Show/Hide Menu
Hide/Show Apps
Logout
Türkçe
Türkçe
Search
Search
Login
Login
OpenMETU
OpenMETU
About
About
Open Science Policy
Open Science Policy
Open Access Guideline
Open Access Guideline
Postgraduate Thesis Guideline
Postgraduate Thesis Guideline
Communities & Collections
Communities & Collections
Help
Help
Frequently Asked Questions
Frequently Asked Questions
Guides
Guides
Thesis submission
Thesis submission
MS without thesis term project submission
MS without thesis term project submission
Publication submission with DOI
Publication submission with DOI
Publication submission
Publication submission
Supporting Information
Supporting Information
General Information
General Information
Copyright, Embargo and License
Copyright, Embargo and License
Contact us
Contact us
Time-Varying Linkage between Equities and Oil
Date
2020-01-01
Author
Ordu Akkaya, Beyza Mina
Oran, Adil
Soytaş, Uğur
Metadata
Show full item record
This work is licensed under a
Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License
.
Item Usage Stats
298
views
0
downloads
Cite This
This study examines the correlation structures between oil futures, the S&P 500 and US sectoral indices, using the Asymmetric DCC method. The results indicate that these correlations display time-varying and asymmetric characteristics. The potential effects of variousfactors, including copper and gold prices, dollar/euro exchange rate, T-bill rate and financial stress index on these dynamic correlations are also investigated. The dynamic links betweenoil and stock returns weaken in response to shocks in all factors we examine,except for financial stress index and short-term interest rates. Similar to previous studies, we find that during financial distress episodes, correlationstend to strengthen. Furthermore, we are interested in whether the increases incorrelations are temporary or persistent in nature, as this would contain important information for hedging strategies. The findings indicate that prior to the 2008 global financial crisis, the increases were more temporary in nature, whereas after this crisisthey display more persistent behavior. We find that the Cleveland FinancialStress Index (CFSI) captures a long-term increase in correlations, since anincrease in the CFSI post-2008 leads to a surge in correlations, but not inpre-2008. Hence, investors should definitely follow CFSI to gain benefits of diversification in commoditymarkets.
URI
https://doi.org/10.1142/9789811210242_0004
https://hdl.handle.net/11511/91525
Relation
Risk Factors and Contagion in Commodity Markets and Stocks Markets
Collections
Department of Business Administration, Book / Book chapter
Suggestions
OpenMETU
Core
Time-Varying Linkage between Equities and Oil
Ordu Akkaya, Beyza Mina; Oran, Adil; Soytaş, Uğur (World Scientific Publishing, 2020-05-01)
This study examines the correlation structures between oil futures, the S&P500 and US sectoral indices, using the Asymmetric DCC method. The results indicate that these correlations display time-varying and asymmetric characteristics. The potential effects of various factors, including copper and gold prices, dollar/euro exchange rate, T-bill rate and financial stress index on these dynamic correlations are also investigated. The dynamic links between oil and stock returns weaken in response to shocks in al...
Short-term trend prediction in financial time series data
Ozorhan, Mustafa Onur; Toroslu, İsmail Hakkı; Şehitoğlu, Onur Tolga (Springer Science and Business Media LLC, 2019-10-01)
This paper presents a method to predict short-term trends in financial time series data found in the foreign exchange market. Trends in the Forex market appear with similar chart patterns. We approach the chart patterns in the financial markets from a discovery of motifs in a time series perspective. Our method uses a modified Zigzag technical indicator to segment the data and discover motifs, expectation maximization to cluster the motifs and support vector machines to classify the motifs and predict accur...
Dynamic correlations between BRIC and U.S. stock markets: The asymmetric impact of volatility expectations in oil, gold and financial markets
Kocaarslan, BARIŞ; Sarı, Ramazan; GORMUS, Alper; Soytaş, Uğur (2017-09-01)
This study investigates the impacts of volatility expectations in oil, gold, currency and the U.S. stock markets on time-varying conditional correlations between BRIC and U.S. stock markets. We use asymmetric dynamic conditional correlation and dynamic conditional correlation models to derive the time-varying relationships. We then examine the dynamic conditional correlations using quantile regressions for a detailed analysis of dependence structure containing non-linear and asymmetric interactions. Our res...
Macroeconomic announcements and intraday stock market volatility
Yılmaz, Berna Nisa; Danışoğlu, Seza; Department of Financial Mathematics (2017)
This study examines the effects of interest and inflation rate announcements on stock market volatility by using a standard event study methodology. The BIST-30 Index volatility is modelled and forecasted by the multiplicative component GARCH model. This is one of the first studies where the announcement effects are analyzed on the basis of volatility forecasts produced by the multiplicative component GARCH. The announcement effects are observed clearly with the advantage of using high-frequency data. While...
Risk Transmission from Oil and Natural Gas Futures to Emerging Market Mutual Funds
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' ...
Citation Formats
IEEE
ACM
APA
CHICAGO
MLA
BibTeX
B. M. Ordu Akkaya, A. Oran, and U. Soytaş,
Time-Varying Linkage between Equities and Oil
. 2020.