İktisadi ve İdari Bilimler Fakültesi / Faculty of Economics and Administrative Sciences

Permanent URI for this collectionhttps://hdl.handle.net/11727/1399

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Author: search.filters.author.Acikgoz, TurkerHas files: Yes

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    Multifractal Detrended Cross-Correlations between Green Bonds and Commodity Markets: An Exploration of the Complex Connections between Green Finance and Commodities from the Econophysics Perspective
    (FRACTAL AND FRACTIONAL, 2024-03-08) Acikgoz, Turker; Gokten, Soner; Soylu, Abdullah Bugra
    Green bonds represent a compelling financial innovation that presents a financial perspective solution to address climate change and promote sustainable development. On the other hand, the recent process of financialisation of commodities disrupts the dynamics of the commodity market, increasing its correlation with financial markets and raising the risks associated with commodities. In this context, understanding the dynamics of the interconnectivity between green bonds and commodity markets is crucial for risk management and portfolio diversification. This study aims to reveal the multifractal cross-correlations between green bonds and commodities by employing methods from statistical physics. We apply multifractal detrended cross-correlation analysis (MFDCCA) to both return and volatility series, demonstrating that green bonds and commodities exhibit multifractal characteristics. The analysis reveals long-range power-law cross-correlations between these two markets. Specifically, volatility cross-correlations persist across various fluctuations, while return series display persistence in small fluctuations and antipersistence in large fluctuations. These findings carry significant practical implications for hedging and risk diversification purposes.
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    Return and Volatility Connectedness in Electronic Warehouse Receipt Market of Turkey
    (2023) Acikgoz, Turker; 0000-0002-5613-1929; IYJ-0960-2023
    Over the course of the last century, globalization and integration have increased significantly around the world. The rise in economic and financial globalization and integration has increased the connectedness between national economies and financial markets and secured an important place in the systemic risk spillover. It is important to analyze the issue in terms of different markets. Food prices around the world have increased significantly over the last 20 years. The price and volatility increase associated with food products lead to important socioeconomic and social problems. In this context, it will be important for decision-makers to assess the issue from the perspective of financial markets and to understand and reveal the dynamic structure of food commodity markets. This study aims to examine the connectedness of return and volatility in the Electronic Warehouse Receipt (EWR) market, where agricultural commodities are traded in Turkey, and to analyze its dynamic structure that changes over time. In this study, the Diebold-Yilmaz connectedness measurement method based on the forecast error variance decomposition after the VAR (p) model was used to analyze the connectedness between financial assets. According to the results of the static analysis performed, it was observed that while the return connectedness in the EWR market is very low, the volatility connectedness is at a higher level than the return connectedness. Based on the results of the dynamic analysis, no trend was observed in return connectedness; however, rapid increases and decreases were observed for certain periods. On the other hand, while an increasing trend was observed in the dynamic analysis of volatility connectedness, sudden increases and decreases were observed during periods of crisis. Of all agricultural commodities, it was observed that barley was the asset that sent the most net shock into the system. The EWR market in Turkey has come up recently. The market's structure, dynamics, and synchronization with other markets are still at a low level. The spillover effect of return and volatility shocks in the market are also low. The findings of this study can be used by producers, financial market participants and various decision makers for risk management, hedging and profit maximization purposes.