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Article
Publication date: 9 June 2023

Tezer Yelkenci, Birce Dobrucalı Yelkenci, Gülin Vardar and Berna Aydoğan

This study aims to empirically investigate the linkages between digital trails of social signals (content and profile features of bitcoin-related tweets) and bitcoin price return…

86

Abstract

Purpose

This study aims to empirically investigate the linkages between digital trails of social signals (content and profile features of bitcoin-related tweets) and bitcoin price return using a VAR-BEKK-GARCH model.

Design/methodology/approach

Bitcoin-related tweets were collected every hour for six months from September 1, 2020, to February 29, 2021. The analysis involved two steps: first, examining tweet content, profiles, sentiment and emotions; and second, investigating the relationship between social signal volatility and hourly bitcoin price return.

Findings

Results indicate that bitcoin price changes can impact the sentiment expressed in tweets about bitcoin, and vice versa. While sadness exhibits a bidirectional volatility spillover with bitcoin, fear and anger display a one-period lag. Quartile analyses reveal that only fear in the second quartile shows a bidirectional spillover effect with bitcoin, while all other emotions except sadness demonstrate a unidirectional spillover effect in all remaining quartiles.

Originality/value

The study uses a novel two-step approach to analyze volatility spillovers between social signals and bitcoin price returns. Findings can guide investors and portfolio managers in making better allocation decisions and assist policymakers and regulators in reducing the adverse effects of bitcoin’s volatility on financial system stability.

Details

Studies in Economics and Finance, vol. 41 no. 1
Type: Research Article
ISSN: 1086-7376

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Article
Publication date: 10 July 2019

Gulin Vardar and Berna Aydogan

With a substantial return and volatility characteristic of Bitcoin, which may be seen as a new category of investment assets, better understanding of the nature of return and…

1764

Abstract

Purpose

With a substantial return and volatility characteristic of Bitcoin, which may be seen as a new category of investment assets, better understanding of the nature of return and volatility spillover can help investors and regulators in achieving the potential goal from portfolio diversification. The paper aims to discuss these issues.

Design/methodology/approach

This paper explores the return and volatility transmission between the Bitcoin, as the largest cryptocurrency, and other traditional asset classes, namely stock, bond and currencies from the standpoint of Turkey over the period July, 2010–June, 2018 using the newly developed multivariate econometric technique, VAR–GARCH, in mean framework with the BEKK representation.

Findings

The empirical results reveal the existence of the positive unilateral return spillovers from the bond market to Bitcoin market. Regarding the results of shock and volatility spillovers, there exists strong evidence of bidirectional cross-market shock and volatility spillover effects between Bitcoin and all other financial asset classes, except US Dollar exchange rate.

Originality/value

The important extention is the adoption of a newly developed multivariate econometric technique, VAR–GARCH, in mean framework with the BEKK representation, proposed by Engle and Kroner (1995), which is employed for the first time specifically to examine the extent of integration in terms of volatility and return between Bitcoin and key asset classes. Second, Bitcoin has experienced a rapid growth since around a decade and a number of investors are showing interest in its potential as an integrative part of portfolio diversification. The information provided by empirical results gives empirical bases from which to address topics concerning hedging purposes and optimal portfolio allocation. It is also increasingly important to analyze the current behavior of Bitcoin in relation to other assets to provide policy makers and regulatory bodies with guidance on the role of the Bitcoin as an investment asset in Turkey. Thus, this is the first serious attempt at exploring the potential for Bitcoin to offer diversification opportunities in the context of Turkey.

Details

EuroMed Journal of Business, vol. 14 no. 3
Type: Research Article
ISSN: 1450-2194

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Article
Publication date: 28 November 2023

Gülin Vardar, Berna Aydoğan and Beyza Gürel

Considering the evolving importance of green finance, this study uses climate-related development mitigation finance as a proxy of green finance and investigates the impact of…

352

Abstract

Purpose

Considering the evolving importance of green finance, this study uses climate-related development mitigation finance as a proxy of green finance and investigates the impact of green finance on ecological footprint as an indicator of environmental quality along with the influence of economic growth, renewable energy, greenhouse gas emissions, trade openness and urbanization across 47 developing countries over the period 2000–2018.

Design/methodology/approach

After finding the presence of cross-sectional dependency among variables, the second-generation panel unit root test was employed to detect the order of integration among the variables. Since all the variables were found to be stationary, Westerlund cointegration technique was employed to detect the long-run relationship among the variables. Then, the long-run elasticity among the dependent and independent variables was tested using fully modified ordinary least squares (FMOLS), dynamic ordinary least squares (DOLS) and pooled mean group–autoregressive distributed lag (PMG–ARDL) approaches.

Findings

The empirical findings suggest the presence of long-run relationship among all the variables, namely, ecological footprint, green finance, economic growth, renewable energy consumption, greenhouse gas emissions, trade openness and urbanization for the selected developing countries in the sample. Furthermore, economic growth, greenhouse gas emissions, trade openness and urbanization, all have a positive and significant impact on the ecological footprint, whereas renewable energy consumption and green finance have a significant and negative impact on the ecological footprint, which supports the view that environmental quality is improved with the greater use of renewable energy technologies and allocation of greater amounts of more green finance.

Originality/value

The empirical results of this study offer policymakers and regulators some implications for environmental policy for protecting the countries from ecological issues.

Details

Journal of Economic and Administrative Sciences, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 2054-6238

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Article
Publication date: 11 January 2022

Berna Aydoğan, Gülin Vardar and Caner Taçoğlu

The existence of long memory and persistent volatility characteristics of cryptocurrencies justifies the investigation of return and volatility/shock spillovers between…

575

Abstract

Purpose

The existence of long memory and persistent volatility characteristics of cryptocurrencies justifies the investigation of return and volatility/shock spillovers between traditional financial market asset classes and cryptocurrencies. The purpose of this paper is to investigate the dynamic relationship between the cryptocurrencies, namely Bitcoin and Ethereum, and stock market indices of G7 and E7 countries to analyze the return and volatility spillover patterns among these markets by means of multivariate (MGARCH) approach.

Design/methodology/approach

Applying the newly developed VAR-GARCH-in mean framework with the BEKK representation, the empirical results reveal that there exists an evidence of mean and volatility spillover effects among Bitcoin and Ethereum as the proxies for the cryptocurrencies, and stock markets reviewed.

Findings

Interestingly, the direction of the return and volatility spillover effects is unidirectional in most E7 countries, but bidirectional relationship was found in most G7 countries. This can be explained as the presence of a strong return and volatility interaction among G7 stock markets and crypto market.

Originality/value

Overall, the results of this study are of particular interest for portfolio management since it provides insights for financial market participants to make better portfolio allocation decisions. It is also increasingly important to understand the volatility transmission mechanism across these markets to provide policymakers and regulatory bodies with guidance to eliminate the negative impact of cryptocurrency's volatility on the stability of financial markets.

Details

Journal of Economic and Administrative Sciences, vol. 40 no. 2
Type: Research Article
ISSN: 1026-4116

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Article
Publication date: 22 December 2020

Berna Aydoğan and Gülin Vardar

This study investigates possible shock transmission and volatility spillover effects among the exchange rate changes and international portfolio flows for United States vis-à-vis…

322

Abstract

Purpose

This study investigates possible shock transmission and volatility spillover effects among the exchange rate changes and international portfolio flows for United States vis-à-vis two fast-growing emerging country groups: the BRICS (Brazil, Russia, India, China and South Africa) and MINT (Mexico, Indonesia, Nigeria and Turkey).

Design/methodology/approach

Applying VAR-BEKK-GARCH model, the evidence indicates that exchange rate fluctuations have a negative impact on net equity flows in Brazil, Russia, India and Turkey; thus, supporting the view that exchange rate uncertainty is an important driver of equity home bias.

Findings

As for the comparison of the pre- and post-crisis period, the findings support the evidence that the post-crisis period witnessed a greater number of cases of significant shock and volatility spillovers among exchange rate uncertainty and portfolio flows.

Originality/value

Overall, the empirical results provide fresh insights and policy implications for domestic and international investors through investment activities, and for policymakers through maintaining economic and financial stability.

Details

Journal of Economic and Administrative Sciences, vol. 37 no. 4
Type: Research Article
ISSN: 2054-6238

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Article
Publication date: 1 July 2014

Cengiz Erol, Hasan F. Baklaci, Berna Aydoğan and Gökçe Tunç

The purpose of this paper is to attempt to compare the performance of Islamic banks against conventional banks in Turkey. This comparison is much more distinctive and significant…

4386

Abstract

Purpose

The purpose of this paper is to attempt to compare the performance of Islamic banks against conventional banks in Turkey. This comparison is much more distinctive and significant in Turkey when compared to other countries, as Turkey stands as a model for the world in interest-free banking system.

Design/methodology/approach

The comparative performance analysis was conducted by means of logistic regression method during the period of 2001-2009. The CAMELS approach is utilized to assess the managerial and financial performance of banks.

Findings

The results signify that Islamic banks operating in Turkey perform better in profitability and asset management ratios compared to conventional banks but lag in sensitivity to market risk criterion. These findings might mainly be ascribed to the fact that these banks allow lower provisional losses compared to conventional banks and have some tax advantages.

Research limitations/implications

Utilizing a more recent and consistent data set, the analyses could be replicated to determine if the results are subject to any sample bias.

Practical implications

These finding reveal significant implications for potential entrants into Turkish banking sector particularly for foreign investors.

Social implications

The findings from this study may reinforce the awareness and confidence in participating banks in Turkey.

Originality/value

Turkey is particularly interesting to conduct this analysis because Turkey is a Muslim but secular country and both Islamic and conventional banks are subject to same set of banking regulations which are based on Western traditional banking system. Furthermore, to the knowledge, there is not a comprehensive study that compares the performance of conventional and Islamic banks in a Western banking system.

Details

EuroMed Journal of Business, vol. 9 no. 2
Type: Research Article
ISSN: 1450-2194

Keywords

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