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Öğe A Sentiment Analysis of Twitter Content as a Predictor of Exchange Rate Movements(Rimini Centre Economic Analysis, 2014) Ozturk, Serda Selin; Ciftci, KursadRecently, social media, particularly microblogs, have become highly valuable information resources for many investors. Previous studies examined general stock market movements, whereas in this paper, USD/ TRY currency movements based on the change in the number of positive, negative and neutral tweets are analyzed. We investigate the relationship between Twitter content categorized as sentiments, such as Buy, Sell and Neutral, with USD/ TRY currency movements. The results suggest that there exists a relationship between the number of tweets and the change in USD/ TRY exchange rate.Öğe Climate uncertainty and carbon emissions prices: The relative roles of transition and physical climate risks?(Elsevier Science Sa, 2022) Ozturk, Serda Selin; Demirer, Riza; Gupta, RanganThis study examines the role of climate uncertainty on carbon emissions price dynamics using novel measures of uncertainty that capture transitional and physical climate risks. Applying a multivariate stochastic volatility model to daily European Union Allowance prices, we show that climate uncertainty indeed serves as a significant driver of price fluctuations in emissions prices with physical climate risks associated with uncertainty surrounding natural hazards playing a more dominant role over policy uncertainty in recent years. While our findings highlight the growing role of public concern over global warming and climate hazards than policy aspects as a driver of pricing dynamics in the emissions market, our findings present an interesting opening for hedging strategies towards attaining decarbonization goals in investment positions.Öğe Dynamic Connectedness between Bitcoin, Gold, and Crude Oil Volatilities and Returns(Mdpi, 2020) Ozturk, Serda SelinThis paper analyzes the connectedness among bitcoin, gold, and crude oil between 3 January 2017 and 31 December 2019. The paper's motivation is based upon the idea that bitcoin can be similar to gold in terms of its hedging properties and can be used for hedging for different assets. Moreover, although it is more metaphorical, bitcoin is also accepted because it is mined like crude oil, namely, a commodity. These similarities can be investigated by analyzing the connectedness among these financial assets. The connectedness results derived from both total connectedness and frequency connectedness methods indicate that volatility connectedness is higher than the return connectedness among these assets. Furthermore, connectedness in volatilities is mostly driven by medium frequency, although connectedness in returns mostly exists in high frequency. Therefore, these results suggest that investors should consider these financial assets for their diversification decisions. The results suggest that although diversification among these three assets is more difficult in the short- and medium-term, investors may benefit from diversification in the long-run.Öğe Intraindustry Volatility Spillovers in the MENA Region(Routledge Journals, Taylor & Francis Ltd, 2015) Ozturk, Serda Selin; Volkan, EnginThe 2007 global financial crisis had repercussions not only in mature capital markets but also in emerging markets, including that of the Middle East and North Africa (MENA) region. An accurate characterization of volatility spillover in the MENA region will have direct implications for financial hedging, portfolio management, and asset allocation, and, most important, in designing policies to mitigate the effects of possible contagion. In this article, we examine inter-MENA and from-the-world-to-MENA return volatility spillovers, at both the market and sectoral levels, for the period January 2008-December 2012.Öğe Public support for carbon taxation in Turkey: drivers and barriers(Taylor & Francis Ltd, 2020) Uyduranoglu, Ayse; Ozturk, Serda SelinThe Paris Agreement aims to limit the increase in the global mean temperature to well below 2 degrees C to avoid the severe impacts of climate change. To achieve this target, mitigation efforts in emerging economies through carbon pricing are critical, as they are cost effective and generate revenue. However, carbon pricing policies may not be politically feasible owing to low levels of public support. Therefore, investigation of the factors that affect public support for carbon pricing is crucial. Through a face-to-face survey of a representative sample of the Turkish population, we provide evidence for the drivers of, and barriers to, public support for one form of carbon pricing, that is, a potential carbon taxation. Our results suggest that there are numerous factors influencing support for carbon taxation. Among these, awareness of global warming, the perception of the effectiveness of carbon taxation, and carbon taxation adopted by other countries are the most important factors in terms of their marginal effect on support for the policy. If people have heard about global warming, they are more likely to support carbon taxation. The perception that carbon taxation is an effective policy to address climate change leads to increased public support. Moreover, the presence of carbon taxation in other countries positively influences support. However, an unanticipated result is that the use of carbon taxation revenues for mitigation and adaptation projects is not a statistically significant factor influencing public support. The reason for this may be the perception of the effectiveness of carbon taxation. Key policy insights The perception that carbon taxation is an effective policy for decreasing the use of energy and addressing climate change increases public support for the policy. Concerns about global air pollution and climate change make the public more supportive of carbon taxation. The implementation of carbon taxation by other countries leads to greater public support for such a policy. However, concerns related to competitiveness and the regressive nature of carbon taxation negatively affect support. In contrast with the literature, an interesting finding is that the use of taxation revenues for mitigation and adaptation projects has no statistically significant impact on support.Öğe Real Exchange Rates and the Balance of Trade: Does the J-curve Effect Really Hold?(Springer, 2019) Yazgan, M. Ege; Ozturk, Serda SelinIn this paper, we re-examine the relationship between trade flows, real effective exchange rates, and incomes by using the bilateral trade flows of 33 countries that form more than two-thirds of total world trade. For each country, we consider the bilateral trade flows of the country under consideration vis-a-vis all other countries. The analysis reveals the fact that for most of the countries, a real depreciation of the home currency has favorable effects on the home country's trade balance in the long run. This long-run effect manifests itself in the short run for a small number of countries, indicating the fact that satisfying the Marshall-Lerner condition in the short run is more difficult. However, there is no evidence for the J-curve phenomenon, which suggests an initial deterioration in the trade balance in the short run following a depreciation.Öğe Stochastic volatility and leverage: Application to a panel of S&P500 stocks(Academic Press Inc Elsevier Science, 2015) Ozturk, Serda Selin; Richard, Jean-FrancoisWe estimate stochastic volatility leverage models for a panel of stock returns for 24 S&P 500 firms from six industries. News are measured as differences between daily return and a monthly moving average of past returns. We estimate the models by maximum likelihood using an Efficient Importance Sampling method which produces numerically highly accurate estimates of the likelihood and related test-statistics. We find significant leverage effects for all 24 stocks. These effects are fairly consistent within each industry but there are significant differences across two groups of industries. Our models produce significant improvement in volatility predictability. (C) 2014 Elsevier Inc. All rights reserved.Öğe Testing for structural breaks with local smoothers: A simulation study(Elsevier Science Sa, 2014) Ozturk, Serda Selin; Stengos, ThanasisBy means of an extensive Monte Carlo simulation study based on the design of Chen and Hong (2012) we compare the performance of the tests they proposed for parameter stability with the linearity test of Li et al. (2002) and the functional form test of Li and Wang (1998). We find that the test of Li et al. (2002) test adapted to testing for parameter stability performs favorably well in terms of size and equally well in terms of power compared with the others, whereas the test by Li and Wang has no power. (C) 2014 Elsevier B.V. All rights reserved.Öğe The Effect of 2008 Crisis on the Volatility Spillovers among Six Major Markets(Wiley-Blackwell, 2016) Akca, Kuebra; Ozturk, Serda SelinThe scope of this paper is to determine whether global stock markets function differently under conditions of economic crisis by measuring volatility spillovers between six major markets, namely the US, the UK, Germany, Spain, Turkey, and Greece. We examine the volatility spillover effects of the 2008 US financial crisis to these six major markets using daily stock returns from January 2003 to December 2014, before, during, and after the 2008 financial crisis. We combine the Diebold and Yilmaz methodology with the stochastic volatility model of Taylor implemented through the sequential Efficient Importance Sampling method of Richard and Zhang to obtain variance decompositions derived from an estimated vector autoregressive model. The empirical findings suggest that stock markets tend to show increased volatility spillovers during the crisis period, thus resulting in lesser diversification benefits for investors.Öğe Time dynamics of connectedness between commodity convenience yields and zero-coupon inflation swap rates(Investment Analysts Soc Southern Africa, 2020) Aybar, Okan; Bilgin, Mehmet Huseyin; Ozturk, Serda SelinGlobalisation and financial liberalisation have made financial markets more correlated and connected. In this context, it has become extremely important to understand the connectedness and correlation among different financial markets and commodities. This paper attempts to extend applicable empirical studies by examining the connectedness between volatilities of commodity convenience yields and zero-coupon inflation swap rates. We conduct our study by using both the spillover index methodology provided by Diebold and Yilmaz (2009,2012) as well as Barunik and Krehlik's (2018) methodology to decompose the index to its frequencies for short-, medium and long-term dynamics. Although, empirical results based on Diebold and Yilmaz's (2012) methodology show that high total connectedness exists between the variables for the whole time period, our results based on Barunik and Krehlik's (2018) approach shows that this connectedness exists only in the long-term. The results also indicate that the connectedness dynamics change when the effect of cross-correlations is considered.Öğe Twitter & bitcoin: are the most influential accounts really influential?(Routledge Journals, Taylor & Francis Ltd, 2022) Ozturk, Serda Selin; Bilgic, M. EmreThere is a vast amount of information flow in social media about bitcoin, which may affect investors' decisions. This article investigates whether tweets may affect returns or trade volume changes of bitcoin and, more importantly, whether some Twitter accounts are more influential than other Twitter accounts. We conduct two separate analyses based first on all Twitter accounts and then on the most influential 50 Twitter accounts, which have been selected as such by Unitedtraders. We use the number of positive, negative and neutral tweets by Valence Aware Dictionary and Sentiment Reasoner (VADER) in a logistic model to analyse if tweets have any valuable information about the change in both return and trade volume of bitcoin. Our results indicate that tweets can be used to predict bitcoin returns. Notably, the most influential accounts are the drivers of returns, but all Twitter accounts simply introduce some noise in volatility. This result indicates that following only these 50 most influential accounts may provide the information needed for investors.
