This research investigates the relationship between clean energy stock and oil market returns utilizing Granger predictability in distribution and quantile impulse response analysis. We find that clean energy stock returns Granger predict oil price returns during “normal times” based on the distribution’s center, but not vice versa. During bullish market episodes, there is bidirectional Granger predictability between the returns of clean energy stocks and oil market returns. Nonetheless, we find that clean energy stock returns Granger predict oil returns in bearish markets without any evidence of the contrary. This indicates that oil returns cannot be used to hedge the downside risk associated with renewable energy company purchases. Quantile impulse responses for the relationship between clean energy stocks and the crude oil market reveal bidirectional and significant responses, where a negative shock during an extremely down market reveals a negative response in the other market and a positive shock during an extremely up market reveals a significant positive response. This shows that neither market can be utilized to offset risks in the other market.

Panel veri, iktisadi araştırmalarda geniş ve artan bir şekilde kullanılmaktadır. Çünkü panel veri, yatay-kesit ve zaman serilerinin birleştirilmesiyle oluşmasından dolayı değişkenler hakkında daha fazla bilgilendirici veri sunmaktadır. Bu özelliklerinden dolayı panel veri analizleriyle daha etkin, tutarlı ve sapmasız tahminlere ulaşmak için son yıllarda panel veri ile ilgili sürekli yeni gelişmeler mevcuttur. Özellikle zaman serisinde kullanılan modeller, panel verilere de uygulanmaktadır. Bu çalışmanın amacı, değişkenlerin her birinin içsel olduğu varsayımında kullanılan vektör otoregresif modelin veri türünün doğrusal ve doğrusal olmama durumuna göre panel verilerde kullanımını açıklamaktır. Bu nedenle çalışmada öncelikle doğrusal ve doğrusal olmayan zaman serisi modelleri; sonrasında doğrusal ve doğrusal olmayan panel vektör otoregresif modeller tanıtılmıştır. Uygulama kısmında 1994’te Meksika’da başlayan ve literatüre ekonomide ani duruş olarak adlandırılan kriz, reel büyüme, reel döviz kuru ve portföy yatırımlarının Gayri Safi Milli Hasıla içerisindeki payı değişkenleri ile Türkiye ve yükselen piyasa ekonomileri için ayrı ayrı ele alınmıştır.

The study aims to examine the connectedness between clean energy stocks and precious metals prices under the different market episodes. We employ the Granger causality-in-the distribution test proposed by Candelon and Tokpavi (2016) to investigate the presence of a causality relationship between the variables for the whole distribution because the test has superior power even if the sample size is small. WilderHill Clean Energy Index is considered a benchmark for the clean energy stock market and gold, silver, platinum, and palladium prices are used for the precious metals. By using daily data from January 1, 2001, to December 12, 2021, we find that there is a unidirectional causal link running from the clean energy stock returns to the precious metal prices in the center and the left tail of the distribution. On the other hand, there is strong feedback between the variables in the right tail of the distribution. These results show that clean energy stock prices have an edge in affecting precious metal prices and precious metals cannot be used to hedge the downside risk of clean energy stock investments.

Sivil havacılık sektörü milyonlarca insanı birbirine bağlayan, turizmi canlandıran, ticari değişimi hızlandırması sebebiyle de ekonomiyi canlandırıp kültürleri buluşturan önemli bir taşımacılık türüdür. Özellikle hız ve sağladığı ekonomik güç diğer türlere göre hava yolu taşımacılığını en üst sıralara taşımaktadır. Havayolu hizmet sektörünün hızla büyümesiyle birlikte, insan ve yeryüzü üzerindeki artan olumsuz etkileri nedeniyle iklim değişikliği konusu da daha fazla dikkat çekmektedir. Gelecekte meydana gelecek talebin karşılanması için ulusal ve uluslararası hava taşımacılığı sisteminin daha verimli hale gelmesi, gürültü ve emisyon miktarının azalması birçok paydaşı etkileyeceği için çözümü de karmaşıktır. Hava taşımacılığının belirtilen çevresel hedeflere ulaşması temel kriterlere dayalı başarı faktörleri ve küresel çabalara bağlıdır. Çalışmanın amacı sivil hava taşımacılığının çevre kalitesi üzerindeki etkisini araştırmaktır. Ulaşımla ilgili iklim değişikliğini azaltmaya yönelik inovasyon faaliyetlerinin sivil hava taşımacılığı ile çevre kalitesi arasındaki ilişkiyi değiştirip değiştirmediği seçili gelişmiş Avrupa ülkeleri için 1979-2019 yılları arasında Panel Eşik Değer Regresyon Modeli ile incelenmiştir. Sonuçlar, ulaşımda iklim değişikliğini azaltan teknolojilerin belirli bir eşik değeri geçmesi durumunda sivil hava taşımacılığı çevre kalitesi üzerindeki olumsuz etkisinin ortadan kalktığını göstermektedir.

This paper evaluates real estate investment trust (REIT) market and reviews the financial determinants of real estate investment trusts index. To this end, the study finds an answer to the research question of whether REIT index (XGMYO) is significantly affected by inflation, USD/TL parity and interest rates. Data is retrieved from Borsa-Istanbul and Central Bank of Turkey and covers the period from 2011 and 2021 (monthly data). Findings of the quantitative analysis are as follows; XGMYO has two regimes. Deposit (Index Return) with different lags is the most effective variable in both regimes. While CPI-Inflation is statistically significant in Regime 2, it is not significant in Regime 1. Similar to inflation, housing-loans-interest rate (applicable to clients) statistically has impact on XGMYO in Regime 2, but it has no statistically significant impact on Regime 1.

This study examines the relationship between positive and negative investor sentiments and stock market returns and volatility in Group of 20 countries using various methods, including panel regression with fixed effects, panel quantile regressions, a panel vector autoregression (PVAR) model, and country-specific regressions. We proxy for negative and positive investor sentiments using the Google Search Volume Index for terms related to the coronavirus disease (COVID-19) and COVID-19 vaccine, respectively. Using weekly data from March 2020 to May 2021, we document significant relationships between positive and negative investor sentiments and stock market returns and volatility. Specifically, an increase in positive investor sentiment leads to an increase in stock returns while negative investor sentiment decreases stock returns at lower quantiles. The effect of investor sentiment on volatility is consistent across the distribution: negative sentiment increases volatility, whereas positive sentiment reduces volatility. These results are robust as they are corroborated by Granger causality tests and a PVAR model. The findings may have portfolio implications as they indicate that proxies for positive and negative investor sentiments seem to be good predictors of stock returns and volatility during the pandemic.

The aim of this study is to examine the impact of international tourism on economic growth and carbon emissions by using the Panel VAR model in selected OECD countries. By using yearly data for the periods of 1995 and 2020, we examine the dynamic relationship between international tourism, economic growth, and carbon emissions using the Granger causality test and impulse responses analysis. Although we could not determine the presence of a causal link between the variables using the Granger causality test, impulse responses analysis confirmed that responses of carbon emissions and economic growth to an unexpected international tourism shock are positive and significant. On the other hand, impulse responses analysis results show that responses of carbon emissions and economic growth to unexpected international tourism are positive and significant. The empirical findings also indicated that the responses of carbon emissions to an unexpected international tourism shock are higher than the responses of economic growth to an unexpected international tourism shock and these findings indicate that the negative impact of international tourism on environmental quality is greater than its positive impact on economic growth. Policymakers should take actions and measures to reduce the impact of international tourism on environmental deterioration. Improvements and dissemination of eco-friendly technologies in all tourism activities may help to reduce the negative impact of international tourism on carbon emissions.

The civil aviation sector is an important type of transportation that connects millions of people, stimulates tourism, and accelerates commercial change, stimulating the economy and bringing cultures together. Especially the speed and the economic power it provides carries the air transportation to the top ranks compared to other types. With the rapid growth of the airline service sector, the issue of climate change attracts more attention due to its increasing negative effects on humans and the earth. Making the national and international air transport system more efficient in order to meet the future demand, the solution is also complex, as the reduction of noise and emissions will affect many stakeholders. Achieving the stated environmental targets of air transport depends on key criteria-based success factors and global efforts. The aim of the study is to investigate the effect of civil air transport on environmental quality. Whether the innovation activities aimed at reducing the climate change related to transportation change the relationship between civil air transportation and environmental quality was examined with the Panel Threshold Value Regression Model between 1979 and 2019 for selected developed European countries. The results show that when technologies that reduce climate change in transportation pass a certain threshold value, the negative impact on the environmental quality of civil air transport disappears.

Bu çalışmanın amacı, Bitcoin ile Euro/Dolar, İngiliz Sterlini/Dolar, Kanada Doları/Dolar, Japon Yeni/Dolar ve Çin Yuanı/Dolar gibi önemli döviz kurları arasındaki dinamik ilişkiyi incelemektir. Bu bağlamda, Bitcoin ve döviz kurları arasında ortalamada ve volatilitede yayılım etkisinin varlığını incelemek için Hong (2001) tarafından önerilen ortalamada ve varyansta nedensellik testi kullanılmıştır. Ayrıca, Bitcoin ve döviz kurları arasındaki kuyruk bağımlılığının varlığını araştırmak için Hong vd. (2009) tarafından önerilen risk durumlarında nedensellik testi kullanılmıştır. 19 Ağustos 2011 ile 6 Ağustos 2021 tarihleri arasında günlük verileri kullanarak, Euro, Pound ve Kanada Dolar’ından Bitcoin’e yönelik tek yönlü ortalamada nedensellik ilişkisi tespit edilmiştir. Öte yandan, varyansta nedensellik testi sonuçları, Bitcoin ile Euro ve Pound arasında çift yönlü bir oynaklık yayılım etkisinin olduğunu göstermektedir. Ayrıca, Yuan ve Kanada Dolar'ın Bitcoin'in varyansta Granger nedeni olduğu belirlenmiştir. Risk durumlarındaki nedensellik testi sonuçları, Euro ve Pound’dan Bitcoin’e yönelik nedensellik ilişkisine dair kanıt sunmaktadır. Bununla birlikte Bitcoin’deki beklenmedik kayıplar, Yen’deki beklenmedik kayıpların Granger nedenidir. Genel olarak, ampirik sonuçlar Çin para biriminin Bitcoin ile daha az entegre olduğunu göstermektedir.

In this chapter, the VaR of the MSCI emerging market index (MSCI-EMI) developed by Morgan Stanley Capital International (MSCI) is estimated using linear, nonlinear time series and ANN. In this context, the aim of the study is to estimate the VaR exceedance of the MSCI-EMI as a global financial risk indicator compared with traditional time series methods and ANN. In addition, the most effective method on this index is determined by statistical information criteria, and the comparative evaluation of the model selection criteria is carried out. The period of analysis is between December 1987-April 2020 with monthly frequency and VaR exceedance obtained with ARMA-GARCH, TGARCH, EGARCH, GJR, and ANN models. Confidence levels of models, VaR exceedance, and Kupeic statistics are obtained. VaR exceedances are examined through the superior model.

Bu çalışmada, COVID-19 toplam vaka sayısı ile brent petrol ve altın ons fiyatları arasındaki uzun dönemli eştümleşme ilişkisi araştırılmıştır. Analiz dönemi olarak 31 Aralık 2019 ile 17 Ağustos 2020 tarihleri arası günlük frekansta veriler kullanılmıştır. Değişkenler arasındaki eştümleşme ilişkisi, Nielsen (2010) tarafından önerilen parametrik olmayan yöntemle gerçekleştirilmiştir. Elde edilen sonuçlara göre, toplam vaka sayısı ile petrol ve altın fiyatları arasında hem ikili hem de üçlü olarak eştümleşik olduğu sonucuna ulaşılmıştır. Bu durumun da COVID-19 virüsünün ülke ekonomilerini ve finans piyasalarını etkileyeceği sonucuna ulaşılmıştır.

In this study, long-term cointegration relation between COVID-19 total case numbers and Brent oil prices and gold prices per ounce examined. Daily frequency data between December 31, 2019 and August 17, 2020 used as the analysis period. The cointegration relation between variables is realized via the nonparametric method suggested by Nielsen (2010). According to the results, it concluded that there are a binary and triple cointegrated between total case numbers and oil and gold prices. Thus, it resulted that the COVID-19 virus will affect the economies and the financial markets of the countries.

This study tests the volatility spread and long-term relationship between Borsa Istanbul indexes and Corporate Governance Index (XKURY). The long-run relationship between the indexes is analyzed by the Johansen Cointegration test and the stationarity of time series is investigated by ADF and PP unit root tests. According to the study results, the index with the highest return is XKURY and the index with the highest volatility is BIST 30. The cointegration relations between XKURY, BIST100, BIST50 and BIST30 indexes are separately estimated. According to the estimation results, the variables with the highest speed of adjustment (cointegration) are XKURY and BIST50. According to the results of Granger Causality, XKURY is not the Granger cause of BIST100 but BIST100 is the Granger cause of XKURY. Among other variables, there is a two-way causality. Firms included in the corporate governance index have relatively higher return and lower volatility.

Volatility has been a well-documented phenomenon since it is a general indicator of risk. Proper measurement or estimation of risk and return plays a major role in equity investment for the investors. Institutional structure and corporate mechanisms of companies in developing countries are also important as well as the expected return and risk for the portfolio managers who especially manage funds at global scale. Due to the increasing importance of corporate governance, BİST corporate governance index was established on 31.08.2007 with the initial value of 48.082,17. The main motivation in establishing the corporate governance index is to increase the volume of transactions and market depth through providing internationally accepted corporate governance principles for the companies. Thus, global and local market players tend to invest in the companies that meet the obligations.

ABSTRACT This study aims to bring further evidence on recent developments of the J-curve literature by employing linear and nonlinear autoregressive distributed lag (ARDL) approaches for Turkish bilateral trade data with respect to 18 European Union member countries over the period from 1990Q1 to 2017Q3. Findings obtained from the nonlinear ARDL model yield more support for the J-curve phenomenon compared to the linear model. This result provides evidence of an asymmetrical impact of appreciations and depreciations on the Turkish bilateral trade balances and suggests that allowing for nonlinearity in the adjustment process gives better results in terms of the J-curve effect.

The aim of this study is to analyse the presence of a causal link among financial markets of Central and Eastern Europe (CEE) countries by adopting an asymmetric causality test. The standard causality test results suggest a causal relation running from the Czech Republic to Poland. Also, the Poland stock market is found to be a Granger cause of Turkey stock markets. Asymmetric causality test results indicate only a causal link going from the Czech Republic to Hungary and Poland. In addition, the presence of financial integration between Germany and CEE equity markets cannot be determined.