Yazar "Dibooğlu, Sel" için listeleme
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Bank default indicators with volatility clustering
Kenc, T.; Çevik, Emrah İsmail; Dibooğlu, Sel (Springer Science and Business Media Deutschland GmbH, 2021)We estimate default measures for US banks using a model capable of handling volatility clustering like those observed during the Global Financial Crisis (GFC). In order to account for the time variation in volatility, we ... -
The connectedness and risk spillovers between bitcoin spot and futures markets: evidence from intraday data
Çevik, Emrah İsmail; Günay, Samet; Buğan, Mehmet Fatih; Dibooğlu, Sel (Springer, 2022)This paper examines the dynamic relation between Bitcoin spot and futures markets during the Covid-19 pandemic. Using hourly data from 2020 combined with quantile impulse response analysis and predictability in the ... -
Connectedness and risk spillovers between crude oil and clean energy stock markets
Çevik, Emre; Çevik, Emrah İsmail; Dibooğlu, Sel; Cergibozan, Raif; Buğan, Mehmet Fatih; Destek, Mehmet Akif (Sage Publications Ltd, 2023)This research investigates the relationship between clean energy stock and oil market returns utilizing Granger predictability in distribution and quantile impulse response analysis. We find that clean energy stock returns ... -
Credit default risk in Islamic and conventional banks: Evidence from a GARCH option pricing model
Dibooğlu, Sel; Çevik, Emrah İsmail; Al Tamimi, Hussein A. Hassan (Elsevier, 2022)An important question in banking is whether restrictions placed on Islamic banks make them more resilient to financial market turmoil and less prone to failure than conventional banks. We evaluate this claim by estimating ... -
The effect of North Korean threats on financial markets in South Korea and Japan
Dibooğlu, Sel; Çevik, Emrah İsmail (Elsevier Science Bv, 2016)This paper examines the effects of North Korean threats, as measured by the proprietary North Korean Threat Index (NKTI), on financial markets in South Korea and Japan. We examine the effects of the threats on stock markets, ... -
Emerging market portfolios and Islamic financial markets: Diversification benefits and safe havens
Buğan, Mehmet Fatih; Çevik, Emrah İsmail; Dibooğlu, Sel (Elsevier, 2022)We examine the relationship between Islamic and conventional stock market returns to see if Islamic financial markets provide portfolio diversification benefits and safe havens during turbulent times. Using daily data from ... -
Financial conditions and monetary policy in the US
Dibooğlu, Sel; Erdoğan, Seyfettin; Yıldırım, Durmuş Çağrı; Çevik, Emrah İsmail (Elsevier, 2020)We examine the FED's monetary policy rule with financial stability considerations and under asymmetry. We use the National Financial Conditions Index constructed by the Chicago FED in order to test whether financial stability ... -
Financial stress transmission between the U.S. and the Euro Area
Altınkeski, B.K.; Çevik, Emrah İsmail; Dibooğlu, Sel; Kutan, A.M. (Elsevier B.V., 2022)This paper examines financial stress transmission between the U.S. and the Euro Area. To better understand the linkages between financial stress in the two regions, we construct a financial stress index for the U.S. similar ... -
Global Liquidity and Financial Stress: Evidence from Major Emerging Economies
Çevik, Emrah İsmail; Kırcı Çevik, Nüket; Dibooğlu, Sel (Routledge Journals, Taylor & Francis Ltd, 2016)We examine the relationship between financial stress and global liquidity for the so-called fragile five emerging economies (Brazil, India, Indonesia, South Africa, and Turkey). By using an extensive set of variables that ... -
Gold, silver, and the US dollar as harbingers of financial calm and distress
Dibooğlu, Sel; Çevik, Emrah İsmail; Gillman, Max (Elsevier Science Inc, 2022)In this paper, we investigate the relationship between gold, silver, and the US dollar returns and financial stress to shed light on the circumstances where these assets serve as attractive investment vehicles and whether ... -
Identifying systemically important financial institutions in Turkey
Çalışkan, Hande; Çevik, Emrah İsmail; Kırcı Çevik, Nuket; Dibooğlu, Sel (Elsevier, 2021)This paper examines the systemic risk of financial firms in Turkey. Using Component Expected Shortfall, we provide estimates of systemic risk in Turkey using daily data from 2005 to 2018 and a comprehensive data set ... -
The impact of expected and unexpected events on Bitcoin price development: Introduction of futures market and COVID-19
Çevik, Emrah İsmail; Günay, Samet; Dibooğlu, Sel; Yıldırım, Durmuş Çağrı (Elsevier Ltd, 2023)This study examines the impact of two critical events, the introduction of Bitcoin futures and the COVID-19 pandemic, on Bitcoin's returns and volatility. We find that the inception of Bitcoin futures (positively) impacts ... -
Investor sentiments and stock markets during the COVID-19 pandemic
Çevik, Emre; Altınkeski, Buket Kırcı; Çevik, Emrah İsmail; Dibooğlu, Sel (Springer, 2022)This study examines the relationship between positive and negative investor sentiments and stock market returns and volatility in Group of 20 countries using various methods, including panel regression with fixed effects, ... -
Oil prices, stock market returns and volatility spillovers: Evidence from Turkey
Çevik, Nüket Kırcı; Çevik, Emrah İsmail; Dibooğlu, Sel (Elsevier B.V., 2020)This paper examines the relationship between crude oil prices and stock market returns in Turkey taking into account volatility spillovers that are exemplified by second moment effects. Using weekly data from 1990 to 2017 ... -
Oil prices, stock market returns, and volatility spillovers: evidence from Saudi Arabia
Çevik, Emrah İsmail; Dibooğlu, Sel; Awad Abdallah, Atif; Al-Eisa, Eisa Abdulrahman (Springer Heidelberg, 2021)This work reinvestigates the interrelationship between crude oil prices and stock market returns in Saudi Arabia by taking into account volatility spillovers that are exemplified by second-moment effects. Using weekly data ... -
The Relationship Between Price Stability and Financial Stability: Evidence From Major Emerging Economies
Çevik, Nüket Kırcı; Yurtkur, Asuman Koc; Dibooğlu, Sel (Routledge Journals, Taylor & Francis Ltd, 2019)We examine the relationship between price stability and financial stability for major emerging economies using a Markov regime-switching model. Empirical results suggest that monetary policy is consistent with the Taylor ... -
Renewable and non-renewable energy consumption and economic growth in the US: A Markov-Switching VAR analysis
Çevik, Emrah İsmail; Yıldırım, Durmuş Çağrı; Dibooğlu, Sel (SAGE Publications Inc., 2021)We examine the relationship between renewable and non-renewable energy consumption and economic growth in the United States. While the regime-dependent Granger causality test results for the non-renewable energy consumption ...