Kurum Yazarı "Çevik, Emrah İsmail" WoS İndeksli Yayınlar Koleksiyonu İçin Listeleme
-
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 ... -
Does military expenditure impact environmental sustainability in developed Mediterranean countries?
Erdoğan, Serkan; Gedikli, Ayfer; Çevik, Emrah İsmail; Öncü, Mehmet Akif (Springer Science and Business Media Deutschland GmbH, 2022)This study aims to examine the relationship between military expenditure and environmental sustainability in developed Mediterranean countries: Greece, France, Italy, and Spain. Sustainable economic growth is strictly ... -
Dynamic relationship between international tourism, economic growth and environmental pollution in the OECD countries: evidence from panel VAR model
Gedikli, Ayfer; Erdoğan, Seyfettin; Çevik, Emrah İsmail; Çevik, Emre; Castanho, Rui Alexandre; Couto, Gualter (Routledge Journals, Taylor & Francis Ltd, 2022)The aim of this study is to examine the impact of international tourism on economic growth and carbon emissions by using the Panel VAR model in selected OECD countries. By using yearly data for the periods of 1995 and 2020, ... -
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, ... -
The Effects of the COVID-19 Pandemic on Conventional and Islamic Stock Markets in Turkey
Erdoğan, Seyfettin; Gedikli, Ayfer; Çevik, Emrah İsmail (Ilahiyat Bilimleri Arastirma Vakfi, 2020)In order to reveal the macroeconomic effects of the Covid-19 pandemic, financial markets should also be handled in addition to the real sector. Investigating the changes in the stock market may give clues to analyze the ... -
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 ... -
Estimating volatility clustering and variance risk premium effects on bank default indicators
Kenc, T.; Çevik, Emrah İsmail (Springer, 2021)Default risk increases substantially during financial stress times due to mainly the two reasons: volatility clustering and investors’ desire to protect themselves from such increases in volatility. It manifested in the ... -
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 ... -
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 digital finance on the natural resource market: Evidence from DeFi, oil, and gold
Çevik, Emrah İsmail; Günay, Samet; Zafar, Muhammad Wasif; Destek, Mehmet Akif; Buğan, Mehmet Fatih; Tuna, Fatih (Elsevier Sci Ltd, 2022)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 ... -
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 and Global Stock Markets: A Time-Varying Causality-In-Mean and Causality-in-Variance Analysis
Çevik, Emrah İsmail; Atukeren, Erdal; Korkmaz, Turhan (Mdpi, 2018)This study examines the Granger-causal relationships between oil price movements and global stock returns by using time-varying Granger-causality tests in mean and in variance. We use the daily returns from Morgan Stanley ... -
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 ... -
Para Politikası Tercihleri İle İşsizlik Oranları Arasındaki İlişki
Çevik, Emrah İsmail; Yıldırım, Durmuş Çağrı (Ege Univ, Fac Economics & Admin Sciences, 2018)The aim of this study is to examine the relation between CBRT's monetary policy preferences and unemployment rates for the periods of 1999-2014. We consider Taylor rule as a monetary policy rule and employ Markov ...