Sürdürülebilir Kalkınma Amaçları
Yayınlar
- MakaleAçık Erişim2023Volatility Spillover, Hedging and Portfolio Diversification Between Oil Market and S&P Sectoral Indices
Gençyürek, Ahmet Galip; Ekinci, Ramazan; Agan, Busra
The study aims to analyze the volatility spillover between the oil market (WTI) and the S&P (Stand and Poor's) Energy, Financial, and Industry sector indices through conditional correlation and variance causality. The DCC-GARCH (Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroscedasticity) and Hafner-Herwartz (2006) Variance Causality models were used to analyze the daily data for the period between January 3, 2012 and December 31, 2019. The results indicate a positive time-var ying conditional correlation between the oil market and sector indices. In addition, the hedge ratios and risk-minimizing portfolio weights (which are vital for investors) have been calculated based on these data. The cheapest hedging transaction with the oil market occurs in the financial sector, while the most expensive one occurs in the energy sector. It has also been determined that volatility is transmitted from the sector indices to the oil market. This situation means that the S&P sector indices play a leading role (resource of information-emit information) in volatility spillover. The results provide important information to researchers, investors, and policymakers.
AtıfOpenAlex2
İncele - MakaleAçık Erişim2023Scopus SJRQ1Safe-haven and hedging roles of precious metals for BRICS and Turkey
Gençyürek, A. Galip; Ekinci, Ramazan
This paper investigates the role of precious metals in risk management (diversification, hedging, safe haven, leading and lagging roles) in the stock markets of BRICS-T (Brazil, Russia, India, China, South Africa, and Turkiye) countries using DCC-IGARCH-t-copula (Dynamic Conditional Correlation Integrated Generalized Autoregressive Conditional Heteroscedasticity - t-copula) and rolling Hong causality with daily data from the period 2015 to 2022. Our empirical findings indicate that, despite the existence of bidirectional variance causality, precious metals (gold, silver, platinum, and palladium) are effective risk management instruments, except for hedging. Moreover, to mitigate risk during the COVID-19 pandemic, investors should increase the weight in their portfolios of precious metals, except for gold. The leading role of precious metals in variance causality can help policy makers to design appropriate policies for curbing market vulnerability.
AtıfScopus14WoS14OpenAlex17
İncele - MakaleYalnız künye2021Temiz enerji sektörü, teknoloji sektörü ve ham petrol arasındaki yayılım ilişkisi
Ekinci, Ramazan; Gençyürek, Ahmet Galip
Küresel ısınmanın sonucu olarak ortaya çıkan iklim değişikliği yenilenebilir enerjiye diğer bir ifadeyle temiz enerjiye olan ilgiyi artırmıştır. Gelişen teknolojiyle birlikte verimliliğin artması ve maliyetlerin azalması sonucunda da yenilenebilir enerji tüketimi hızlanmıştır. Petrol piyasasının yenilenebilir enerjinin ikamesi olması, teknolojinin de yenilenebilir enerjinin önemli bir girdisi olması nedeniyle teoride yenilenebilir enerjinin her iki değişkenden etkilendiği düşünülmektedir. Yapılan çalışma ile teoride ileri sürülen bu görüş hem ortalamada hem de varyansta nedensellik ilişkisinin tespitine olanak sağlayan Hong (2001) yöntemiyle incelenmek istenmektedir. Temiz enerji sektörü, teknoloji sektörü ve petrol piyasası sırasıyla Willderhill Endeksi (ECO), ArcaTech Endeksi ve WTI tarafından temsil edilmektedir. 2004-2019 döneminin analiz edildiği çalışma sonucunda ortalamada temiz enerji sektöründen petrol piyasasına doğru, varyansta ise; petrol piyasasından temiz enerji sektörüne doğru Granger nedenselliğin olduğu tespit edilmiştir. Kappa-1 yöntemiyle belirlenen varyans kırılma tarihlerinin dikkate alınması sonrasında nedensellik ilişkilerinin varlığında herhangi bir değişim gözlemlenmemiştir. Elde edilen sonuçların araştırmacılara, politika yapıcılara ve yatırımcılara önemli bilgiler sunacağı düşünülmektedir.
AtıfOpenAlex2TR Dizin3İncele - MakaleAçık Erişim2021Dynamic Connectedness between Sector Indices: Evidence from Borsa Istanbul
Ekinci, Ramazan; Gençyürek, Ahmet Galip
The aim of the study is to analyze the shock and volatility spillover between BIST Finance, Industry, Technology, Tourism, Transportation, Food, and Retail-Trade sectors. In this direction, daily data obtained between January 5, 2010, and December 4, 2020, were analyzed using a new method named TVP-VAR Diebold Yilmaz Spillover Index developed by Antonakakis et al. (2019). Our results indicate that the industrial and financial sectors are in the leading position in terms of the shock and volatility spillover, while other sectors generally are in the lagging position.
AtıfWoS4OpenAlex6TR Dizin3İncele - MakaleYalnız künye2018The impact of football match scores of rivals on stock prices
Orçun, Çağatay; Ekinci, Ramazan; Gençyürek, Ahmet Galip
Traditional finance theory which assumes that all the individuals are rational, remains incapable of describing the preference of the investors between the risk and return. As a consequence of that, the concept of behavioral finance emerged. The researches conducted within this concept show that individuals display irrational manner. According to the aforementioned studies, demographic information of the investors like age, gender, educational background, average monthly income besides living environment, physiological state etc. have an impact on decisions that will be made. The aim of this study is to detect whether the individual investors who invest in the stocks of football clubs will abide by the "Effect of Schadenfreude" or not. "Schadenfreude" hails from a German dialect and has the meaning of getting pleasure of rivals' failure and gloating. In this context, the competition results of two rival, Galatasaray and Fenerbahçe football teams traded in Borsa İstanbul A. Ş. and the stock prices before and after the competition were analyzed. As a result of the analysis, it is found that there are differences between Fenerbahçe's stock returns at different situation (Fenerbahçe's stock return when Fenerbahçe and Galatasaray win or lose at the same week; Fenerbahçe's stock return when Fenerbahçe / Galatasaray win - Galatasaray / Fenerbahçe lose at the same week).
AtıfTR Dizin1İncele