Ahmet Şensoy
Assistant Professor, Director of Summer Practice Committee
ahmet.sensoy@bilkent.edu.tr | HomePage


Academic Specialization: Finance
Research interests: Asset Pricing, Market Microstructure and Complex Systems.

He received his PhD degree in Mathematics from Bilkent University in 2013. Prior to joining Bilkent, he worked as a specialist at the Research and Business Development Department, and Derivatives Market of Borsa Istanbul from 2012 to 2017. He was a visiting researcher at Nasdaq OMX during February 2014 and 2015.  He is the recipient of TÜBİTAK Incentive Award in 2018. He teaches advanced empirical finance, financial economics, risk management and corporate finance.

Selected Publications :

Sensoy, A., Nguyen, D. K., Hacihasanoglu, E., and Rostom, A. “Dynamic integrationand network structure of the EMU sovereign bond markets.” Annals of Operations Research (in press)

Mensi, W., Sensoy, A., Aslan, A., and Kang, S. H. “High-frequency asymmetric volatility connectedness between Bitcoin and major precious metal markets” North American Journal of Economics & Finance (in press)

Akyildirim, E., Corbet, S., Katsiampa, P., Kellard, N., and Sensoy, A. “The development of Bitcoin futures: Exploring the interactions between cryptocurrency derivatives” Finance Research Letters (in press)

Akyildirim, E., Corbet, S., Lucey, B. M., Sensoy, A., and Yarovaya, L. “The relationship between implied volatility and cryptocurrency returns” Finance Research Letters (in press)

Mensi, W., Sensoy, A., Hamdi, A., Al-Yahyaee, K., and Kang, S. H. “Energy, precious metals and stock markets: Is there any risk spillover?” Pacific-Basin Finance Journal, 56, pp. 45-70, 2019.

Sensoy, A. and Serdengecti, S. “Intraday volume-volatility nexus in the FX markets: Evidence from an emerging market” International Review of Financial Analysis, 64, pp. 1-12, 2019.

Corbet, S., Eraslan, V., Lucey, B. M., and Sensoy, A. “The effectiveness of technical trading rules in cryptocurrency markets” Finance Research Letters, 31, pp. 32-37, 2019.

Mensi, W., Lee, Y.J., Al-Yahyaee, K., Yoon, S.M., and Sensoy, A. “Intraday downward-upward multifractality and long memory in Bitcoin and Ethereum markets: An Asymmetric MF-DFA approach” Finance Research Letters, 31, pp. 19-25, 2019.

Sensoy, A. “Commonality in ask-side vs. bid-side liquidity” Finance Research Letters, 28, pp. 198-207, 2019.

Sensoy, A. “Inefficiency of Bitcoin revisited: High-frequency analysis with alternative currencies” Finance Research Letters, 28, pp. 68-73, 2019.

Sensoy, A. and Omole, J. “Implied volatility indices: A review and extension in the Turkish case” International Review of Financial Analysis, 60, pp. 151-161, 2018.

Akyildirim, E., Nguyen, D. K., and Sensoy, A., “A tale of two risks in EMU sovereign debt markets” Economics Letters, 172, pp. 102-106, 2018.

Sensoy, A. “Firm size, ownership structure, and systematic liquidity risk: The case of an emerging market.” Journal of Financial Stability, 31, pp. 62-80, 2017.

Sensoy, A., Ozturk, K., Hacihasanoglu, E., and Tabak, B. M. “Not all emerging markets are the same: A classi_cation approach with correlation based networks.” Journal of Financial Stability, 33, pp. 163-186, 2017.

Sensoy, A., Fabozzi, F. J., and Eraslan, V. “Predictability dynamics of emerging sovereign CDS markets” Economics Letters, 161, pp. 5-9, 2017.

Mensi, W., Hammoudeh, S., Al-Jarrah, I., Sensoy, A., and Kang, S. H. “Dynamic risk spillovers between gold, oil prices and Islamic sector with portfolio implications” Energy Economics, 67, pp. 454-475, 2017.

Mensi, W., Hammoudeh, S., Sensoy, A., and Yoon, S-M. “Analysing dynamic linkages and hedging strategies between Islamic and conventional sector equity indexes.” Applied Economics, 49, pp. 2456-2479, 2017.

Sensoy, A. and Tabak. B. M. “Dynamic efficiency of stock markets and exchange rates.” International Review of Financial Analysis, 47, pp. 353-371, 2016.

Sensoy, A. “Commonality in liquidity: Effects of monetary policy and macro-economic announcements” Finance Research Letters, 16, pp. 125-131, 2016.

Sensoy, A. “Systematic risk in conventional and Islamic equity markets.” International Review of Finance, 16, pp. 457-466, 2016.

Sensoy, A., Eraslan, V., and Erturk, M. “Do sovereign rating announcements have an impact on regional stock market co-movements? The case of Central Europe.” Economic Systems, 40, pp. 552-567, 2016.

Sensoy, A. “Impact of sovereign rating changes on stock market co-movements: The case of Latin America.” Applied Economics, 48, pp. 2600-2610, 2016.

Yilmaz, M.K., Sensoy, A., Ozturk, K., and Hacihasanoglu, E. “Cross-sectoral interactions in Islamic equity markets.” Pacific-Basin Finance Journal, 32, pp. 1-20, 2015.

Sensoy, A., Aras, G., and Hacihasanoglu, E. “Predictability dynamics of Islamic and conventional equity markets.” North American Journal of Economics & Finance, 31, pp. 222-248, 2015.

Sensoy, A., Hacihasanoglu, E., and Nguyen, D. K. “Dynamic convergence of commodity futures: Not all types of commodities are alike” Resources Policy, 44, pp. 150-160, 2015.

Sensoy, A. and Tabak, B. M. “Time-varying long memory in European Union stock markets.” Physica A, 436, pp. 147-158, 2015.

Sensoy, A. “An alternative way to track the hot money in turbulent times.” Physica A, 419, pp. 215-220, 2015.

Turhan, M.I., Sensoy, A., and Hacihasanoglu, E. “Shaping the manufacturing industry performance: MIDAS approach.” Chaos, Solitons & Fractals, 77, pp. 286-290, 2015.

Sobaci, C., Sensoy, A., and Erturk, M. “Impact of short selling activity on market dynamics – Evidence from an emerging market.” Journal of Financial Stability, 15, pp. 53-62, 2014.

Turhan, M.I., Sensoy, A., and Hacihasanoglu, E. “A comparative analysis of the dynamic relationship between oil prices and exchange rates.” Journal of International Financial Markets, Institutions & Money, 32, pp. 397-414, 2014.

Sensoy, A. and Hacihasanoglu, E. “Time varying long range dependence in energy futures markets.” Energy Economics, 46, pp. 318-327, 2014.

Turhan, M.I., Sensoy, A., Ozturk, K., and Hacihasanoglu, E. “A view to the long-run dynamic relationship between crude oil and the major asset classes.” International Review of Economics & Finance, 33, pp. 286-299, 2014.

Sensoy, A., Ozturk, K., and Hacihasanoglu, E. “Constructing a financial fragility index for emerging countries” Finance Research Letters, 11, pp. 410-419, 2014.

Sensoy, A. and Sobaci, C. “Effects of volatility shocks on the dynamic linkages between exchange rate, interest rate and the stock market: The case of Turkey.” Economic Modelling, 43, pp. 448-457,2014.

Sensoy, A., Soytas, U., Yildirim, I., and Hacihasanoglu, E. “Dynamic relationship between Turkey and European countries during global financial crisis.” Economic Modelling, 40, pp. 290-298, 2014.

Sensoy, A. and Tabak, B. M. “Dynamic spanning trees in stock market networks: The case of Asia-Pacific.” Physica A, 414, pp. 387-402, 2014.

Sensoy, A., Sobaci, C., Sensoy, S., and Alali, F. “Effective transfer entropy approach to information ow between exchange rates and stock markets.” Chaos, Solitons & Fractals, 68, pp. 180-185, 2014.

Sensoy, A. “Dynamic relationship between precious metals.” Resources Policy, 38, pp. 504-511, 2013.

Sensoy, A. “Generalized Hurst exponent approach to efficiency in MENA markets.” Physica A, 392, pp. 5019-5026, 2013.

Sensoy, A. “Time-varying long range dependence in market returns of FEAS members.” Chaos, Solitons & Fractals, 53, pp. 39-45, 2013.

Sensoy, A. “Effect of monetary policy on the long memory in interest rates: Evidence from an emerging market.” Chaos, Solitons & Fractals, 57, pp.85-88, 2013.

Sensoy, A., Yuksel, S., and Erturk, M. “Analysis of cross-correlations between financial markets after the 2008 crisis.” Physica A, 392, pp. 5027-5045, 2013.

Sensoy, A. “One dimensional long range Widom-Rowlinson model with periodic particle activities.” Modern Physics Letters B, 27, pp. 1350218, 2013.