Yazar "Zafar, Muhammad Wasif" seçeneğine göre listele

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    The impact of digital finance on the natural resource market: Evidence from DeFi, oil, and gold
    (Elsevier Sci Ltd, 2022) Çevik, Emrah İsmail; Günay, Samet; Zafar, Muhammad Wasif; Destek, Mehmet Akif; Buğan, Mehmet Fatih; Tuna, Fatih
    The purpose of this study is to examine the interconnectedness between DeFi and natural resource assets in terms of return and volatility spillovers, as well as the effectiveness of hedging, utilizing the time and frequency domain causality test and the cross-quantilogram approach. To this end, we take into account the ChainLink (LINK) and Maker (MKR) prices for the DeFi market and use crude oil (WTI) and gold prices as proxies for the natural resources market. For this purpose, we observe the daily period from March 14, 2018, to August 15, 2022, in order to evaluate the portfolio diversification benefits during the Covid-19 epidemic. The findings from the time and frequency domain causality test reveal that the price and risk structure of natural resources such as crude oil and gold are influenced by digital finance instruments, particularly during times of crisis. Moreover, the results of the cross-quantilogram approach indicate that the significant cross-correlations between DeFi tokens and natural resource markets during bearish market periods are generally negative therefore DeFi tokens can provide effective hedging for gold and crude oil investors.
  • Küçük Resim Yok
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    Time and quantile domain connectedness between the geopolitical risk of China and precious metals markets
    (Elsevier Sci Ltd, 2023) Lu, Chengwu; Zafar, Muhammad Wasif; Cevik, Emrah I.; Destek, Mehmet Akif; Bugan, Mehmet Fatih
    It is expected that the irrational behavior of the investors due to psychological reasons in risk situations, the decisions taken in fear and panic affect the performance of investment instruments, and thus the decisions of the diversified portfolio. Therefore, in this study, we investigated the existence of the argument that precious metals investments as an investment asset can protect against geopolitical risks and potentially act as a safe haven against such risks. To this end, we examine the impact of geopolitical risk for China, because China is the world leader in terms of the production of precious metals, on gold, silver, palladium, and platinum prices. In doing so, the monthly data from January 1990 to August 2022 is analyzed with time-varying quantile connectedness method. Our results show that especially during the higher tension periods such as the bombing of the Chinese Embassy in Yugoslavia in 1999, the 9/11 terrorist attacks, the trade war between the USA and China and Covid19 pandemic, high precious metals have received spillover from the geopolitical risk index.