Papers by Anıl Lögün
Zagreb International Review of Economics & Business,, 2024
This study investigates the relationship between developed country market indices and the infecti... more This study investigates the relationship between developed country market indices and the infectious disease stock market volatility index between March 11, 2020, and March 11, 2022. Thus, we seek an answer to the question of how global shocks will affect developed countries. In this context, indices such as S&P 500, CAC 40 and NIKKEI 225 are considered to represent developed country markets. The findings of the study indicate that the infectious disease stock market volatility index variable is significant, according to the GARCH model estimation for the CAC 40 index. In the EGARCH model estimation results for the NIKKEI 225 and S&P 500 indices, the infectious disease stock market volatility index variable is found to be significant. The results of this paper are important for policymaking by governments, investors, and the corporate sector in order to avoid future developments that could lead to financial shocks.
Romanian Journal of Economic Forecasting, 2023
This study examines the relationship between stock prices and exchange rates, specifically for de... more This study examines the relationship between stock prices and exchange rates, specifically for developing countries. The reason for this focus is that financial markets in developing countries provide important reactions to global shocks. The Covid-19 pandemic, declared by the World Health Organization on 11 March 2020, is the most recent negative shock affecting the economies of these countries. This study thus investigates the relationship between stock prices and exchange rates to identify the effects of the pandemic on financial markets using weekly data for the BRICS and ASEAN
Journal of Business, Innovation and Governance, 2022
This study investigates the relationship between economic growth (EG) and natural gas consumption... more This study investigates the relationship between economic growth (EG) and natural gas consumption (NGC) in Mexico, Indonesia, South Korea, Turkey and Australia (MIKTA) with panel data analysis. The study was conducted between 1986 and 2018 using panel cointegration tests, a common correlated effects mean group (CCEMG) estimator and panel causality tests. From the results of the study, it was concluded that there is a long-term relationship between NGC and EG. The CCEMG estimation results show that NGC on EG differs across countries. The panel causality results show bidirectional causality between EG and NGC for MIKTA countries. The results confirm the feedback hypothesis for MIKTA.
Optimum Ekonomi ve Yönetim Bilimleri Dergisi, 2023
This study aims to examine the relationship between stock market return volatility and trading vo... more This study aims to examine the relationship between stock market return volatility and trading volume. The countries of Mexico, Indonesia, Nigeria and Turkey are analyzed within the scope of the COVID-19 pandemic period, from March 11, 2020 to April 28, 2022. EGARCH(1,1) model estimations reveal asymmetrical effects on the returns by including contemporaneous and lagged trading volumes. While the model estimation results show that there is an asymmetric effect in return volatility for the Turkish and Indonesian stock markets, there does not appear to be an asymmetric effect on volatility for the Mexican and Nigerian stock markets. The results support the validity of the mixture of distribution hypothesis for Turkey and Indonesia, and provide useful findings for portfolio managers, researchers and investors.
International Journal of Contemporary Economics and Administrative Sciences, 2022
In this study, the effect of the trade wars between the USA and China on the countries' economies... more In this study, the effect of the trade wars between the USA and China on the countries' economies was investigated. The European Union, a global economic power, is also involved in the study. The relationship between countries' foreign trade, trade volumes, and world GDP has been examined with six different hypotheses. For this purpose, Granger and Toda-Yamamoto causality test and Johansen cointegration analysis were used. Evidence has been obtained that there is a causal relationship between the foreign trade of countries and the World GDP. Another finding is a long-term relationship between the foreign trade of countries and world GDP. As a result, it has been determined that trade wars negatively affect countries' welfare.
Foreign direct investment (FDI) is an important driver of countries' economic development. Factor... more Foreign direct investment (FDI) is an important driver of countries' economic development. Factors such as looser environmental regulations may cause dirty FDI to flow mainly to developing countries. This is explained by the Pollution Haven Hypothesis. The paper aims to investigate whether the Pollution Haven Hypothesis is valid in Turkey using the nonlinear autoregressive distributed lag (NARDL) approach for the period 1974-2017. The results show that FDI inflows and carbon emissions have asymmetric effects in both the short and long term for Turkey, supporting the Pollution Haven Hypothesis. Furthermore, there is a link between carbon emissions and trade openness, manufacturing and economic growth. Policymakers should develop the policies necessary to transfer clean technologies to Turkey by providing improvements and technical advances for a more efficient energy use.
Journal of Applied Economics and Business Research, 2021
The negative effects on the macroeconomic indicators of the countries during the pandemic process... more The negative effects on the macroeconomic indicators of the countries during the pandemic process that started with the Covid 19 epidemic made it necessary for individuals, investors, institutions, and governments to create a new policy. To determine the right policies, the effects of Covid 19 on the country's economy have been the subject of research by scientists. This study, it is aimed to investigate the effect of the pandemic on the stock market together with its sub-sectors. For this reason, in this study, the volatility of BIST100, known as the Turkish Stock Exchange, and its sub-indices, finance, service, and industry indices during the pandemic process were investigated. Working day data obtained from the Central Bank of the Republic of Turkey between 1/02/2020-10/11/2020 periods were used in the study. First, logarithmic transformation of the data was provided. Then, it was converted into a return series and included in the analysis.In order to obtain a consistent estimate, the series should not contain unit-roots. For this purpose, using the ADF unit root test, it was investigated whether the series contain unit root or not. According to the findings obtained from the study, it was determined that the most suitable variance model for BIST100 and Industrial indexes was the GARCH (1,1) model. It was found that the most suitable variance model in financial and services indices was the TARCH (1,1) model. In addition, while it is estimated that there is symmetrical volatility in BIST100 and Industrial indices, it is concluded that there are asymmetric and leverage effects in financial and services indices.
Journal of Academic Research , 2020
The aim of the study is the relationship between foreign direct investments, exports and economic... more The aim of the study is the relationship between foreign direct investments, exports and economic growth. The analysis of this study included E7 (Emerging 7) the so-called developing countries are Turkey, Mexico, China, India, Brazil, Russia and Indonesia in the analysis in this context. This study covered the period of 1992-2018. Pesaran (2007) panel unit root test was used for the analysis of the series stationary. Panel ARDL approach, which allows short and long term relationship, is used for series with different levels of stationary. According to the results of the error correction model established for all panel, any shock in the gross domestic product equation was adjusted by approximately 0.86 % within the first year. Error correction models were estimated for all units, and error correction terms for all units expect India were obtained as negative and statistically significant. As a result of the panel causality test, one-way causality findings were found between economic growth and exports. Additionally, there was a causality relationship with foreign direct investments and exports.
Social Sciences Studies Journal, 2018
Transport has an important role in the development of countries and the functioning of economic a... more Transport has an important role in the development of countries and the functioning of economic activities. Transportation is very important in the production and distribution of goods. In a growth-oriented economy, determining the relationship between transportation infrastructure and economic growth will be of great importance in the design and implementation of transport policies. The development of transportation infrastructure is thought to help economic growth.
In this study, the impact on economic growth logistics development in Turkey is examined. Economic growth rate(growth) as indicator of economic growth, road and rail lengths(road and rail), the sum of road and rail lengths(railroad) and gross fixed capital formation(gfcf) value are used. The data in the study are obtained from the OECD and TURKSTAT database. Annual data are used as the data range in the period of 1984-2016. In this context, the stationary of series to be used in this analysis is examined by unit root tests. As a result of analysis of unit root tests, growth variable is found to be stationary I(0) (level); road, rail, railroad and gfcf are found to be stationary in I(1) (first difference).
In study, ARDL bounds testing approach is used which allows to examine the cointegration relationship between variables which are stationary. The selection of the appropriate for ARDL model is important and the AIC(Akaike Information Criterion) has been used for this purpose. As a result of ARDL model estimation, it is concluded that there is cointegration between variables. Autocorrelation, heteroscedasticity, idendification error and normality assumptions are exmined. As a result of the tests performed, it is seen that there was no autocorrelation and heteroscedasticity problems in the model. In addition, the functional form of the model is defined correctly and the normality assumption has been obtained as a result of the tests. Error correction model is established to see whether there are short-term relationship between variables. The error correction coefficient in this model is found to be negative and statistically significant. In other words, those who have long-term equilibrium will reach their former balance after any shock.
Euroasia Journal of Social Sciences & Humanities, 2021
The integration of stock markets is an essential issue for international investors who aim to mak... more The integration of stock markets is an essential issue for international investors who aim to make short and long term investments. This paper examines Turkey and developed stock markets co-movements during the pandemic. International portfolio diversification advantages are investigated for Turkish investors who have a portfolio in developed markets. For this purpose, the long-term relationship between stock markets is analyzed using the Autoregressive Distributed Lag (ARDL) bound test. The study covers January 2019 and April 2021, and this period is divided into two separate periods, pre-pandemic and pandemic. The results of ARDL bounds tests have not found a cointegration relationship between stock markets in both the prepandemic period and the pandemic period. Granger causality test results show that NIKKEI 225 (Japan), DAX (Germany), FTSE 100 (United Kingdom) and CAC 40 (France) are the cause of BIST 100 (Turkey) in the pre-pandemic period. However, Granger causality test results show that there is no causality relationship during the pandemic period. Turkish stock market investors investing in developed stock markets will benefit from portfolio diversification in the long term.
The Journal of International Social Research, 2021
Çalışmanın amacı BRICS için borsa endeksleri ve döviz kuru oranları arasındaki ilişkiyi incelemek... more Çalışmanın amacı BRICS için borsa endeksleri ve döviz kuru oranları arasındaki ilişkiyi incelemektir. Bu kapsamda 2003:01-2019:03 dönemi analiz edilmiştir. Çalışmada farklı eşbütünleşme yaklaşımları ile uzun dönemli ilişkinin varlığı araştırılmışt ır. Bunun yanı sıra, kısa ve uzun dönemde ülkelerin borsa endeksleri ve döviz kuru oranları arasındaki ilişki incelenmiştir. Bu amaçla Enders ve Siklos (2001) yaklaşımı uygulanmıştır. TAR ve MTAR modelleri kullanılarak ülkelerin borsa endeksleri ile döviz kuru oranları arasında eşbütünleşme ilişkisinin varlığı araştırılmıştır. Sonuçlara göre ülkeler için bağımlı değişkenin borsa endeksi olduğu hata düzeltme modeli geçerlidir. Eşbütünleşme sonuçları BRICS ülkelerinin borsa endeksleri ve döviz kurları arasında uzun dönemli bir ilişki olduğunu göstermiştir. Kısa dönemde Güney Afrika ve Rusya için borsa endeksinden döviz kuru oranına doğru, Çin ve Hindistan için döviz kuru oranından borsa endeksine doğru nedensellik sonucu bulunmuştur. Brezilya için değişkenler arasında kısa dönemde nedensellik bulgusuna rastlanılmamış ancak uzun dönemde borsa endeksi ve döviz kuru oranları arasında farklı yönlerde nedensellik ilişkisi olduğu görülmüştür.
Conference Presentations by Anıl Lögün
CUKUROVA 11th INTERNATIONAL SCIENTIFIC RESEARCHES CONFERENCE, 2023
The relationship between public expenditures and tax revenues is important for the implementation... more The relationship between public expenditures and tax revenues is important for the implementation of effective fiscal policies. In particular, the relationship between the variables is important for eliminating budget deficits and provides guidance for policy makers. The relationship between public expenditures and tax revenues has been analyzed in many empirical studies and the direction of the relationship has been explained by different hypotheses. In light of these hypotheses, this study examines the relationship between tax revenues, public expenditures and economic growth for the Turkish economy between 2006:Q1 and 2022:Q2. For this purpose, data on indirect taxes, direct taxes and public expenditures are obtained from TUIK database. In addition, GDP data is also included in the study as a control variable. In addition, the GDP deflator obtained from the IMF database was used to realize the real conversion of the data used in the study. In order to obtain consistent results from the data used in the study, a unit root test was conducted. All of the data were found to be stationary in the first difference. Therefore, Johansen cointegration test and error correction model were used to investigate the cointegrated relationship between the data. In addition, Granger causality test was used to determine the causality between the data. According to the findings of the study, there is a relationship from public expenditures and GDP to indirect taxes. When the Granger causality test result is analyzed, a causality relationship was determined from public expenditures and GDP to both direct and indirect taxes.
4TH INTERNATIONAL ACHARAKA CONGRESS ON HUMANITIES AND SOCIAL SCIENCES, 2023
MSCI (Morgan Stanley Capital International) is a set of indexes established to measure the perfor... more MSCI (Morgan Stanley Capital International) is a set of indexes established to measure the performance of global capital markets. Today, it has become an important index used to examine and benchmark markets in global capital. MSCI indexes are followed by institutional investors and international investors, and they are evaluated and tracked in international portfolio investments. Within the scope of emerging markets, the relationship between the MSCI EM Frontier index and the stock exchange indexes of VISTA countries, Vietnam, Indonesia, South Africa, Turkey, and Argentina, has been examined. In this context, nonlinear unit root tests have been used for nonlinear series. Through a
stationary yet nonlinear causality analysis, a bidirectional causal relationship has been found between Indonesia and the MSCI EM Frontier index. It has been concluded that there is a unidirectional causal relationship between the Vietnam stock exchange index and the MSCI EM Frontier index. However, no causal relationship has been observed between the stock exchange indexes of South Africa, Turkey and Argentina, and the MSCI EM Frontier index.
EGE 10th INTERNATIONAL CONFERENCE ON SOCIAL SCIENCES, 2023
Energy is considered a crucial factor in the growth and development of countries. The dynamics of... more Energy is considered a crucial factor in the growth and development of countries. The dynamics of energy demand are susceptible to multifaceted influences stemming from financial advancements. Regarding this, there are differing views on the causality between financial
development and energy consumption, causality from energy consumption to financial development, bidirectional causality between financial development and energy consumption, as well as the absence of any relationship. This study undertakes an examination of the causality
nexus between financial development and energy consumption, focusing on the N – 11economies encompassing Bangladesh, Egypt, Indonesia, Iran, South Korea, Mexico, Nigeria, Pakistan, Philippines, Turkey, and Vietnam. The study period is determined to be from 1992 to 2021. Through the Breusch-Pagan LM, Pesaran scaled LM, and Pesaran CD cross-sectional independence tests, it is observed that the series are cross-sectionally dependent. The suitable panel unit root test, Pesaran (2007) unit root test, is conducted. The coefficients of the variables
are found to be heterogeneous. In the study, the causality relationship between financial development and energy consumption is examined using the Dumitrescu and Hurlin (2012) approach that takes into account the heterogeneous structure. As a result of this analysis, unidirectional causality from financial development to energy consumption is observed for Iran, South Korea, and Mexico. No evidence suggesting that energy consumption is the cause of financial development is encountered.
International World Energy Conference, 2021
Energy gained importance in industrial production as an input in the period known as the first in... more Energy gained importance in industrial production as an input in the period known as the first industrial revolution, which started in the 18th century and continued with mass production. Especially after the second world war, it has been the driving force for its economies with globalization. In the following periods, it was seen that the country's economies were affected by the supply shocks in energy (oil supply shock). Therefore, changes in energy prices affect the macroeconomic variables of countries, affecting the growth rates, especially the foreign trade figures of developing countries. In this respect, energy consumption is considered one of the important indicators of socio-economic development and growth. In terms of energy resources, some countries are advantageous, and some countries are disadvantaged. The reason for this is that energy resources do not show an equal distribution in the world. In this respect, energy consumption is important for sustainable development and economic growth, especially for countries with energy dependence.
IV. INTERNATIONAL CAUCASUS-CENTRAL ASIA FOREIGN TRADE AND LOGISTICS CONGRESS , 2018
Air transport is a means of integrating countries within the world economy. At the same time, it ... more Air transport is a means of integrating countries within the world economy. At the same time, it contributes to the tourism sector, and employment in this particular field as well. In this study, the relationship between air transport and economic growth is examined. The number of passengers and the amount of freight carried by countries are used as indicators of air transport; gross domestic product values are used as indicator of economic growth. The first 20 countries with the highest number of passengers in both international and domestic flights are included in the analysis. The US,
The integration of stock markets is an important issue for international investors making long-te... more The integration of stock markets is an important issue for international investors making long-term investments. In this context, the stock markets can be analyzed using various methods. This study examines the stock markets of MINT (Mexico, Indonesia, Nigeria, Turkey) countries which is emerging markets. For this purpose, the long-term relationship between the stock market indices of MINT countries has been analyzed. The study covers the period between January 2019 and April 2021 and this period is divided into two separate periods, pre-pandemic and pandemic period. There is no long-term relationship between the stock market indices of MINT countries in the pre-pandemic period. However, there is a long-term relationship between the stock market indices of MINT countries during the pandemic period.
THE RELATIONSHIP BETWEEN STOCK RETURNS AND TRADING VOLUME: LINEAR AND NONLINEAR CAUSALITY ANALYSIS, 2022
The relationship between stock prices and trading volume is one of the important issues in the fi... more The relationship between stock prices and trading volume is one of the important issues in the finance literature. Stock prices and trading volume are indicators of market performance. The relationship between stock prices and the trading volume for Mexico, Indonesia, South Korea and Turkey (MIST) is investigated with causality approaches in the study. Daily data for the period between 11.03.2020 – 11.03.2022 are used in the analysis. Linear and nonlinearity causality approaches are performed for stock indices of Mexico (S&P BMV IPC), Indonesia (JAKARTA), South Korea (KOSPI) and Turkey (BIST 100) in the study. The returns of the countries' stock indices and trading volumes are used. It is aimed to determine whether the trading volume leads to the stock returns or the stock returns to the trading volume. Linear Granger causality results show unidirectional causality from trading volume to stock returns for Indonesia and Turkey, while there is causality from stock returns to trading volume for South Korea. In the linear results, no causality is found between stock returns and the trading volume for Mexico. Nonlinear causality results show that there is bidirectional nonlinear causality between the variables of Indonesia's stock returns and trading volume. Bidirectional nonlinear causality is found between the variables at different lags for Turkey. According to the nonlinear causality results, there is a causal relationship between trading volume and Mexico's stock returns. The results for South Korea, on the other hand, support that there is unidirectional nonlinear causality from stock returns to trading volume in a lag.
Books by Anıl Lögün
Gazi Kitabevi, 2024
Bu kitabın Türkiye'deki her türlü yayın hakkı Gazi Kitabevi Tic. Ltd. Şti'ne aittir, tüm hakları ... more Bu kitabın Türkiye'deki her türlü yayın hakkı Gazi Kitabevi Tic. Ltd. Şti'ne aittir, tüm hakları saklıdır. Kitabın tamamı veya bir kısmı 5846 sayılı yasanın hükümlerine göre, kitabı yayınlayan firmanın ve yazarlarının önceden izni olmadan elektronik, mekanik, fotokopi ya da herhangi bir kayıt sistemiyle çoğaltılamaz, yayınlanamaz, depolanamaz.
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Papers by Anıl Lögün
In this study, the impact on economic growth logistics development in Turkey is examined. Economic growth rate(growth) as indicator of economic growth, road and rail lengths(road and rail), the sum of road and rail lengths(railroad) and gross fixed capital formation(gfcf) value are used. The data in the study are obtained from the OECD and TURKSTAT database. Annual data are used as the data range in the period of 1984-2016. In this context, the stationary of series to be used in this analysis is examined by unit root tests. As a result of analysis of unit root tests, growth variable is found to be stationary I(0) (level); road, rail, railroad and gfcf are found to be stationary in I(1) (first difference).
In study, ARDL bounds testing approach is used which allows to examine the cointegration relationship between variables which are stationary. The selection of the appropriate for ARDL model is important and the AIC(Akaike Information Criterion) has been used for this purpose. As a result of ARDL model estimation, it is concluded that there is cointegration between variables. Autocorrelation, heteroscedasticity, idendification error and normality assumptions are exmined. As a result of the tests performed, it is seen that there was no autocorrelation and heteroscedasticity problems in the model. In addition, the functional form of the model is defined correctly and the normality assumption has been obtained as a result of the tests. Error correction model is established to see whether there are short-term relationship between variables. The error correction coefficient in this model is found to be negative and statistically significant. In other words, those who have long-term equilibrium will reach their former balance after any shock.
Conference Presentations by Anıl Lögün
stationary yet nonlinear causality analysis, a bidirectional causal relationship has been found between Indonesia and the MSCI EM Frontier index. It has been concluded that there is a unidirectional causal relationship between the Vietnam stock exchange index and the MSCI EM Frontier index. However, no causal relationship has been observed between the stock exchange indexes of South Africa, Turkey and Argentina, and the MSCI EM Frontier index.
development and energy consumption, causality from energy consumption to financial development, bidirectional causality between financial development and energy consumption, as well as the absence of any relationship. This study undertakes an examination of the causality
nexus between financial development and energy consumption, focusing on the N – 11economies encompassing Bangladesh, Egypt, Indonesia, Iran, South Korea, Mexico, Nigeria, Pakistan, Philippines, Turkey, and Vietnam. The study period is determined to be from 1992 to 2021. Through the Breusch-Pagan LM, Pesaran scaled LM, and Pesaran CD cross-sectional independence tests, it is observed that the series are cross-sectionally dependent. The suitable panel unit root test, Pesaran (2007) unit root test, is conducted. The coefficients of the variables
are found to be heterogeneous. In the study, the causality relationship between financial development and energy consumption is examined using the Dumitrescu and Hurlin (2012) approach that takes into account the heterogeneous structure. As a result of this analysis, unidirectional causality from financial development to energy consumption is observed for Iran, South Korea, and Mexico. No evidence suggesting that energy consumption is the cause of financial development is encountered.
Books by Anıl Lögün