Ahmet Şensoy
Assistant Professor,  Executive MBA Co-director
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 the TÜBİTAK Incentive Award in 2018 and the TÜBA Young Scientist Award in 2020. He serves as an associate editor for International Review of Financial Analysis, International Review of Economics and Finance, Research in International Business and Finance, Emerging Markets Finance and Trade; and a guest editor for Annals of Operations Research. His work appeared in outlets such as Journal of Corporate Finance, Journal of Financial Stability, and Annals of Operations Research. He teaches advanced empirical finance, financial economics, risk management and corporate finance.

Selected Publications :

The Impact of Blockchain Related Name Changes on Corporate Performance,Journal of Corporate Finance, in press

Nguyen, D. K., Sensoy, A., Vo, D. T., and von Mettenheim, H.-J.  “Does short-term technical trading exist in the Vietnamese stock market?” forthcoming in Borsa Istanbul Review.   

Akyildirim, E., Corbet, S., Cumming, D. J., Lucey, B. M., and Sensoy, A.  “Riding the wave of crypto-exuberance: The potential misusage of corporate blockchain announcements” forthcoming in Technological Forecasting and Social Change.    

Akyildirim, E., Corbet, S., Efthymiou, M., Guiomard, C., O’Connell, J. F., and Sensoy, A. (2020). “The financial market effects of international aviation disasters” International Review of Financial Analysis, 69, 101468.

Sensoy, A., and Serdengecti, S. (2020.) “Impact of portfolio flows and heterogeneous expectations on exchange rate jumps: Evidence from an emerging market” International Review of Financial Analysis, 68, 101450.

Nguyen, D. K., Sensoy, A., Souza, R. M., and Uddin, G. S. (2020.) “U.S. equity and commodity futures markets: Hedging or financialization?”  Energy Economics, 86, 104660

Mensi, W., Rehman, M., Maitra, D., Al-Yahyaee, K., and Sensoy, A. ,(2020).“Does Bitcoin co-move and share risk with sukuk and Islamic stock indexes? Evidences using time-frequency approach” Research in International Business and Finance, 53, 101230.

Akyildirim, E., Corbet, S., Nguyen, D. K., and Sensoy, A. (2020). “Regulatory changes and long-run relationships among the EMU sovereign debt markets: Implications for future policy framework” International Review of Law and Economics, 63, 105907.

Aslan, A., and Sensoy, A.  (2020).“Intraday efficiency-frequency nexus in the cryptocurrency markets” Finance Research Letters, 35, 101298.

Akyildirim, E., Corbet, S., Katsiampa, P., Kellard, N., and Sensoy, A. (2020).“The development of Bitcoin futures: Exploring the interactions between cryptocurrency derivatives” Finance Research Letters, 34, 101234,.

Akyildirim, E., Corbet, S., Lucey, B. M., Sensoy, A., and Yarovaya, L. ,(2020).“The relationship between implied volatility and cryptocurrency returns” Finance Research Letters, 33, pp. 101212.

Sensoy, A., Nguyen, D. K., Hacihasanoglu, E., and Rostom, A. ,(2019). “Dynamic integration and network structure of the EMU sovereign bond markets” Annals of Operations Research, 281, pp. 297-314,  (Earlier version: World Bank Policy Research Paper No. 7149

Mensi, W., Sensoy, A., Aslan, A., and Kang, S. H. (2019). “High-frequency asymmetric volatility connectedness between Bitcoin and major precious metal markets” North American Journal of Economics & Finance, 50, pp. 101031                                   

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

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

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

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

Akyildirim, E., Corbet, S., Sensoy, A., and Yarovaya, L., “The impact of Blockchain related name changes on corporate performance?”, Journal of Corporate Finance, 65, 101759, 2020.

Akyildirim, E., Goncu, A., and Sensoy, A., “Prediction of cryptocurrency returns using machine learning”, Annals of Operations Research (in press).                

Akyildirim, E., Corbet, S., O’Connell, J. F., and Sensoy, A., “The influence of aviation disasters on airline manufacturers: An analysis of financial and reputational contagion risks”, International Review of Financial Analysis (in press).                                          

Akyildirim, E., Corbet, S., Cumming, D. J., Lucey, B. M., and Sensoy, A., “Riding the wave of crypto-exuberance: The potential misusage of corporate blockchain announcements”, Technological Forecasting and Social Change, 159, 120191, 2020.

Sensoy, A., and Serdengecti, S., “Impact of portfolio flows and heterogeneous expectations on exchange rate jumps: Evidence from an emerging market”, International Review of Financial Analysis, 68, 101450, 2020. 

Nguyen, D. K., Sensoy, A., Souza, R. M., and Uddin, G. S., “U.S. equity and commodity futures markets: Hedging or financialization?”, Energy Economics, 86, 104660, 2020. 

Akyildirim, E., Corbet, S., Efthymiou, M., Guiomard, C., O’Connell, J. F., and Sensoy, A., “The financial market effects of international aviation disasters”, International Review of Financial Analysis, 69, 101468, 2020.

Mensi, W., Rehman, M., Maitra, D., Al-Yahyaee, K., and Sensoy, A., “Does Bitcoin co-move and share risk with sukuk and Islamic stock indexes? Evidence using time-frequency approach”, Research in International Business and Finance, 53, 101230, 2020.

Akyildirim, E., Corbet, S., Nguyen, D. K., and Sensoy, A., “Regulatory changes and long-run relationships among the EMU sovereign debt markets: Implications for future policy framework”, International Review of Law and Economics, 63, 105907, 2020.

Nguyen, D. K., Sensoy, A., Vo, D. T., and von Mettenheim, H.-J., “Does short-term technical trading exist in the Vietnamese stock market?”, Borsa Istanbul Review (in press).

Sensoy, A., Nguyen, D. K., Hacihasanoglu, E., and Rostom, A., “Dynamic integration and network structure of the EMU sovereign bond markets”, Annals of Operations Research, 281, pp. 297-314, 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.

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 classification 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., “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.

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.

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

Sensoy, A., “Time-varying long-range dependence in market returns of FEAS members.”, Chaos, Solitons & Fractals, 53, pp. 39-45, 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, 1350218, 2013.