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    STOCK-BOND CO-MOVEMENTS AND FLIGHT-TO-QUALITY IN G7 COUNTRIES: A TIME-FREQUENCY ANALYSIS
    (Blackwell Publishing Ltd, 2018) Bayraci, Selcuk; Demiralay, Sercan; Gencer, Hatice Gaye
    This paper examines co-movement between stock returns and changes in 10-year government bond yields as well as flight-to-quality behaviour in G7 countries. We conduct the wavelet squared coherence analysis to explore the dynamics in both time and frequency domain. Our results provide evidence of positive co-movements, which vary over time and across investment horizon. The higher co-movement is found to be more concentrated in the lower frequency bands. We further analyse the dynamic nature of the scale-dependent wavelet correlations and find that the correlations are highly volatile and significantly increase across different time scales during the episodes of equity market turbulence. The increase in correlations reflects flights from stocks to safer bond investments as a result of dramatic changes in investor sentiment and risk aversion at times of market stress. © 2017 Board of Trustees of the Bulletin of Economic Research and John Wiley & Sons Ltd
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    Time-varying diversification benefits of commodity futures
    (PHYSICA-VERLAG GMBH & CO, PO BOX 10 52 80, 69042 HEIDELBERG, GERMANY, 2019) Demiralay, Sercan; Bayracı, Selçuk; Gencer, Hatice Gaye
    This paper analyzes the conditional diversification benefits (CDBs) of commodity futures. We utilize three distinct classes of empirical models in order to explore the additional value of commodities in stock portfolios. Firstly, the dynamic equicorrelation model is conducted which allows us to compute the average conditional correlations for a large number of assets. Secondly, we employ the dynamic conditional correlation (DCC) technique to examine pairwise correlations between commodity futures and equity markets. Thirdly, using the time-varying correlations derived from the DCC model, we quantify the diversification benefits through time within the context of CDB measure. By constructing six hypothetical portfolios, our results point out that the portfolio consisting of the commodity futures and the emerging stock markets exhibits the lowest equicorrelation level. The cross-sectional differences in the bivariate correlations show that the energy and metal futures have the highest level of co-movements with the equities. Our findings also reveal that the inclusion of commodity futures into the emerging and developed market portfolios increases the diversification benefits although these benefits deteriorate negligibly in the episodes of financial turmoil. The futures that offer the highest diversification benefits are lean hogs, feeder cattle, natural gas, orange juice, and gold. Our empirical results provide significant insights for portfolio managers and global investors to assess the gains from investments in commodity futures.