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Öğe The causal nexus between bank indices and geopolitical risk: bootstrap causality analysis under horizontal sector dependence(Springer India, 2023) Yildirim, Hakan; Sahin, Eyyup Ensari; Akdag, Saffet; Alola, Andrew AdewaleAs the global economy thrives and pushes for sustainable growth, there are also a plethora of non-economic challenges arising from the respective dimensions of insecurity and geopolitical tensions such as inter- and intra-country conflicts. Geopolitical risk mostly arises from security tensions, war, and terrorist incidents, which hamper peaceful inter-country and regional cooperation, thus endangering state institutions such as financial institutions. Given this observation, the current study examines the relationship between the geopolitical risk index and bank indices by employing the bootstrap panel causality approach over a monthly period from September 2003 to December 2018. In this case, the causality analysis of the geopolitical risk index and bank indices for six (6) countries (China, Indonesia, Israel, Philippines, Saudi Arabia, and Turkey) was performed. Importantly, the investigation found causality only from the geopolitical risk index to bank indices in Turkey and Israel. Given the statistical evidence from the study, we offer related policy recommendations, especially for the examined countries.Öğe Comparative benefits of environmental protection expenditures and environmental taxes in driving environmental quality of the European countries(Wiley, 2024) Akdag, Saffet; Yildirim, Hakan; Alola, Andrew AdewaleEnvironmental protection and tax policies are part of the crucial pillars and the evolving aspects of environmental sustainability drive. These policies are increasingly employed to counter the 21st century's global climate problem alongside providing economic relief for the implementing economies. Being on the frontier (i.e., the European Union [EU]) of these policies, the current study examines and compares the impacts of environmental protection expenditures and environmental tax on energy consumption on the ploy to mitigate greenhouse gas (GHG) emissions in the panel of EU member countries. With the use of system generalized method of moments and panel causality analyses, the study established the effectiveness of both environmental protection expenditure and environmental tax at improving environmental quality by respectively mitigating GHG emissions by elasticities of similar to 2.08 and similar to 0.18. Importantly, environmental protection expenditure is found to be about two times more effective at mitigating GHG emissions than environmental tax policy, thus providing a novel perspective in the literature. Moreover, energy intensity and Gross Domestic Product help to improve environmental quality by mitigating GHG emissions while population causes more pollutant effects. Additionally, the investigation reveals evidence of Granger causality from environmental protection expenditure to GHG emissions in seven of the EU countries and Granger causality from environmental tax to GHG emissions in 10 European countries. Notably, measurable dimensions of policy guidelines that are relevant for globally and/or nationally defined sustainable development goals are induced from the result of this investigation.Öğe Examining the Existence of Speculative Bubbles in Oil and Natural Gas Prices(CRC Press, 2024) Yildirim, Hakan; Eyüboğlu, Kemal; Akdağ, Saffet; Alola, Andrew AdewaleAlthough most energ-dependent countries have consistently aimed at implementing economic diversification policy, the approach is not as easy as it is always suggested. İn addition, the energy market has in recent time been significantly driven by the environmental sustainability and sustainable growth campaign of United Nations Development Programmes (UNDP) and other environmental-oriented intergovermental agencies such as the United Nations Framework Convention in Climate Change (UNFCCC) (United Nations 2020, UNFCCC 2020). While the global energy outlook by 2050 is attributed to the driving force of the global energy transition, the manner of energy utilization across the main sectors (primary energy consumption by end-use sectors) of the economy will play a significant role (British Petroleum 2021). In specific, the British Petroleum (2021) report noted that the industrial sector accounted for the largest sectoral (45%) of global energy utilization in 2018, while residential and commercial building, transportation, and the non-combusted use of fuels respectively accounted for 29%, 21%, and 5% of global energy use in the same year. © 2024 Andrew Adewale Alola, Festus Victor Bekun and Uju Violet Alola.Öğe Predicting volatility of bitcoin returns with ARCH, GARCH and EGARCH models(Springer, 2023) Yildirim, Hakan; Bekun, Festus VictorThe investment decisions of institutional and individual investors in financial markets are largely influenced by market uncertainty and volatility of the investment instruments. Thus, the prediction of the uncertainty and volatilities of the prices and returns of the investment instruments becomes imperative for successful investment. In this study we seek to identify the best fit model that can predict the volatility of return of Bitcoin, which is in high demand as an investment tool in recent times. Using the opening data of weekly Bitcoin prices for the period of 11.24.2013-03.22.2020, their logarithmic returns were calculated. The stationarity properties of the Bitcoin return series was tested by applying the ADF unit root test and the series were found to be stationary. After reaching the average equation model as ARMA (2.2), it was tested whether there was an ARCH effect in the ARMA (2,2) model. As a result of the applied ARCH-LM test, it is reached that the residuals of the average equation model selected have ARCH effect. Volatility of Bitcoin return series after detection of ARCH effect has been tried to predict with conditional variance models such as ARCH (1), ARCH (2), ARCH (3), GARCH (1,1), GARCH (1,2), GARCH (1,3), GARCH (2,1), GARCH (2,2), EGARCH (1,1) and EGARCH (1,2). While the obtained findings indicate that the best model is in the direction of GARCH (1,1) according to Akaike info criterion, it was found that GARCH (1,1) model does not have ARCH effect as a result of the applied ARCH-LM test. Thus, our empirical findings highlight an ample guide on appropriate modeling of price information in the Bitcoin market.Öğe The USA-China trade policy uncertainty and inference for the major global south indexes(Emerald Group Publishing Ltd, 2023) Akdag, Saffet; Yildirim, Hakan; Alola, Andrew AdewalePurpose The recent dynamics of trade policy, especially that is associated with the United States of America (USA) and China, has not only triggered policy adjustments in two economies, it has also implied an uncertainty spillover to other economies across the globe. Consequently, the current study attempts to examine the effect of uncertainties in the USA-China trade policies on stock market indexes. In addition, the cointegration evidence between the USA-China trade policy uncertainty index and of the leading Global South fragile quintet (Brazil, Indonesia, South Africa, India and Turkey) stock market indices is investigated. Design/methodology/approach Mainly, the FMOLS and DOLS Granger causality analysis with cointegration coefficient estimators were employed for the dataset over the monthly data period of March 2003 and July 2019. Findings Accordingly, the study found a long-term relationship between the USA-China Trade Policy Uncertainty index and the stock exchange indexes. In addition, a causal relationship was established from the change in the USA-China Trade Policy Uncertainty index to the change in the stock market indexes of almost all of the examined countries (Brazil, Indonesia, South Africa, India and Turkey). In addition, the nonlinear Autoregressive Distributed Lag approach further offers evidence of asymmetric relationship among the examined indicators. Originality/value Moreover, this study contributed to the existing literature because it employed the indexes of BIST100, BOVESPA, BSE Sensex 30, IDX Composite and South Africa 40 in a novel approach. Thus, the study posited a useful policy guideline for associated economic uncertainties arising from the trade dispute, such as the case of the world's two largest trading giants or partners (i.e. the USA and China).