Browsing by Author "Cagli, Efe Caglar"

Now showing 1 - 7 of 7

Citation - WoS: 8
Citation - Scopus: 11
Do past ESG scores efficiently predict future ESG performance?
(ELSEVIER, 2025) Dilvin Taskin; Gorkem Sariyer; Ece Acar; Efe Caglar Cagli; Taskin, Dilvin; Sariyer, Gorkem; Acar, Ece; Cagli, Efe Caglar
Given the effects of Environmental Social and Governance (ESG) scores on financial performance and stock returns the prediction of future ESG scores is highly crucial. ESG scores are calculated using an enormous number of variables related to the sustainability practices of firms, thus it is impractical for investors to come up with predictions of ESG performance. This paper aims to fill this gap by using only the past score-based and rating-based ESG performance as the determinant of future ESG performance using four machine learning-based algorithms, decision tree (DT) random-forest (RF) k-nearest neighbor (KNN) and logistic regression (LR). The proposed model is validated in BIST sustainability index companies. The results suggest that past ESG grade-based and numerical scores can be used as a determinant of future ESG performance. The results prove that a simple indicator could serve to predict future ESG scores rather than complex data alternatives. Using data from BIST sustainability index companies in Turkey the findings demonstrate that past ESG grades and scores are reliable predictors of future ESG performance offering a simple yet effective alternative to complex data-driven methods. This study not only contributes to advancing sustainable finance practices but also provides practical tools for emerging markets like Turkey to align corporate strategies with global sustainability standards. The methodological contributions also have broader relevance for international financial markets.
Citation - WoS: 13
Citation - Scopus: 10
The impact of temperature anomalies on commodity futures
(TAYLOR & FRANCIS INC, 2021) Dilvin Taskin; Efe Caglar Cagli; Pinar Evrim Mandaci; Taskin, Dilvin; Mandaci, Pinar Evrim; Cagli, Efe Caglar; Evrim Mandaci, Pınar
Recent evidence points to global warming and climate change as the biggest issues of the century, thus the analysis of the weather-commodity futures prices relationship has crucial importance. This paper considers the relationship between weather anomalies proxied by the Global Historical Surface Temperature Anomalies (HadCRUT4) and futures prices of agricultural products energy commodities industrial and precious metals. Analyzing the monthly data between December 1982 and November 2020 the outcomes of the novel Granger causality test suggest unidirectional causality from the temperature anomalies to commodity futures prices. The findings imply that global temperature anomalies impact the expectations about the agricultural- and energy-related economic activities including the use of commercial and organic fertilizers and fossil fuel combustion respectively.
THE INFLUENCE OF FINANCIAL STRESS ON DYNAMIC CONNECTEDNESS BETWEEN FOSSIL ENERGY COMMODITIES AND GREEN ENERGY MARKETS
(Economic and Financial Research Assoc - EFAD, 2025) Pinar Evrim Mandaci; Birce Tedik Kocakaya; Efe Caglar Cagli; Dilvin Taskin; Taskin, Dilvin; Kocakaya, Birce Tedik; Mandaci, Pinar Evrim; Cagli, Efe Caglar
This paper aims to examine the impacts of selected stress variables such as FSI (Financial Stress Index) VIX (Volatility Index) and EPU (Economic Policy Uncertainty) on dynamic connectedness between green markets (stocks and bonds) and fossil energy commodities. We employ the TVP-VAR model to measure connectedness and the Fourier Cumulative Granger Causality test to investigate the impacts of these stress variables on this connectedness from November 1 2012 to November 15 2022. The results indicate moderate return connectedness mainly from short-term dynamics suggesting that diversification may be more beneficial for long-term investments. We observe high connectedness during the COVID-19 pandemic. The connectedness is high among fossil energy commodities but low among green stock and bond markets except for water company stocks. Water stocks have a significant impact on markets followed by oil. Our causality test results indicate that the FSI and VIX impact the connectedness between them.
Citation - WoS: 15
Citation - Scopus: 20
The role of uncertainties on sustainable stocks and green bonds
(EMERALD GROUP PUBLISHING LTD, 2023) Efe Caglar Cagli; Dilvin Taskin; Pinar Evrim Mandaci; Taskin, Dilvin; Cagli, Efe Caglar; Evrim Mandaci, Pinar
PurposeThis paper aims to investigate the relationship between sustainable investments and a series of uncertainties from January 2014 to December 2021 including many economic and political turbulences and the COVID-19 pandemic. Design/methodology/approachThe authors use Renyi's transfer entropy method a nonparametric flexible tool that considers both the center distribution and lower quantiles capturing extreme rare events that give additional insights to analysis. FindingsThe authors' results indicate significant bidirectional information transmissions between the crude oil volatility and sustainability indices. The authors report information flows between the cryptocurrency uncertainty and sustainability indices considering tail events. The results are essential for market participants making decisions during turbulent times. Originality/valueThis paper is carried out for a variety of uncertainty measures and environmental social and governance (ESG) portfolios of both developed and developing markets. It adds to literature in terms of methodology used. Renyi's transfer entropy methodology is first used to measure the relationship between uncertainties and ESG investments.
Citation - WoS: 31
Citation - Scopus: 33
The short- and long-run efficiency of energy- precious metals- and base metals markets: Evidence from the exponential smooth transition autoregressive models
(ELSEVIER, 2019) Efe Caglar Cagli; Dilvin Taskin; Pinar Evrim Mandaci; Taskin, Dilvin; Mandaci, Pinar Evrim; Cagli, Efe Caglar; Evrim Mandaci, Pınar
The aim of this paper is to investigate the long and short-run relationship between spot and futures prices of the energy precious metals and base metals markets. We analyze daily data from January 1985 to February 2019. The empirical findings based on the cointegration test which follows a nonlinear process suggest that the spot prices of energy and metals assets have long-run relationships with their futures prices. Nonparametric Granger causality test results also indicate bi-directional causality among futures and spot prices. These findings indicate that the energy and metals markets are informationally efficient in the sense of Fama (1970). (C) 2019 Elsevier B.V. All rights reserved.
Citation - WoS: 6
Citation - Scopus: 10
The Turkish Stock Market Integration with Oil Prices: Cointegration Analysis with Unknown Regime Shifts
(SAVEZ EKONOMISTA VOJVODINE, 2013) Umut Halac; Fatma Dilvin Taskin; Efe Caglar Cagli; Halac, Umut; Taskin, Fatma Dilvin; Cagli, Efe Caglar
Oil prices are often considered as a vital economic factor due to the dependence of the world economy on oil. The goal of this paper is to contribute to the literature on the dynamic relationship between oil prices and stock prices under the presence of possible structural breaks in an emerging market Turkey. The empirical evidence suggests that the oil prices are important in explaining the stock market movements. Stock prices oil prices and nominal exchange rates are found as cointegrated after taking structural breaks into account. Moreover results of parameter stability test are consistent with our findings indicating that relationship between series is strong in the long-run. The results are important in the way that they show the global factors are also dominant on the Turkish stock market.
Citation - WoS: 21
Citation - Scopus: 26
The volatility connectedness between agricultural commodity and agri businesses: Evidence from time-varying extended joint approach
(ACADEMIC PRESS INC ELSEVIER SCIENCE, 2023) Efe Caglar Cagli; Pinar Evrim Mandaci; Dilvin Taskin; Taskin, Dilvin; Mandaci, Pinar Evrim; Cagli, Efe Caglar
This paper investigates the volatility connectedness between ten major agribusiness common stock prices and various agricultural commodity prices between August 11 2005 and November 4 2022. We employ the time-varying parameter vector autoregressions (TVP-VAR) extended joint connectedness framework. The results show that agribusiness stocks are net volatility transmitters whereas agricultural commodities are net volatility receivers. The results provide significant implications for investors and policymakers concerned with commodity prices.