Theses supervised by Nigar (Supervisor) Taşpınar
11 theses · Eastern Mediterranean University
Portfolio Diversification and Volatility Spillovers between Energy Stocks and Fossil Fuel Energy Commodities
In this thesis, we investigate the volatility spillovers among major energy stocks, the electricity index, and fossil fuel energy commodities (crude oil, natural gas, and coal) using firm-level data in an emerging market, Turkey over the period July 18, 2006–December 31, 2021, which covers important economic events worldwide. To do this, we employ [1] Diebold and Yilmaz’s (2012) approach to examine both time-varying and invarying volatility spillovers among markets. Our findings reveal that Turkish energy stocks and the fossil fuel energy markets have high interdependencies, which are significantly affected by global political, financial, and extreme events. The volatility spillovers among markets during the COVID-19 outbreak in 2020 exceeded the 2008 global financial crisis. We also examine the volatility connectedness between markets based on frequency domain using various frequency bands (short term, medium term, long term). To do so, we adopt [2] Barunik and Krehlik’s (2018) approach and find that the highest performance is recorded in the long horizon compared to short and medium horizons, implying that the impact of volatility spillover transmission from one market to others is persistent (long-lasting) in the Turkish market. Finally, we calculate dynamic conditional correlations (DCC-GARCH), hedge ratios, and optimal portfolio weights for Turkish energy stocks, the electricity index, and fossil fuel energy commodities (crude oil, natural gas, and coal). Implications for both governments and global investors are provided accordingly based on our results.
The Impact of Oil Price Volatility on Banking Stocks: Evidence from Iran
This study analyzed how crude oil prices affect the stock prices of five major Iranian banks that invest in the oil and petrochemical industries. The exchange rate was also considered in our analysis. We used daily data from 2011 to 2020 and examined timevarying and fixed spillovers in banking stocks using the methods of Diebold and Yilmaz (2012). Our findings suggest that the exchange rate has the greatest impact on bank fluctuations due to the unprecedented sanctions faced by Iran during the study period. These sanctions limited Iran's access to global markets, reducing economic growth and investment opportunities. Consequently, the impact of oil price changes on banking stocks and other economic indicators decreased. To address these challenges, Iran can diversify its economy by investing in technology and production, strengthen the banking sector through improved regulations, transparency, and accountability, and improve exchange rate management. Additionally, Iran can monitor and reduce risks associated with oil price fluctuations through developing contingency plans, improving risk management systems, and increasing cooperation between the government and banking sector. Overall, this study emphasizes the importance of considering the potential effects of economic sanctions when analyzing the relationship between oil prices, bank stocks, and other economic indicators in Iran. Taking these steps can help Iran better manage the impact of oil price fluctuations and economic sanctions, and create a more stable and resilient economy.
Interactions among Return and Market Capitalization of Bitcoin and Turkish lira
The aim of this thesis is to distinguish the interactions between return and market capitalization of Bitcoin and Turkish lira, a quantitative study was conducted out. In order to conduct the study, the daily returns and market capitalization of Bitcoin and Turkish Lira were used for the timespan of May 31, 2019, to May 29, 2021. The thesis goal was accomplished using several methods. Initially, applying descriptive statistics to find out whether the data series are normally distributed or not. Second, unit root tests were applied to test the integration order and observe whether the variables are stationary or not, in addition to determining if the data have constant covariance or rather variance over time. Lastly, the recently discovered Granger causality in quantiles approach by Troster (2018) was applied. Furthermore, the findings demonstrate that Returns of Bitcoin have a significant impact on the Turkish lira and vice versa, indicating the cryptocurrency's predictive power over the exchange rate of the Turkish lira. As a recommendation, the returns of cryptocurrencies should be closely monitored by investors who actively trade on the Turkish exchange market. Moreover, investors can follow the market capitalization of Bitcoin so they can have some ideas about returns of bitcoin for their investment decision.
The Impact of Cryptocurrencies on the Stock Market Performance of Nigeria
A comparative analysis was conducted to distinguish the impact of Bitcoin on the Nigerian Stock Exchange. For analysis, daily Bitcoin and Nigerian stock market indices were used for the period 6 May 2013 – 6 May 2019. Three methods were used to achieve the aim of the study. Firstly, several unit root tests were conducted to confirm the integration order to find whether the variables are stationary or not and if the data have a constant covariance and variance over time. Secondly, QR was used as a method to solve various problems related to modern economics and finance. However, it can help to get a better picture of the factors that influence individual happiness, while traditional regressions focus on the mean. Finally, the recently developed quantile on quantile (QQR) approach (Sim and Zhou, 2015) was used. Compared to previous methods, the QQR approach can provide a broader and more complete picture of the overall pattern of dependence structure between the variables under investigation. which is an extension of the ordinary and standard quantile regression model that allows the evaluation of the effects of the quantile of one variable on the other. Moreover, results of quantile regression show that Bitcoin returns affect Nigerian stock exchange returns only in the upper quantiles negatively, while the quantile-on-quantile regression results suggest that there are substantial areas in the Nigerian stock return distributions and Bitcoin return distributions where these variables appear to be uncoupled. To improve the financial system's performance and increase Nigeria's economic wellbeing, policymakers should evaluate the chances given to investors in the cryptocurrency market and replicate them in the stock market.
Investigating the Behavioral Pattern of Stock Market Index and Covid-19 Crisis: Case Study G20 Stock Market Indices
This research focuses on investigating the behavioral patterns of stock market indices during the Covid-19 period, with the time period under assessment ranging from January 2015 to September 2022. The principal aim and objective of the research is to assess the volatility spillover of various stock market indices, with further derivations of both net transmitters and receivers of the volatility spillovers in the financial market. The principal econometric method used is the Diebold and Yilmaz approach (2012). The results show a high rate of interconnectedness between the stock market indices in the financial market. The analysis reveals that the volatility in the market during the outbreak of the pandemic is due to its outburst, given that its total spillover index estimates are about 51%, and all observed series demonstrate stationarity at the level state I(0). These results emphasize the importance of information circulation in financial markets, as rational investment decisions by current and potential investors are backed by information adequacy. Additionally, the results demonstrate the relevance of health as an important factor in deriving the proficiency levels of stock market indices, with further illustrative evidence of a non-trading period as a result of the pandemic outbreak.
The Relationship Between Stock Market Performance and Its Liquidity
This thesis examines the macroeconomic determinants of stock market performance in Turkey during the period 1990-2019. Specifically, it examines the impact of gross domestic product, exchange rate, inflation and stock market liquidity on the performance of Turkish stock market. Currently, while theoretical and empirical literature revealed diverse views on the relationship between each determinant and stock market performance, no studies have been conducted with particular reference to the Turkish stock market given the significant role the Turkish market plays in the world. This thesis enriches existing literature by investigating the macroeconomic determinants of stock market performance in Turkey using the Johansen cointegration and VECM testing procedure. The results find that all our independent variables have a positive long-run impact on Turkish stock market performance. This thesis recommends that Turkish government has to sharpen the public expenditures through further investments. The Government of Turkey must attempt to keep its inflation rates at a stable level. Furthermore, the pivot of this thesis hovered around market liquidity therefore, having “larger capital markets” as well as allowing for “more technological innovation in trading” will contribute to intensification of the market liquidity which in turn can hone the Turkish stock market performance. Keywords: Stock Market Performance, Gross Domestic Product, Inflation, Stock Market Liquidity, Exchange Rate, Turkey.
The Impact of Natural Resources on Financial Development: The Global Perspective
Using a time series approach, this thesis investigates how natural resources impact financial development from a global perspective for the period 1980-2019. Johansen cointegration test has revealed that the variables are in a long-run equilibrium relationship. The vector error correction model (VECM) has estimated the coefficient of the error correction term (ECT) which suggests that the short-run values of natural resources, economic growth, trade openness, population growth, and investments contribute to financial development converging to its long-run equilibrium level by a 23.63% speed of adjustment every year. The estimated coefficients suggest that global natural resource rent has a statistically-significant negative impact on global financial development in the long-run, but not in the short-run. Causality test results imply that neither global natural resource rent nor global financial development Granger-causes each other.
Optimized Portfolios, Hedge, and Inflation: The Case of Turkey
This thesis unfolds in three successive phases, considering the pivotal role of inflation in investors' decisions, particularly in the Turkish economic landscape. The first phase examines the hedging potential of several asset classes, namely gold, foreign currencies, real estate, and the stock market, in light of escalating inflation rates in Turkey. Following the identification of viable hedging instruments, optimized portfolios are formed in the second phase using Sharpe ratio and CVaR optimization techniques. In the final phase, the interaction between the realized returns of these optimized portfolios and the Economic Confidence Index (ECI) is examined. Different quantiles of conditional distributions, as well as time domain and frequency domain are considered. Methods such as quantile correlation, dynamic conditional correlation and wavelet coherence are applied. This comprehensive study not only contributes to the existing body of knowledge through its unique methodology, structure, and variable selection, but also offers practical insights for investors at times when large shocks to the economy are expected. Keywords: ECI, Inflation Hedging, Optimized Portfolios, CVaR
The Determinants of Foreign Direct Investment: The Case of Morocco
The present investigation looks on Morocco's long-term balance of foreign direct investment, GDP, agriculture, manufacturing, GFCF, and trade. This relationship has been widely researched in the field of economics. The results vary; several theoretical and empirical studies have found no positive relationship between foreign direct investment (FDI) and economic growth. In contrast, other research has shown that FDI has a significant and positive influence on long-term economic growth. Also, the remarkable expansion of FDI and these variations in destination focus have sparked several issues, such as why there is an intense interest in FDI? Is Foreign Direct Investment beneficial to the host country’s economic growth? Following a review of literature of the different variables studied, an empirical analysis using time-series (1995-2021) was conducted by performing several tests namely Augmented Dickey Fuller and Phillips Perron tests for stationarity. Johansen cointegration analyses verify the long-term link between FDI and its causes in Morocco in terms of true income growth. Error correction model is employed to examine the non-stationary variables' long-run relationships. Third, Granger-causality is used under the VECM to study causal links among variables through historical data.
The Impact of Foreign Aid and Agriculture, Forestry and Fishing on Economic Growth: The case of D. R. Congo
This thesis investigates the impact of foreign aid and agriculture, forestry and fishing (AFF) on economic growth in the Democratic Republic of the Congo using data from the World Bank for the timespan 1972 to 2021. To underline the importance of the chosen macroeconomic variables in strengthening economic growth, the impact of the consumer price index; Exports of goods and services; foreign direct investment on the economic growth is also present. The probe utilized the Augmented DickeyFuller and Phillips-Perron unit root tests to assess data stationarity through first differencing, at 10% significance level. Long-term relationships between variables were examined using Johansen's cointegration test, while short-term and long-term relationships were assessed using the Vector Error Correction Model (VECM). The causal directionality between macroeconomic indicators and economic growth through Granger causality test was explored lastly. The outcomes of the VECM analysis underscore several key trends in the D. R. Congo's economic landscape. The findings reveal an adverse long-term correlation betwixt CPI, EXPO, and GDP; indicate a favorable enduring connection among AID, AFF, and GDP. Lastly, the analysis establishes the absence of a statistically substantial relationship between FDI and GDP in the country. It concluded that AID and AFF have been prominent for economic growth. The findings offer valuable insights for policymakers, to make informed decisions that enhance the nation's economy through the positive interplay of AID, AFF and economic growth.
The Impact of Lending Interest Rates on Air pollution: The Case of Lebanon
The purpose of this thesis is to determine the association among various variables, including CO2 emissions, GDP, energy usage, and loan interest rates in Lebanon, within the time frame of 1990 to 2019. To do so, the Autoregressive Distributed Lag (ARDL) approach will be utilized to achieve the goal of the study. The results reveal the existence of a long-term equilibrium relationship (co-integration) between the variables under investigation, namely carbon dioxide emissions, energy consumption, economic growth, and lending interest rates. There is a positive relationship between energy consumption, economic growth, and carbon dioxide emissions, indicating that an increase in economic growth leads to higher energy consumption, which in turn results in increased carbon dioxide emissions. Conversely, GDP2 and the lending interest rate (LIR) show a negative correlation. Increasing economic growth leads to more energy consumption, which in turn leads to increased carbon dioxide emissions. The environmental pollution is significant problem in Lebanon. Since the average CO2 emissions in Lebanon is 0.5 kg per 2015$ of GDP, while the global average is 0.3. Hence, the search for clean and low-carbon energy sources (renewable energy) has become an urgent matter, especially since Lebanon possesses water and solar resources that can be harnessed. Thus, it will achieve many goals, including reducing carbon emissions, achieving sustainable levels of growth, preserving the environment, lowering local energy prices, and enhancing welfare.