Browsing by Subject "Stock"

Now showing 1 - 3 of 3

Open Access
Portfolio selection methods: an application to Istanbul Securities Exchange Market
(1991) Tuntaş, Mustafa Cem
In this study, frequently used Portfolio Theories are described and The Markowitz Mean Variance Model is used for the construction of the efficient frontier. In the construction of the efficient frontier daily price data from Istanbul Securities Exchange Market's First Market stocks during January 1 1990 - January 1 1991 period is used and the method is found useful for the ones who do not have insider information.
Embargo
Volatility connectedness between geopolitical risk and financial markets: insights from pandemic and military crisis periods
(Elsevier Ltd., 2024-11) Banerjee, Ameet Kumar; Şensoy, Ahmet; Goodell, John W.
Geopolitical risk notably affects cross-market linkages and risk spillovers. However, the void remains in the extant literature, providing little empirical evidence on the risk spillover influences of geopolitical crises on different segments of financial markets. Employing a time-varying VAR framework to model a risk spillover network, this paper examines the risk spillover across geopolitical risk, stocks, bonds, forex, gold, and energy markets from crisis and long-term perspectives. Results show that the bond market plays a significant role in the spillover network. Results also identify more risk spillover during military conflicts than during the COVID-19 pandemic. Geopolitical risk intensifies under geopolitical threats and conflicts, amplifying cross-market spillovers, with geopolitical risk acting as a risk transmitter. Gold is a risk receiver in both the long-term and crisis periods, with risk spillovers from geopolitical risk to market segments being asymmetric. These findings have significant implications for policymakers and market participants.
Embargo
Volatility spillovers and hedging strategies between impact investing and agricultural commodities
(Elsevier Ltd., 2024-07) Banerjee, Ameet Kumar; Akhtaruzzaman, Md; Şensoy, Ahmet; Goodell, John W.
We examine spillover and hedging among impact investing and agricultural commodities. Results demonstrate that impact investing is a prominent spillover transmitter during both calm conditions and crises, while agricultural commodities are typically receivers. Analysis indicates that hedging effectiveness is enhanced by portfolios containing impact investing and agricultural products, with this more so during crises. Additionally, analysis reveals that irrespective of position on the risk aversion spectrum, investors gain utility substantially by including impact investing and agricultural assets, even considering transaction costs. These findings add to the extant literature and offer practical implications for investors, fund managers, and policymakers regarding risk management perspectives and portfolio diversification.