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Dr. Baris Kocaarslan
Yalova University

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0 Commodity Markets
0 Finance
0 Econometric analysis and modelling
0 Energy & environmental economics
0 Quantitative decision-making analysis

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Journal article
Published: 25 April 2021 in Journal of Cleaner Production
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The growing potential of green bond markets helps mobilize financial resources to green projects that significantly contribute to the Sustainable Development Goals (SDGs). Recent research suggests a time-varying dynamic relationship between green bond, conventional bond, stock, and energy markets. But, there is scarce information concerning the determinants of the relations between these markets. To fill this important gap, the dynamic conditional correlations (DCCs) between green bond, conventional bond, stock, and energy markets are first derived to explore the characteristics of the DCCs. Consistent with recent studies, the results indicate the higher DCCs of green bond returns with conventional bond returns in comparison with the DCCs of green bonds with energy commodity and stock markets. Then, the role of the US dollar on the DCCs is examined by accounting for uncertainty in global markets, monetary conditions, financial stress, and business cycles and utilizing the autoregressive distributed lag (ARDL) approach. The main findings demonstrate the crucial role of the rising US dollar in enhancing the DCCs between green and conventional bond markets. Contrary to this finding, we observe that the rising US dollar reduces the level of the DCCs of the green bonds with energy commodity and stock markets. Our results emphasize that the US dollar appreciations increase the diversification capacity of green bond investments for market players in energy commodity and stock markets. The implications of our analysis are valuable for environmentally-friendly investments and optimal asset allocation strategies in the energy and financial markets.

ACS Style

Baris Kocaarslan. How does the reserve currency (US dollar) affect the diversification capacity of green bond investments? Journal of Cleaner Production 2021, 307, 127275 .

AMA Style

Baris Kocaarslan. How does the reserve currency (US dollar) affect the diversification capacity of green bond investments? Journal of Cleaner Production. 2021; 307 ():127275.

Chicago/Turabian Style

Baris Kocaarslan. 2021. "How does the reserve currency (US dollar) affect the diversification capacity of green bond investments?" Journal of Cleaner Production 307, no. : 127275.

Journal article
Published: 20 February 2021 in Sustainability
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In this study, we identify economic transmission channels through which changes in funding liquidity conditions in interbank markets asymmetrically affect volatilities of stock portfolios during the COVID-19 crisis. For the purpose of this study, the quantile regression approach is utilized. Controlling for macroeconomic factors, we document that volatilities of high-risk portfolios increase more in response to a deterioration in funding liquidity conditions compared to less risky portfolios. More importantly, this increase intensifies in high-volatility periods of high-risk portfolios, which implies the impact is stronger during uncertain economic environments, such as the one caused by the COVID-19 outbreak.

ACS Style

Baris Kocaarslan; Ugur Soytas. The Asymmetric Impact of Funding Liquidity Risk on the Volatility of Stock Portfolios during the COVID-19 Crisis. Sustainability 2021, 13, 2286 .

AMA Style

Baris Kocaarslan, Ugur Soytas. The Asymmetric Impact of Funding Liquidity Risk on the Volatility of Stock Portfolios during the COVID-19 Crisis. Sustainability. 2021; 13 (4):2286.

Chicago/Turabian Style

Baris Kocaarslan; Ugur Soytas. 2021. "The Asymmetric Impact of Funding Liquidity Risk on the Volatility of Stock Portfolios during the COVID-19 Crisis." Sustainability 13, no. 4: 2286.

Journal article
Published: 25 September 2020 in Business & Management Studies: An International Journal
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The significant effects of global economic policy uncertainties on world markets have been revealed in the related literature recently. The primary purpose of this study is to examine the volatility interaction (the causality in variance relationship) between uncertainty in US economic policies and BIST (Borsa Istanbul) major sector indices (financial, industrial, and technology indices). To satisfy this purpose, the causality in variance approach proposed by Hafner and Herwartz (2006) is utilized. The findings of the implemented volatility model show that the US economic policy uncertainty and BIST (Borsa Istanbul) major sector indices are strongly influenced by long-term volatility. According to the main findings of the causality invariance test, it is observed that there are significant and robust volatility transmissions from the US economic policy uncertainty to the BIST significant sector returns (financial, industrial, and technology sector returns). The test findings indicate that the BIST significant sector returns are quite sensitive to shocks in the US economic policy uncertainty. The results of the analysis present considerable implications for market participants in terms of developing effective economic policies and constructing optimal portfolios.

ACS Style

Barış Kocaarslan. VOLATILITY TRANSMISSION BETWEEN US ECONOMIC POLICY UNCERTAINTY AND BIST (BORSA ISTANBUL) MAJOR SECTOR INDICES. Business & Management Studies: An International Journal 2020, 8, 3221 -3238.

AMA Style

Barış Kocaarslan. VOLATILITY TRANSMISSION BETWEEN US ECONOMIC POLICY UNCERTAINTY AND BIST (BORSA ISTANBUL) MAJOR SECTOR INDICES. Business & Management Studies: An International Journal. 2020; 8 (3):3221-3238.

Chicago/Turabian Style

Barış Kocaarslan. 2020. "VOLATILITY TRANSMISSION BETWEEN US ECONOMIC POLICY UNCERTAINTY AND BIST (BORSA ISTANBUL) MAJOR SECTOR INDICES." Business & Management Studies: An International Journal 8, no. 3: 3221-3238.

Research article
Published: 26 July 2020 in International Journal of Finance & Economics
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The purpose of this paper is to examine non‐linear and cointegrating relationships between monetary policy uncertainty, investor sentiment, and stock market for the US economy, via controlling for potential macroeconomic risk factors. We mainly utilize non‐linear autoregressive distributed lag (NARDL) approach and findings support an existing cointegration between the aforementioned variables. Our results also suggest that there is a bidirectional and negative relationship between US stock market performance and monetary policy uncertainty in the short‐run. Furthermore, the effect of monetary policy uncertainty on investor sentiment is significantly negative and not strongly asymmetric in the long‐run. On the other hand, in the short‐run, increasing investor sensitivity to macroeconomic shocks strongly increases monetary policy uncertainty, while reducing sensitivity does not have a significant impact on the monetary policy uncertainty. Finally, we find a positive and bi‐directional relationship between stock prices and investor sentiment both in the short‐ and long‐run. In the long‐run, decreasing investor sensitivity to macroeconomic fluctuations (becoming more optimistic) has a greater positive influence on stock prices than a negative influence on stock prices, since investors are becoming more pessimistic. Implications from our analysis are important to policy makers and investors for determining effective economic policy decisions and proper investment strategies.

ACS Style

Ecenur Ugurlu‐Yildirim; Baris Kocaarslan; Beyza M. Ordu‐Akkaya. Monetary policy uncertainty, investor sentiment, and US stock market performance: New evidence from nonlinear cointegration analysis. International Journal of Finance & Economics 2020, 26, 1724 -1738.

AMA Style

Ecenur Ugurlu‐Yildirim, Baris Kocaarslan, Beyza M. Ordu‐Akkaya. Monetary policy uncertainty, investor sentiment, and US stock market performance: New evidence from nonlinear cointegration analysis. International Journal of Finance & Economics. 2020; 26 (2):1724-1738.

Chicago/Turabian Style

Ecenur Ugurlu‐Yildirim; Baris Kocaarslan; Beyza M. Ordu‐Akkaya. 2020. "Monetary policy uncertainty, investor sentiment, and US stock market performance: New evidence from nonlinear cointegration analysis." International Journal of Finance & Economics 26, no. 2: 1724-1738.

Journal article
Published: 25 March 2020 in Business & Management Studies: An International Journal
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Bu çalışmanın amacı Borsa İstanbul (BIST) Teknoloji endeksi ve diğer ana sektör endeksleri (BIST Sınai, BIST Hizmetler ve BIST Mali endeksleri) arasındaki varyansta nedensellik (volatilite geçişkenliği) ilişkisini test etmektir. Bu amaçla, Hafner ve Herwartz (2006) tarafından geliştirilen varyansta nedensellik yaklaşımı kullanılmıştır. Volatilite modeli sonuçları, uzun vadeli volatilitenin sektör endekslerinin tamamını büyük ölçüde etkilediğini göstermektedir. Varyansta nedensellik testi sonuçlarına göre, ana sektör endeksleri arasında önemli derecede volatilite yayılımları olduğu bulgusuna ulaşılmıştır. Analiz sonuçları, BIST Teknoloji endeksinden diğer endekslere doğru oldukça güçlü tek yönlü volatilite geçişkenliğini göstermektedir. Ayrıca, bulgular BIST Sınai endeksinden BIST Hizmetler ve BIST Mali endekslerine doğru volatilite yayılımının varlığını işaret etmektedir. Son olarak, BIST Hizmetler ve BIST Mali endeksleri arasında iki yönlü volatilite geçişkenliği olduğu gözlemlenmiştir. Test sonuçları optimum riskten korunma ve yatırım stratejileri belirleme açısından piyasa katılımcıları için önemli bilgiler içermektedir.

ACS Style

Barış Kocaarslan. BORSA İSTANBUL (BIST) TEKNOLOJİ ENDEKSİ VE DİĞER ANA SEKTÖR ENDEKSLERİ ARASINDAKİ VOLATİLİTE ETKİLEŞİMİ. Business & Management Studies: An International Journal 2020, 8, 458 -475.

AMA Style

Barış Kocaarslan. BORSA İSTANBUL (BIST) TEKNOLOJİ ENDEKSİ VE DİĞER ANA SEKTÖR ENDEKSLERİ ARASINDAKİ VOLATİLİTE ETKİLEŞİMİ. Business & Management Studies: An International Journal. 2020; 8 (1):458-475.

Chicago/Turabian Style

Barış Kocaarslan. 2020. "BORSA İSTANBUL (BIST) TEKNOLOJİ ENDEKSİ VE DİĞER ANA SEKTÖR ENDEKSLERİ ARASINDAKİ VOLATİLİTE ETKİLEŞİMİ." Business & Management Studies: An International Journal 8, no. 1: 458-475.

Journal article
Published: 02 January 2020 in Energy Economics
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In this study, we investigate the presence of asymmetric interactions between oil prices, oil price uncertainty, interest rates, and unemployment in a cointegration framework. Utilizing the nonlinear auto-regressive distributed lag (NARDL) approach, we show the asymmetric responses of unemployment to changes in oil prices, oil price uncertainty and interest rates in the long-run. More specifically, the results of our analyses suggest that an increase in oil price results in increased unemployment while there is no significant impact of reduced oil prices. On the one hand, reduced oil price uncertainty leads to a decrease in unemployment whereas an increase in oil price uncertainty does not have an impact. We also observe increased unemployment in response to a decrease in interest rates as the impact of increased interest rates is not significant. Last but not least, we find that option-implied oil price volatility, as a measure of oil price uncertainty, outperforms the conditional volatility of crude oil prices in predicting unemployment. This study provides valuable implications for policymakers to design sound economic policies.

ACS Style

Baris Kocaarslan; Mehmet Ali Soytas; Ugur Soytas. The asymmetric impact of oil prices, interest rates and oil price uncertainty on unemployment in the US. Energy Economics 2020, 86, 104625 .

AMA Style

Baris Kocaarslan, Mehmet Ali Soytas, Ugur Soytas. The asymmetric impact of oil prices, interest rates and oil price uncertainty on unemployment in the US. Energy Economics. 2020; 86 ():104625.

Chicago/Turabian Style

Baris Kocaarslan; Mehmet Ali Soytas; Ugur Soytas. 2020. "The asymmetric impact of oil prices, interest rates and oil price uncertainty on unemployment in the US." Energy Economics 86, no. : 104625.

Journal article
Published: 23 August 2019 in Energy Economics
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There is increased interest in the dynamic relationships between the stock prices of clean energy and technology firms and oil prices in the literature. Existing works suggest a time-dependent link between them, but there is a gap of knowledge regarding the drivers of this time-dependent relationship. To contribute to this literature, we first identify dynamic conditional correlations (DCCs) between the prices of clean energy and technology stocks and oil prices to investigate the nature of these dynamic correlations. Our findings suggest the existence of significant asymmetric effects in the DCCs. Using the autoregressive distributed lag (ARDL) model, we then investigate the impact of reserve currency (US dollar) value changes on the DCCs while also controlling for business cycles, monetary conditions, and financial stress. Our results highlight the dominant role of US dollar appreciations in driving the DCCs. This role intensifies when asymmetric impacts are taken into account. The implications of this study are important for clean energy investments and for optimal risk management strategies in the energy and financial markets.

ACS Style

Baris Kocaarslan; Ugur Soytas. Dynamic correlations between oil prices and the stock prices of clean energy and technology firms: The role of reserve currency (US dollar). Energy Economics 2019, 84, 104502 .

AMA Style

Baris Kocaarslan, Ugur Soytas. Dynamic correlations between oil prices and the stock prices of clean energy and technology firms: The role of reserve currency (US dollar). Energy Economics. 2019; 84 ():104502.

Chicago/Turabian Style

Baris Kocaarslan; Ugur Soytas. 2019. "Dynamic correlations between oil prices and the stock prices of clean energy and technology firms: The role of reserve currency (US dollar)." Energy Economics 84, no. : 104502.

Journal article
Published: 14 January 2019 in Energy Reports
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There is an ongoing debate on how oil prices affect the stock prices of clean energy companies. We contribute to this debate by questioning the possibility of asymmetric linkages between oil prices, interest rates, and the stock prices of clean energy and technology firms. Using a recently developed approach (nonlinear auto-regressive distributed lag (NARDL) model), we document that ignoring the presence of nonlinearities leads to misleading results. The analyses reveal significant asymmetric effects among the variables of interest. Our findings suggest that the impacts of positive and negative changes in the oil prices, interest rates and technology stock prices on clean energy stock prices substantially vary in the short-and long-run. More specifically, our results point out that the increased investments in clean energy stocks appear to be due to speculative attacks along with an increase in oil prices in the short-run. But, in the long-run, the increased oil price has a negative impact on clean energy stock prices and this impact is asymmetric. Last but not least, the results also emphasize the importance of business cycle fluctuations for the clean energy stock performance in the long-run. The implications of this paper are noteworthy for energy economists, policymakers, and investors in the energy and financial markets.

ACS Style

Baris Kocaarslan; Ugur Soytas. Asymmetric pass-through between oil prices and the stock prices of clean energy firms: New evidence from a nonlinear analysis. Energy Reports 2019, 5, 117 -125.

AMA Style

Baris Kocaarslan, Ugur Soytas. Asymmetric pass-through between oil prices and the stock prices of clean energy firms: New evidence from a nonlinear analysis. Energy Reports. 2019; 5 ():117-125.

Chicago/Turabian Style

Baris Kocaarslan; Ugur Soytas. 2019. "Asymmetric pass-through between oil prices and the stock prices of clean energy firms: New evidence from a nonlinear analysis." Energy Reports 5, no. : 117-125.