Dynamic Connectedness between Sector Indices: Evidence from Borsa Istanbul

Year 2021, , 512 - 534, 01.08.2021

Ramazan Ekinci , Ahmet Galip Gençyürek

https://doi.org/10.17153/oguiibf.879784

Cited By: 5

Abstract

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.

Keywords

BIST, Sector Indices, Return, Volatility, Spillover Index

Sektör Endeksleri Arasındaki Dinamik Bağlantılılık: Borsa İstanbul Örneği

Abstract

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.

Keywords

BİST, Sektör Endeksleri, Getiri, Volatilite, Yayılım Endeksi

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