Browsing by Author "Mandaci, Pinar Evrim"

Now showing 1 - 12 of 12

Citation - Scopus: 9
Adaptive market hypothesis
(International Strategic Management Association thalassi@unipi.gr, 2019) Pinar Evrim-Mandaci; Dilvin Taşkın; Zeliha Can Ergün; Ergün, Zeliha Can; Mandaci, Pinar Evrim; Taşkin, F. Dilvin
Purpose: To investigate the implications of the Addaptive Market Hypothesis (AMH) on Turkish stock exchange market (Borsa Istanbul) indices as an emerging economy. BIST-100 BIST-30 and BIST-All indices are subjected to the analyses for the period between January 2002 and April 2017. Design/Methodology/Approach: Two-year rolling windows and daily test values were calculated by using linear methods (Variance Ratio Test) and nonlinear methods (BDS test) to investigate the market efficiency. Findings: According to the Variance Ratio Test results index returns are unpredictable that is the market is efficient while the results of nonlinear analysis show the existence of adaptive market hypothesis. In particular all three indices display efficiency in the 2013-2016 period implying that returns were not predictable in this period. The results of the non-linear analysis show that the market is efficient from time to time and sometimes deviates from efficiency indicating the validity of the adaptive market hypothesis in Borsa Istanbul. Practical Implications: The changes in the market efficiency from time to time should be considered while taking important investment decisions. Moreover according to AMH since trends panics bubbles and crashes exist in the market arbitrage opportunities arise time to time and market timing is an important issue to catch the profit opportunities. Therefore as a further study matching the important events with the efficiency of the market could provide more insights about timing the market. Originality/Value: To the best of authors' knowledge this is the first comprehensive study that examines the index based AMH in Borsa Istanbul. This study is believed to contribute to the literature by giving insights about the evolution of market efficiency in Turkey. © 2020 Elsevier B.V. All rights reserved.
Citation - WoS: 15
Behaviour of emerging stock markets in the global financial meltdown: Evidence from bric-a
(ACADEMIC JOURNALS, 2009) Bora Aktan; Pinar Evrim Mandaci; Baris Serkan Kopurlu; Buelent Ersener; Kopurlu, Baris Serkan; Ersener, Buelent; Mandaci, Pinar Evrim; Aktan, Bora
This paper examines the emerging market indices of Brazil Russia India China and Argentina (BRICA) and investigates the linkages among the stock markets of the BRICA countries and their relations with the US market. We employ the vector auto regression (VAR) techniques to model the interdependencies and Granger causality test to find evidence of a short-run relationship between these markets. In addition we employ the Impulse Response test to evaluate the persistence of shocks by using daily data from 1(st) January 2002 to 18(th) February 2009. Our findings show that the US market has a significant effect on all BRICA countries in the same trading day. The most integrated markets to the BRICA countries are Russia and Brazil, the least integrated ones are China and Argentina. The Granger causality test supports our VAR calculations and shows that Russia influences all other countries and Brazil affects Argentina Russia and India. However China only affects Argentina and Russia. Impulse response test shows that all countries respond to an anticipated shock immediately and recover in nearly five or six days.
Citation - WoS: 85
Citation - Scopus: 91
Dynamic connectedness and portfolio strategies: Energy and metal markets
(ELSEVIER SCI LTD, 2020) Pinar Evrim Mandaci; Efe Caglar Cagli; Dilvin Taskin; Taşkın, Dilvin; Mandaci, Pinar Evrim; Evrim Mandacı, Pınar; Cagli, Efe Çaglar
In this paper we investigate the volatility spillover effect among the global commodity futures (including both energy and metal futures, global stock markets (covering both Developed and Emerging Markets), the US bond market and the US Dollar index by employing the dynamic connectedness approach of (Diebold and Yilmaz 2012 2014) based on the time-varying parameter vector autoregressive (TVP-VAR) model and using daily data for the period from January 3 1992 to December 27 2019. Our results indicate a moderate connectedness among the volatilities changing over time and approaching its peak level during 2007/08 global financial crises. In addition we determine the optimal hedge ratios and portfolio weights for the commodity investors and portfolio managers. Our results indicate that for the equity market volatility investors the highest hedging effectiveness can be reached by taking short positions in energy futures (such as natural gas) on the other hand for both the US bond and US Dollar volatility investors it can be reached by taking short positions in metal futures (such as gold).
Citation - WoS: 46
Citation - Scopus: 53
Environmental social and governance (ESG) investing and commodities: dynamic connectedness and risk management strategies
(EMERALD GROUP PUBLISHING LTD, 2023) Efe C. Caglar Cagli; Pinar Evrim Mandaci; Dilvin Taskin; Taskin, Dilvin; Mandaci, Pinar Evrim; Cagli, Efe C. Caglar
Purpose The purpose of this study is to examine the dynamic connectedness and volatility spillovers between commodities and corporations exhibiting the best environmental social and governance (ESG) practices. In addition the authors determine the optimal hedge ratios and portfolio weights for ESG and commodity investors and portfolio managers. Design/methodology/approach This study uses the novel frequency connectedness framework to point out volatility spillover between ESG indices covering the USA developed and emerging markets and commodity indices including energy (crude oil natural gas and heating oil) industrial metals (aluminum copper zinc nickel and lead) and precious metals (gold and silver) by using daily data between January 3 2011 and May 26 2021 covering significant socio-economic developments and the COVID-19 outbreak. Findings The results of this study suggest a total connectedness index at a mediocre level mainly driven by the shocks creating uncertainty in the short term. And the results indicate that all ESG indices are net volatility transmitters and all commodity indices other than crude oil and copper are net volatility receivers. Practical implications The results imply statistically significant hedging and portfolio diversification opportunities to investors and portfolio managers across the asset classes proven by the hedging effectiveness analyses. Social implications This study provides implications for policymakers focusing on the risk of contagion among the commodity and ESG markets during turbulent periods to ensure international financial stability. Originality/value This study contributes to the existing literature by differentiating ESG portfolios as the USA developed and developing markets and examining dynamic connectedness and volatility spillovers between ESG portfolios and commodities with a different technique. This study also contributes by considering COVID-19 outbreak.
FUND MANAGERS PERFORMANCE IN TURKEY: AN EMPIRICAL EVALUATION
(VILNIUS GEDIMINAS TECHNICAL UNIV PRESS TECHNIKA, 2010) Omar Masood; Bora Aktan; Pinar Evrim Mandaci; Edip Teker; Mandaci, Pinar Evrim; Aktan, Bora; Teker, Edip; Masood, Omar; R Ginevicius; AV Rutkauskas; R Pocs; J Stankeviciene
The aim of this study is to investigate whether some certain characteristics of fund managers help to explain their performance in the context of an emerging market Turkey. We test the statistical significance between two measures of fund manager performance (number of clients and portfolio size) and fund manager characteristics such as education job experience etc by using a survey methodology to obtain primary data and applying the ordered choice models. Both measures of performance are positively correlated with the number of training courses attended and the number of years of experience in a particular organization.
Citation - WoS: 11
Citation - Scopus: 10
Quantile-on-quantile connectedness of uncertainty with fossil and green energy markets
(Elsevier Ltd, 2025) Pinar Evrim-Mandaci; Efe Caglar Cagli; Dilvin Taşkın; Birce Tedik Kocakaya; Taskin, Dilvin; Kocakaya, Birce Tedik; Tedik Kocakaya, Birce; Mandaci, Pinar Evrim; Cagli, Efe C.; Evrim Mandaci, Pınar
This study explores links between uncertainty metrics and fossil and green energy sectors applying an innovative quantile-on-quantile connectedness method to analyze spillovers across quantiles from August 2004 to December 2023. Our sample comprises the clean and fossil energy market indices and key uncertainty measures including climate economic geopolitical and infectious diseases uncertainty indices. All total connectedness indices were found to peak at extremely reversely related quantiles except for climate policy uncertainty. The strongest connectedness is between high economic policy uncertainty and low clean energy returns. The economic policy uncertainty index was dynamically reversely related to energy markets in all quantiles. However after 2016 the connectedness between climate policy uncertainty and energy market indices converted to positive possibly due to the impact of the Paris Agreement. Compared to climate-related uncertainty geopolitical and economic uncertainties have a notably more substantial influence on energy markets particularly in the green energy sector. Other findings reveal that energy market performance significantly influences climate policy uncertainty and that infectious disease uncertainty is transmitted across various quantiles. Given the findings we propose policy implications for investors and policymakers emphasizing the critical need for considering different quantiles in measuring the dynamic connectedness between various uncertainties and energy markets. © 2025 Elsevier B.V. All rights reserved.
Citation - WoS: 22
Citation - Scopus: 27
The impact of geopolitical risks on connectedness among natural resource commodities: A quantile vector autoregressive approach
(Elsevier Ltd, 2023) Pinar Evrim-Mandaci; Asil Azimli; Nazif Mandaci; Mandaci, Nazif; Mandaci, Pinar Evrim; Azimli, Asil; Evrim Mandaci, Pınar
This study examines the impact of global geopolitical risk on connectedness among major natural resource commodities. We implemented a Quantile Vector Autoregressive connectedness estimation approach from 5 January 2010 to 3 March 2023 including many geopolitical turbulences such as the Russian-Ukrainian war. We found high connectedness under both extraordinarily high and low return conditions. The extreme return shocks in metals tended to spillover to energy commodities. The spillover index peaked during important economic political and financial developments. In addition geopolitical risk drives connectedness among natural resources commodities under average market conditions. Our results may help investors with portfolio optimization and risk management practices and guide policymakers toward attaining financial market stability. © 2023 Elsevier B.V. All rights reserved.
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 - Scopus: 8
The interactions between oil prices and Borsa Istanbul sector indices
(Inderscience Publishers, 2014) Efe Caglar Cagli; Dilvin Taşkın; Pinar Evrim-Mandaci; Mandaci, Pinar Evrim; Taşkin, Fatma Dilvin; Çaǧli, Efe Çaǧlar
This paper investigates the effects of the US crude oil prices (OIL) on some selected sub-sector indices of the Borsa Istanbul (BIST) including BIST-Chemical Petroleum Plastic (BIST-CHE) BIST-Textile-Leather (BIST-TEX) BIST-Metal Products Machinery (BIST-MET) BIST-Transportation (BIST-TRS) BIST-Electricity (BIST-ELC) BIST-Food Beverage (BIST-FOB) BIST-Wood-Paper- Printing (BIST-WPP) and BIST-Wholesale and Retail Trade (BIST-WRT). We employ the vector fractionally integrated autoregressive moving average (VARFIMA) model to examine the linkages between the OIL and the selected sub-sector indices by using daily data between 1997 and 2012 including the recent global financial crises. Our results indicate that while the stock price series of some sub-sector indices are non-stationary but mean-reverting those of some others are non-stationary and non-mean reverting. The changes in the oil prices have permanent effects on itself and on the levels of the selected subsector indices. The empirical results show that oil prices and the selected sub-sector indices are significantly interconnected. Copyright © 2014 Inderscience Enterprises Ltd. © 2020 Elsevier B.V. All rights reserved.
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: 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.