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Öğe Can Twitter-based economic uncertainty predict safe-haven assets under all market conditions and investment horizons?(Elsevier Inc., 2022) Gök, Remzi; Bouri, Elie; Gemici, ErayThis paper examines the Granger causality from Twitter-based economic uncertainty (TEU) to three safe-haven assets – Bitcoin, gold, and US10 year Treasury notes. Using daily data (June 1, 2011–August 30, 2021) and causality-in-quantiles and wavelets methods, the results indicate variability in the causality between the mean and variance, as well as the market conditions. TEU Granger-causes the returns and volatility of Treasuries, the volatility but not returns of Bitcoin, and neither the volatility nor the returns of gold for the raw series, and the causality is mostly significant at low and middle quantiles for Bitcoin and Treasuries. We include other risk factors and confirm the variability in the causality. Considering the possibility of a hidden causality over various frequency domains due to investors' heterogeneous expectations and perceptions of risk, the wavelet transforms-based causality tests reveal an increase in the predictability of risk indicators under specific investment horizons and market conditions. During the pandemic, TEU strongly predicts future volatility of Treasury and Bitcoin returns, reflecting the importance of social-media posts for safe-haven pricing. These findings highlight the benefits of applying the causality-in-quantiles test to decomposed series to determine the contribution of each scale to the causality over various market conditions.Öğe Do geopolitical risk, economic policy uncertainty, and oil implied volatility drive assets across quantiles and time-horizons?(Elsevier B.V., 2024) Bouri, Elie; Gök, Remzi; Gemi̇ci̇, Eray; Kara, ErkanThis paper examines the impact of three global risk factors (geopolitical risk (GPR), economic policy uncertainty (EPU), and crude oil volatility (OVX)) on the returns and variance of commodity, Islamic stock, and green bond markets across quantile distributions and various time horizons. To this end, Granger causality tests in quantiles and distributions along with wavelet-based correlation and causality approaches are applied to daily data from February 1, 2013 to June 30, 2023. The results of the Granger causality in quantiles tests show strong evidence that all three global risk factors Granger-cause returns across all quantiles, except the lowest and middle quantiles. The Granger causality is significant for both returns and variances, where GPR is the least predictor and OVX is the most predictor. Evidence of causation in risk spillovers is in the right tail and center of the distribution rather than the left tail, indicating no evidence of down-to-down risk spillover. The upside risk of OVX causes both the upside and downside risk of asset returns. The positive volatility of EPU and GPR drives the positive and negative volatility of the green bond and Islamic stock markets, respectively. Green bond markets are completely immune to risk spillover from geopolitical risks. The effects of risk factors are negligible at the lower and somewhat middle quantiles but strengthen with varying magnitude and significance for the remaining quantiles. The results of the wavelet analysis indicate that asset returns co-move with the global risk factors in the short term but decouple in the longer term. Risk factors exert short-lived causal impacts in the short term, but the duration of significant causal periods rises with time and the effect intensifies during crisis periods.Öğe The efficiency of the new reference rate in Türkiye(Borsa İstanbul Anonim Şirketi, 2024) Gök, Remzi; Pirgaip, Burak; Bouri, ElieThe transition from the reference rate based on interbank offered rates, such as the Turkish lira interbank offer rate (TRLIBOR), to the risk-free rate (RfR), the Turkish lira overnight reference rate (TLREF), in Türkiye is a critical juncture, but it is not clear how it affects the market's ability to incorporate information precisely and promptly. Drawing on the adaptive market hypothesis (AMH), we examine the impact of transitioning from TRLIBOR to TLREF on the efficiency of Turkish financial markets. Our results reveal pronounced and time-varying persistence patterns in both reference rates and highlight heterogeneity in their efficiency, which seems influenced by fluctuations in national political conditions and monetary policies. TLREF consistently demonstrates higher market efficiency than TRLIBOR. The findings offer insights into the dynamics of market efficiency in Türkiye and highlight the broader implications of switching to RfR-based reference rate regimes.Öğe Green bonds and financial markets: Interdependence across different market situations(Academic Press, 2025) Gök, Remzi; Şenol, Zekai; Durgun, Burhan; Bouri, ElieThis study examines the multifaceted return interdependence between green bonds and various assets and markets (conventional bonds, Islamic and conventional stocks, Bitcoin, Ethereum, crude oil, and gold), covering various market conditions. Daily data are from January 11, 2016 to February 12, 2024, and the methods employed include quantile-on-quantile return connectedness (QQC), cross-quantilogram (CQ), and Granger causality in quantiles (GC), which allow us to make inferences about the safe-haven ability of green bonds. The QQC results establish that the connectedness at directly related quantiles is more pronounced than those of inversely related quantiles for all cases. The degree of return connectedness is highest with conventional bonds, followed by gold and stocks. Green bonds act as the net transmitter of spillover shocks to Bitcoin and gold markets, whereas it serves as the receiver of shocks from the remaining markets. The CQ results indicate that positive returns in green bonds significantly follow negative returns in conventional bonds 5 days later, suggesting that green bonds have a one-week lagged safe-haven ability. The GC from green bonds is bidirectional and mostly intensified in extreme quantiles with oil, cryptocurrencies, and conventional stocks, but unidirectional and visible with Islamic stocks during market downturns.Öğe Predictability of risk appetite in Turkey: Local versus global factors(Elsevier, 2023) Gemici, Eray; Gök, Remzi; Bouri, ElieWe examine the impacts of four local and five global factors on the risk appetite in Turkey using weekly data for the period 2008–2022. There are significant causal effects of both global and local factors under various market conditions. Local factors, particularly CDS spreads, exert stronger causal effects than global factors, and qualified investors are more predictable than domestic or foreign investors. Uncertainty during the pandemic crisis weakens the explanatory powers of most factors. All investor groups are generally exposed to negative shocks and this effect strengthens at lower and middle quantiles. Policy implications are discussed.Öğe Volatility spillovers between sovereign CDS and futures markets in various volatility states: Evidence from an emerging economy around the pandemic(2023) Gök, Remzi; Bouri, Elie; Gemici, ErayWe study quantile connectedness across the realized volatility of the 5-year Turkish CDS spreads and four futures contracts of USDTRY, EURTRY, XU030, and XAUTRY around the pandemic period. The procedure identifies, on average, the XU030 (EURTRY) stock index futures as the main net transmitter (receiver) of volatility shocks irrespective of subperiods. The level of total connectedness (i) fluctuates over time; (ii) is highly sensitive to major events; and (iii) strengthens in the high volatility state. The dynamic connectedness reaches a peak in December 2021, one day after the introduction of a new scheme, FX-protected deposit accounts, to address higher financial dollarization rates and lower the depreciation pressure on the lira. We find that investing in currency futures is very attractive, while XAUTRY futures have the highest reward-to-volatility. The hedging costs are highly related to changes in the infectious disease equity-market volatility tracker, geopolitical, and economic policy index for the US.
