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Article Citation - WoS: 1Hedging Effectiveness of Gold: an Analysis for the Banking Sector With Different Dynamic Portfolio Approaches(Economic and Financial Research Assoc - Efad, 2022) Ozdemir, HuseyinIn this study, we construct portfolios including gold and six major stock exchanges (& Idot;sbank, Garanti Bank, Akbank, Yap & imath; Kredi Bank, Halkbank, Aand Vak & imath;fbank) by using three different dynamic portfolio approaches (i.e., minimum variance, minimum correlation, and minimum connectedness approaches). The aim of the study is to investigate whether gold can be used as a hedge against six major banks operating in Turkey. Further, this study also aims to measure the hedging effectiveness of gold. We adopt a fully time- varying parameter vector auto-regression (TVP-VAR) econometric framework, applied to daily data spanning June 2018 to November 2022. Empirical results show that the optimal ratio of gold in bank stocks varies between 39% and 53%, depending on time and portfolio construction approach. It is observed that the volatility of bank stocks in the portfolios has decreased by approximately 75%. According to the MCP and MCoP approaches, the highest return was obtained from the portfolio constructed with the MVP approach. In addition, the empirical findings show that gold can be used as a hedging instrument against banking stocks in bear market conditions.Article Citation - WoS: 11Citation - Scopus: 10On the Risk Spillover From Bitcoin To Altcoins: the Fear of Missing Out and Pump-And Scheme Effects(Mdpi, 2023) Balcilar, Mehmet; Ozdemir, HuseyinThis article examines the asymmetric volatility spillover effects between Bitcoin and alternative coin markets at the disaggregate level. We apply a frequency connectedness approach to the daily data of 11 major cryptocurrencies for the period from 1 September 2017 to 2 March 2022. We try to uncover the existence of the "fear of missing out" psychological effect and "pump-and-dump schemes" in the crypto markets. To do that, we estimate the volatility spillovers from Bitcoin to altcoin and the cryptos' own risk spillovers during bull and bear markets. The spillover results from Bitcoin to altcoin provide mixed results regarding the presence of this theory for major cryptocurrencies. However, the empirical findings carried out by the cryptos' own spillover effects fully confirm the existence of a fear-of-missing-out effect and pump-and-dump schemes in all cryptocurrencies except for USDT.
