TY  - JOUR
T1  - Dynamic Connectedness between Sector Indices: Evidence from Borsa Istanbul
TT  - Sektör Endeksleri Arasındaki Dinamik Bağlantılılık: Borsa İstanbul Örneği
AU  - Gençyürek, Ahmet Galip
AU  - Ekinci, Ramazan
PY  - 2021
DA  - August
DO  - 10.17153/oguiibf.879784
JF  - Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi
PB  - Eskişehir Osmangazi University
WT  - DergiPark
SN  - 1306-6730
SP  - 512
EP  - 534
VL  - 16
IS  - 2
LA  - en
AB  - The aim of the study is to analyze the shock and volatility spillover between BIST Finance, Industry, Technology, Tourism, Transportation, Food, and Retail-Trade sectors. In this direction, daily data obtained between January 5, 2010, and December 4, 2020, were analyzed using a new method named TVP-VAR Diebold Yılmaz Spillover Index developed by Antonakakis et al. (2019). Our results indicate that the industrial and financial sectors are in the leading position in terms of the shock and volatility spillover, while other sectors generally are in the lagging position.
KW  - BIST
KW  - Sector Indices
KW  - Return
KW  - Volatility
KW  - Spillover Index
N2  - Çalışmanın amacı BİST Finans, Sanayi, Teknoloji, Turizm, Ulaştırma, Gıda ve Perakende -Ticaret sektörleri arasındaki şok ve volatilite yayılımını analiz etmektir. Bu doğrultuda 5 Ocak 2010 ile 4 Aralık 2020 tarihleri arasındaki günlük veriler Antonakakis vd. (2019) tarafından geliştirilen TVP- VAR Diebold Yılmaz Yayılım Endeksi yöntemiyle analiz edilmiştir. Yapılan analizler sonucunda sanayi ve finans sektörünün şok ve volatilite yayılımında öncül; diğer sektörlerin ise, genellikle ardıl konumda oldukları tespit edilmiştir.
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UR  - https://doi.org/10.17153/oguiibf.879784
L1  - https://dergipark.org.tr/en/download/article-file/1575584
ER  -