Journal Articles
Permanent URI for this collectionhttp://10.0.100.92:4000/handle/123456789/21
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Item Analyzing time-varying tail dependence between leveraged loan and debt markets in the U.S. economy(International Review of Finance, 2024-06) Tiwari, Aviral Kumar; Trabelsi, Nader; Abakah, Emmanuel Joel Aikins; Lee, Chi-ChuanThis study analyzes the time-varying dependence between U.S. leveraged loan and debt markets within a highly linked financial system using a quantile-based time-varying connectedness framework to determine the hedging benefits of leveraged loans for financial investors at various quantiles. Based on daily closing price data from November 28, 2008 to October 3, 2023, the evidence demonstrates considerable (moderate) spillovers across the leveraged loan and debt markets for severe (normal) occurrences, with additional results indicating symmetric interaction. In terms of risk spillover, we also affirm the dominance of short-term fixed-income instruments over leveraged loans and long-term bonds. These findings indicate that no hedging or diversification occurred among the investigated markets.Item Novel approaches to model decomposed oil shocks, geopolitical risk, clean and fossil fuel stocks(Borsa Istanbul Review, 2025-05) Dam, Mehmet Metin; Altıntaş, Halil; Tiwari, Aviral KumarThis study examines how oil supply, demand, and risk shocks, along with geopolitical risks, impact the performance of clean and fossil fuel stocks. Using daily data from March 2014 to January 2022, advanced methods like wavelet quantile correlation (WQC), cross-quantilogram (QC), and nonparametric causality-in-quantile (NPCQ) are applied. The results reveal significant volatility linkages between clean and fossil fuel stocks, with oil shocks and geopolitical risks influencing financial markets. Demand and risk shocks act as transmitters, while supply and geopolitical risks are receivers of spillovers. Clean energy stocks are net transmitters of spillovers, while fossil fuel stocks show mixed profiles. Fossil fuel stocks act as safe havens in the medium term, while clean energy stocks exhibit this in the long term. Geopolitical risks have little effect on clean energy stocks, indicating their resilience. The study highlights the importance of real-time monitoring for managing market fluctuations.Item The dynamic connectedness between oil price shocks and emerging market economies stock markets: Evidence from new approaches(Energy Economics, 2025-01) Tiwari, Aviral Kumar; Dam, Mehmet Metin; Altıntaş, Halil; Bekun, Festus VictorThis paper uses the dynamic connectedness framework to investigate the interrelationship between the decomposed oil supply, demand and risk shocks that Ready (2018) developed and the stock market returns of emerging market economies. For this purpose, we use daily data from 11 October 2001 to 5 April 2021. Novel empirical methodologies, including wavelet quantile correlation (WQC), cross-quantilogram analysis, nonparametric causality-in-quantile approaches, contemporaneous R2 connectedness approach and generalized R2 connectedness approaches, are employed. The results show that oil price fluctuations significantly impact the economic performance of emerging market economies, reflecting historical events. Demand price shocks are regarded as net transmitters within the system, whereas supply and risk price shocks are net receivers of spillovers. Concurrently, our findings indicate a considerable degree of dynamic connectedness among the stock markets of emerging market economies. In particular, the stock markets of Brazil, Mexico, and Argentina have been identified as net transmitters of spillovers. In contrast, the stock markets of Turkey, South Korea, Malaysia, Indonesia and India are classified as net receivers of spillovers. Furthermore, we examine and document the advantages of diversified portfolios that include all sector indices, including oil price shocks and emerging market economy stock markets, in terms of portfolio performance. The insights offered here are valuable for investors and policymakers striving to enhance their strategic approaches in today's interconnected global financial context. The results show that oil price fluctuations significantly impact the economic performance of emerging market economies and reflect historical events. Demand shocks affecting the stock market indices of Brazil, Argentina and Mexico tend to act as net spillover transmitters. In contrast, supply shocks affecting the stock market indices of Indonesia, South Korea, India, Turkey and Malaysia mainly act as net spillover receivers. Net pairwise interconnectedness analysis reveals that, except for crisis periods, interactions between financial markets or macroeconomic indicators are evenly distributed. Thus, systemic risk is lower, and markets act independently. Empirical findings obtained using WQC generally show the presence of negative correlations at long-time scales and low quantiles, which is considered an indicator of the safe-haven feature associated with the asset in question. The hedge feature is observed to be evident only at long time scales. The results of the cross-quantilogram analysis show mixed evidence of correlation in all stock indices, especially in the weekly lag structure, compared to daily and monthly lags. Finally, non-parametric Granger causality test results show that stock returns are insensitive to oil price fluctuations, making these markets attractive for investors seeking diversification strategies. These findings provide valuable recommendations for investors seeking sustainable equities in a volatile oil market.