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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 bubbles in the bitcoin market impact stock markets? Evidence from 10 major stock markets(SAGE Publications Inc., 2023) Gemici, Eray; Polat, Müslüm; Gök, Remzi; Khan, Muhammad Asif; Khan, Mohammed Arshad; Kılıç, YunusIn this paper, we examine the effect of explosive behaviors in the Bitcoin market on the top 10 largest stock markets of developed and emerging countries. The daily dataset, including the Dow Jones Industrial Index (DJIA), Nasdaq (NSQ), Shanghai Composite Index (SSE), Nikkei 225 (N225), Hang Seng Index (HSI), Shenzhen Composite Index (SZSE), Euronext Amsterdam Index (AEX), London Stock Exchange (LSE), Toronto Stock Exchange (TSX), and Bombay Stock Exchange (BSE), spans July 21, 2010, to December 9, 2022. We first investigate the existence of explosive price behaviors using the bubble detection test of Phillips and Shi and the results provide evidence of multiple bubble episodes, coinciding with the monetary policy actions of the FED and ECB. Then, we address the question of whether the explosive behaviors detected affect the variance of equity returns by employing a GARCH model. The impact is negative, albeit its magnitude and significance vary among stock indices.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 Tail risk contagion and connectedness between crude oil, natural gas, heating oil, precious metals, and international stock markets(Elsevier B.V., 2025) Mensi, Walid; Gök, Remzi; Gemici, Eray; Kang, Sang HoonWe apply the qunatile vector autoregression (QVAR) connectedness and frequency causality methods to investigate tail risk contagion, quantile dependency, and causality linkages among the spot prices of equity, precious metals, and energy commodity markets between 2002 and 2024. Our findings indicate that the average amount of unexpected losses for stock markets is lower than that for other markets. Furthermore, our analysis of tail risk spillovers shows that downside risks are primarily driven by the contributions of others, with the most significant impact occurring when the tail risk is at its lowest. The total downside risks associated with connectedness are greater for lower quantiles and stock markets typically serve as the primary transmitters of shocks across all quantiles. During financial crises, heterogeneous and event-dependent risk spillovers strengthen, but not during pandemics or geopolitical incidents. © 2024Öğe 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.
