Volatility Spillovers and Correlations between Oil Prices and Stock Sectors in Turkey: Implications on Portfolio Hedging and Diversification Opportunities

Year 2021, Volume: 29 Issue: 47, 79 - 106, 25.01.2021

Vasıf Abioğlu

https://doi.org/10.17233/sosyoekonomi.2021.01.04

Cited By: 3

Abstract

This study investigates volatility spillover effects as well as hedging and diversification opportunities between sectoral stock returns and world crude oil prices in Turkey using the weekly closing prices of the BIST 100 and twenty-three sectoral stock indices for the period 2002-2018. DCC modelling is employed to investigate volatility spillovers between sectoral stock returns and oil prices. Findings reveal significant volatility spillovers from the oil market to the BIST 100 and twelve stock sectors. Furthermore, optimal hedge ratios, optimal portfolio weights, hedging effectiveness, diversification effectiveness and risk-adjusted returns of oil-stock portfolios are computed and compared. The results indicate that diversification is a more effective strategy than hedging in terms of risk (variance) reductions and risk-adjusted returns in the Turkish stock market.

Keywords

Volatility Spillover, Conditional Correlations, Hedge Ratio, Hedging Effectiveness, Optimal Weight, Diversification Effectiveness

Project Number

2018-039

Türkiye’de Petrol Fiyatları ve Sanayi Sektörleri Arasında Volatilite Yayılımı ve Korelasyon: Riskten Korunma ve Portföy Çeşitlendirme Üzerine Etkileri

Abstract

Bu çalışmada, 2002-2018 dönemi için haftalık veriler kullanılmakla, dünya ham petrol fiyatları ile Türkiye’de BIST 100 ve 23 sanayi sektörü getiri oranları arasındaki volatilite yayılmaları, riskten korunma ve portföy çeşitlendirme stratejileri incelenmektedir. DCC modeli ile elde edilen volatilite yayılmaları tahmin sonuçlara göre, petrol fiyatlarından BIST 100 ve 12 sanayi sektörüne anlamlı volatilite geçişleri söz konusudur. Ayrıca, çalışmada petrol-sektör portföyü için optimal riskten korunma oranları, optimal portföy ağırlık oranları, riskten korunma etkinliği, portföy çeşitlendirme etkinliği ve risk-ayarlı getiri oranları hesaplanmaktadır. Tahmin sonuçlarına göre, risk (varyans) azalışı ve risk-ayarlı getiri oranları açısından portföy çeşitlendirme stratejisi riskten korunma stratejisine oranla daha etkin strateji olmaktadır.

Keywords

Volatilite Yayılımı, Koşullu Korelasyon, Riskten Korunma Oranı, Riskten Korunma Etkinliği, Optimal Portföy Ağırlığı, Çeşitlendirme Etkinliği

Supporting Institution

Aksaray Üniversitesi BAP Birimi

Project Number

2018-039

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