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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    An Econophysics Perspective on Green Bonds and Stock Market Nexus: Can Green Finance be an Investment Option for Emerging Stock Markets?
    (Başkent Üniversitesi İktisadi İdari Bilimler Fakültesi, 2024-03-28) Acikgoz, Turker
    Green bonds are one of the most fascinating financial innovations that offer a solution to climate change and sustainable development from the financial point of view. In this study, we employ methods from statistical physics to examine the multifractal features of cross-correlations between green bonds and emerging stock markets. Utilizing multifractal detrended cross-correlation analysis (MFDCCA) on return and volatility series, our findings reveal significant cross-correlations between green bonds and emerging stock markets. The MFDCCA results uncover multifractal features and long-range cross-correlations between the two assets. Notably, volatility cross-correlations exhibit persistent behavior, while return cross-correlations vary across small and large fluctuation periods. These findings hold practical implications for policymakers and investors involved in green bonds and emerging stock markets.
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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.