormal getirinin negatife döndüğü ve kümülatif anormal getirinin örneğin beş ile on beşinci günler arasını kapsayan dönemde -%2.72 olarak gerçekleştiği ve bu dönemde istatistiksel olarak anlamlı negatif getirinin ortaya çıktığı görülmektedir. Çalışmada ayrıca halka arzda anormal getirinin diğer bir ifade ile düşük fiyatlandırma seviyesinin zaman içerisinde azaldığı, örneğin 1993-2000 yılları arasında halka arz edilen 125 şirket için ilk gün anormal getiri % 8.8 iken 2002-2015 yılları arasında halka arz edilen şirketler için bu oranın % 5.9'a düştüğü ve bu düşüşün istatistiksel açıdan anlamlı olduğu tespit edilmiştir. Bu durum yıllar itibari ile finansal piyasalarda ve halka arz süreçlerinde yaşanan gelişmelerin ilk halka arzda düşük fiyatlamayı azaltıcı yönde etkilediğini ancak düşük fiyatlamanın halen varlığını devam ettirdiğini göstermektedir.

This research, which takes stock market index data as input in contrast to De Bondt and Thaler's (1985) classical approach for testing overreaction hypothesis on a micro scale via individual stocks, is aimed at analyzing reactions of the market in aggregate and portfolio groups, which are represented by indexes. The shock-filtering procedure is based on 50-day window, encompassing observations from 60 days to 11 days prior to an observation as suggested by Lasfer et al. (2003) while volatility has been estimated through Exponentially Weighted Moving Average (EWMA) method. Indexes resembling each other and significantly differing from others in terms of their reaction on the day of shocks, which are detected by a different threshold have been determined. The analysis implemented separately for two subperiods outputs findings which support the validity of underreaction on all indexes except XUSIN within 2000-2008, in line with the reference researches on indexes. This result is, however valid only for positive shocks. The cautious behavior against good news disappears in the second subperiod (2009-2018). This variation can be regarded as a sign of our market's progress in terms of information efficiency. Putting forth no significant over or underreaction of indexes to shocks, this paper shows results in compatible with the Efficient Market Hypothesis (EMH) which asserts just and timely reactions to shocks.