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- MakaleAçık Erişim2025Scopus SJRQ1The contagion effect of the FTX cryptocurrency exchange's crash on the stock markets
Gençyürek, Ahmet Galip
The cryptocurrency market is very attractive for investors, but it has experienced several major crises in recent years due to its inadequacies with regard to transparency and auditing. The FTX cryptocurrency exchange's crash was one of the most crucial events for the cryptocurrency market. Therefore, I investigate the contagion impact of the FTX crash on stock markets (S&P 500, TSX, FTSE100, BIST100, SENSEX, SSE, NIKKEI 225, KOSPI 100 and ASX 200), using a time-varying parameter–vector autoregression (TVP-VAR) extended joint connectedness model and covolatility, cokurtosis, and coskewness tests. The empirical findings, based on a daily dataset for the period 2021–2023, indicate that the FTX collapse had a clear contagion impact solely on the BIST 100. One possible explanation for this is that Turkish investors who suffered losses on their FTX investment sought to compensate for their diminishing wealth, especially to meet margin calls, by liquidating their holdings in the BIST 100. Another possible explanation is the inherent fragility of the BIST 100, which prevents it from being perceived as a safe-haven asset during turbulent periods. The findings can help policy makers and investors develop policies and strategies to defend against the contagion impact of cryptocurrencies.
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İncele - MakaleAçık Erişim2024Volatility Modeling and Spillover: The Turkish and Russian Stock Markets
Gençyürek, Ahmet Galip
This study investigates the internal and external (spillover) characteristics of the volatility of the Turkish and Russian stock market indices. To this end, generalized autoregressive conditional heteroskedasticity models that are classified as short memory (GARCH, EGARCH, GJR-GARCH, APARCH) and long memory (FIGARCH, FIEGARCH, FIAPARCH, HYGARCH) considering adaptive structure (Fourier series), and the rolling Hong causality methods are used. The analysis spans the years 2003-2020, revealing that the asymmetric power autoregressive conditional heteroskedasticity model is the most appropriate method in terms of both stock indices and leverage and long memory effects are evident in the volatility series. Bidirectional volatility spillovers between Turkish and Russian stock market indices are also evident in all time horizons. Investors can use volatility results for stock valuation, risk management, portfolio diversification, and hedging, and policymakers can consider the volatility results to evaluate the fragility of financial markets.
AtıfOpenAlex2TR Dizin2
İncele - MakaleYalnız künye2024Scopus SJRQ2Leading and lagging role between financial stress and crude oil
Gençyürek, Ahmet Galip
Purpose: The crude oil market plays a key role in addressing the issue of energy economics. This paper aims to detect the causality relationship between the crude oil market and economy based on the financial system. Design/methodology/approach: This paper used the static and dynamic Hatemi-J Bootstrap Toda–Yamamoto and Diebold–Yilmaz connectedness index. The Hatemi-J Bootstrap Toda-Yamamoto approach allows researchers to use nonstationary data and that method is robust to nonnormal distribution and heteroscedasticity. The Diebold–Yilmaz connectedness index model provides researchers to detect the power of connectedness besides linkage direction. The analyzed period is the span from January 3, 2005 to October 3, 2022. Findings: The results show bidirectional causality in the full sample but unidirectional causality before and after the 2008 financial crisis. During the 2008 financial crisis period and the COVID-19 period, there was a bidirectional and unidirectional causality, respectively. The connectedness approach indicates that the crude oil market affects financial stress through investors’ risk preferences. Research limitations/implications: The Diebold–Yilmaz spillover index model is based on vector autoregression methods with a stationarity precondition. However, some of the five dimensions that constitute the financial stress index (FSI) are nonstationary in level. Therefore, the authors takes the first difference of the nonstationary data. Practical implications: The linkage between the crude oil market and the FSI provides useful information for investors and policymakers. For instance, this paper indicates that an investor wanted to forecast future value of the crude oil (financial stress) should consider the current and past values of financial stress (crude oil). Moreover, policymaker should consider the crude oil market (FSI) to make a policy proposal for financial system (crude oil market). Originality/value: Recently, indicators of economic activity levels (economic policy uncertainty, implied volatility index) have begun to be considered to analyze the relationship between energy and the economy but very little is known in the literature about the leading and lagging roles of data in subsample periods and the linkage channel. The other originality of this research is using the new econometric approaches.
AtıfScopus4WoS5OpenAlex3İncele - 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.
AtıfOpenAlex2İncele - 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 künye2019Return and volatility spillover between emerging stock markets and crude oil
Demireli, Erhan; Gençyürek, Ahmet Galip
Due to the free movement of capital and advancing technology, the interaction between markets increase day by day. While analysing markets; the interaction direct to companies, individual and institutional investors and policymakers to considering different markets as well as domestic news. One of the most important among these markets is the oil market. The oil market has significant impacts on macroeconomic indicators (inflation, interest rates and unemployment, etc.) and production costs, sales revenues and cash flows of firms. According to this, the aim of the study is to reveal the relationship between emerging stock markets and oil market. For this purpose, WTI crude oil price and MSCI Emerging Market Index were analysed by Moon and Yu (2010) approach in the period span from 2012 to 2018. As a result of the analysis ; there is a return spill over from crude oil markets to emerging stock markets. In case of opposite direction, volatility spill over was determined. The findings will contribute to the decision-making process of investors, policymaker and researchers for the analysed period.
AtıfTR Dizin6İncele - 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).
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