Browsing by Author "Mandaci, Pinar Evrim"

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The Effects of Global Volatility Indices on Green and Fossil Energy Markets
(Charles Univ-Prague, 2025) Mandaci, Pinar Evrim; Cagli, Efe Caglar; Tedik Kocakaya, Birce; Evri̇M Mandaci, Pınar
Uncertainties cause significant fluctuations in financial markets. Energy markets are more susceptible to uncertainties because of their strategic importance. This paper examines connectedness among various implied volatility indices (stock, oil, gold, currency), green markets (green stocks, bonds), and fossil energy commodities (natural gas, oil, heating oil, gasoline) from November 2, 2012, to July 25, 2023, by employing Chatziantoniou et al. (2023)'s TVP-VAR model. We use Broadstock et al. (2022)'s Minimum Connectedness Portfolio technique to construct optimal portfolio weights and hedge ratios. Our findings reveal moderate interdependence, with an increase during the pandemic. Short-and longterm factors are equally significant in this connectedness. All volatility indices are volatility transmitters, while energy markets are recipients. We provide important implications for investors interested in energy markets and aiming at constructing optimal hedging strategies, as well as for policymakers aiming to develop policies to stabilize energy prices and increase the effectiveness ofgreen markets.
Citation - WoS: 5
Citation - Scopus: 5
Quantile-on Connectedness of Uncertainty With Fossil and Green Energy Markets
(Pergamon-elsevier Science Ltd, 2025-08) Mandaci, Pinar Evrim; Cagli, Efe C.; Taskin, Dilvin; Kocakaya, Birce Tedik; Tedik Kocakaya, Birce; Evrim Mandaci, Pınar
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.