Browsing by Author "Cagli, Efe C."

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Finansal Stresin Fosil Enerji Emtiaları ile Yeşil Enerji Piyasaları Arasındaki Dinamik Bağlantılılığa Etkisi
(Economic and Financial Research Assoc – EFAD, 2025) Cagli, Efe C.; Mandacı, Pınar Evrim; Kocakaya, Birce Tedik; Taşkın, Dilvin
Bu makale, FSI (Finansal Stres Endeksi), VIX (Volatilite Endeksi) ve EPU (Ekonomik Politika Belirsizliği) gibi seçili stres değişkenlerinin yeşil piyasalar (hisse senetleri ve tahviller) ile fosil enerji emtiaları arasındaki dinamik bağlantılılık üzerindeki etkilerini incelemeyi amaçlamaktadır. Bağlantılılığı ölçmek için TVP-VAR modelini ve bu stres değişkenlerinin 1 Kasım 2012'den 15 Kasım 2022'ye kadar bu bağlantı üzerindeki etkilerini araştırmak için Fourier Kümülatif Granger Nedensellik testini kullanıyoruz. Sonuçlar, esas olarak kısa vadeli dinamiklerden kaynaklanan orta düzeyde getiri bağlantılılığı olduğunu gösteriyor ve bu da çeşitlendirmenin uzun vadeli yatırımlar için daha faydalı olabileceğini gösteriyor. COVID-19 salgını sırasında yüksek bağlantılılık gözlemliyoruz. Bağlantılılık, su şirketi hisseleri hariç, fosil enerji emtiaları arasında yüksek ancak yeşil hisse senedi ve tahvil piyasaları arasında düşüktür. Su hisselerinin piyasalar üzerinde önemli bir etkisi vardır, bunu petrol takip eder. Nedensellik test sonuçlarımız, FSI ve VIX'in bunların arasındaki bağlantılılığı etkilediğini göstermektedir.
Citation - WoS: 5
Citation - Scopus: 5
Quantile-on Connectedness of Uncertainty With Fossil and Green Energy Markets
(Pergamon-elsevier Science Ltd, 2025) Mandaci, Pinar Evrim; Cagli, Efe C.; Taskin, Dilvin; Kocakaya, Birce Tedik
This study explores links between uncertainty metrics and fossil and green energy sectors, applying an innovative quantile-on-quantile connectedness method to analyze spillovers across quantiles from August 2004 to December 2023. Our sample comprises the clean and fossil energy market indices and key uncertainty measures, including climate, economic, geopolitical, and infectious diseases uncertainty indices. All total connectedness indices were found to peak at extremely reversely related quantiles, except for climate policy uncertainty. The strongest connectedness is between high economic policy uncertainty and low clean energy returns. The economic policy uncertainty index was dynamically reversely related to energy markets in all quantiles. However, after 2016, the connectedness between climate policy uncertainty and energy market indices converted to positive, possibly due to the impact of the Paris Agreement. Compared to climate-related uncertainty, geopolitical and economic uncertainties have a notably more substantial influence on energy markets, particularly in the green energy sector. Other findings reveal that energy market performance significantly influences climate policy uncertainty, and that infectious disease uncertainty is transmitted across various quantiles. Given the findings, we propose policy implications for investors and policymakers, emphasizing the critical need for considering different quantiles in measuring the dynamic connectedness between various uncertainties and energy markets.
Return Transmission Among Fossil Energy Commodities, Clean Energy Stocks, Green Bonds, and Energy Cryptocurrency
(Mehmet Akif Ersoy University, 2025) Cagli, Efe C.; Mandacı, Pınar Evrim; Kocakaya, Birce Tedik
This paper investigates return transmission among fossil energy commodities (crude oil, natural gas, gas oil, unleaded gasoline, and heating oil), clean energy stocks, green bonds, and energy cryptocurrency markets. We consider Bloomberg’s fossil energy subindices to proxy various energy commodities. We use the WilderHill Clean Energy Index (ECO) and Solactive Green Bond Index (GB) as proxies for clean energy stocks and green bonds. In addition, the Powerledger (POWR) coin is used to proxy energy cryptocurrency. We employ the TVP-VAR frequency connectedness technique for the period from November 12, 2017, to September 28, 2023. Our findings indicate a moderate level of interdependence with an apparent increase observed during the COVID-19 pandemic. Notably, short-term factors play a significant role in shaping this connectedness. Furthermore, the analysis identifies clean energy stocks, green bonds and energy cryptocurrencies as recipients, while all fossil energy commodities other than natural gas and gasoline are identified as transmitters. These conclusions have important implications for investors and policymakers.