Volatility spillover from world oil spot markets to aggregate and electricity stock index returns in Turkey

This study examines the inter-temporal links between world oil prices, ISE 100 and ISE electricity index returns unadjusted and adjusted for market effects. The traditional approaches could not detect a causal relationship running from oil returns to any of the stock returns. However, when we examine the causality using Cheung-Ng approach we discover that world oil prices Granger cause electricity index and adjusted electricity index returns in variance, but not the aggregate market index returns. Hence, our results show that the Cheung-Ng procedure with the use of disaggregated stock index returns can uncover new information that went unnoticed with the traditional causality tests using aggregated market indices.


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Ewing, Bradley T.; Gormus, Alper; Soytaş, Uğur (2018-01-01)
This study evaluates the impacts of energy markets on emerging market mutual funds (EMMFs). In particular, we investigate the volatility transmission between these funds and the oil and natural gas prices. The findings suggest significant risk spillover from the energy markets to EMMFs. Furthermore, we find a large number of EMMFs' risk transmitting to oil prices and almost all of the EMMFs' risk transmitting to natural gas prices. By dividing the sample into two (before and after 2008), we find the EMMFs' ...
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Hydro inflow forecasting with most accurate quantitative models is a very crucial subject for effective hydro optimization, virtual power plant pricing, volume risk management and weather derivatives pricing in the Turkish electricity market. Predicting increase or decrease in hydro inflow, seasonal characteristics of hydrological years such as wet, dry or normal, allow the decision-makers to economically use water for optimal periods, quantify of volume risk and determine effective portfolio management str...
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Citation Formats
U. Soytaş and A. Oran, “Volatility spillover from world oil spot markets to aggregate and electricity stock index returns in Turkey,” APPLIED ENERGY, pp. 354–360, 2011, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/39684.