Year 2021, Volume 29 , Issue 47, Pages 79 - 106 2021-01-25

Türkiye’de Petrol Fiyatları ve Sanayi Sektörleri Arasında Volatilite Yayılımı ve Korelasyon: Riskten Korunma ve Portföy Çeşitlendirme Üzerine Etkileri
Volatility Spillovers and Correlations between Oil Prices and Stock Sectors in Turkey: Implications on Portfolio Hedging and Diversification Opportunities

Vasıf ABİOĞLU [1]


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.
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.
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Primary Language en
Subjects Social
Journal Section Articles
Authors

Orcid: 0000-0002-8217-0702
Author: Vasıf ABİOĞLU (Primary Author)
Institution: AKSARAY UNIVERSITY, FACULTY OF ECONOMICS AND ADMINISTRATIVE SCIENCES, DEPARTMENT OF ECONOMICS
Country: Turkey


Supporting Institution Aksaray Üniversitesi BAP Birimi
Project Number 2018-039
Dates

Publication Date : January 25, 2021

Bibtex @research article { sosyoekonomi745175, journal = {Sosyoekonomi}, issn = {1305-5577}, address = {}, publisher = {Sosyoekonomi Society}, year = {2021}, volume = {29}, pages = {79 - 106}, doi = {10.17233/sosyoekonomi.2021.01.04}, title = {Volatility Spillovers and Correlations between Oil Prices and Stock Sectors in Turkey: Implications on Portfolio Hedging and Diversification Opportunities}, key = {cite}, author = {Abioğlu, Vasıf} }
APA Abioğlu, V . (2021). Volatility Spillovers and Correlations between Oil Prices and Stock Sectors in Turkey: Implications on Portfolio Hedging and Diversification Opportunities . Sosyoekonomi , 29 (47) , 79-106 . DOI: 10.17233/sosyoekonomi.2021.01.04
MLA Abioğlu, V . "Volatility Spillovers and Correlations between Oil Prices and Stock Sectors in Turkey: Implications on Portfolio Hedging and Diversification Opportunities" . Sosyoekonomi 29 (2021 ): 79-106 <https://dergipark.org.tr/en/pub/sosyoekonomi/issue/59997/745175>
Chicago Abioğlu, V . "Volatility Spillovers and Correlations between Oil Prices and Stock Sectors in Turkey: Implications on Portfolio Hedging and Diversification Opportunities". Sosyoekonomi 29 (2021 ): 79-106
RIS TY - JOUR T1 - Volatility Spillovers and Correlations between Oil Prices and Stock Sectors in Turkey: Implications on Portfolio Hedging and Diversification Opportunities AU - Vasıf Abioğlu Y1 - 2021 PY - 2021 N1 - doi: 10.17233/sosyoekonomi.2021.01.04 DO - 10.17233/sosyoekonomi.2021.01.04 T2 - Sosyoekonomi JF - Journal JO - JOR SP - 79 EP - 106 VL - 29 IS - 47 SN - 1305-5577- M3 - doi: 10.17233/sosyoekonomi.2021.01.04 UR - https://doi.org/10.17233/sosyoekonomi.2021.01.04 Y2 - 2020 ER -
EndNote %0 Sosyoekonomi Volatility Spillovers and Correlations between Oil Prices and Stock Sectors in Turkey: Implications on Portfolio Hedging and Diversification Opportunities %A Vasıf Abioğlu %T Volatility Spillovers and Correlations between Oil Prices and Stock Sectors in Turkey: Implications on Portfolio Hedging and Diversification Opportunities %D 2021 %J Sosyoekonomi %P 1305-5577- %V 29 %N 47 %R doi: 10.17233/sosyoekonomi.2021.01.04 %U 10.17233/sosyoekonomi.2021.01.04
ISNAD Abioğlu, Vasıf . "Volatility Spillovers and Correlations between Oil Prices and Stock Sectors in Turkey: Implications on Portfolio Hedging and Diversification Opportunities". Sosyoekonomi 29 / 47 (January 2021): 79-106 . https://doi.org/10.17233/sosyoekonomi.2021.01.04
AMA Abioğlu V . Volatility Spillovers and Correlations between Oil Prices and Stock Sectors in Turkey: Implications on Portfolio Hedging and Diversification Opportunities. Sosyoekonomi. 2021; 29(47): 79-106.
Vancouver Abioğlu V . Volatility Spillovers and Correlations between Oil Prices and Stock Sectors in Turkey: Implications on Portfolio Hedging and Diversification Opportunities. Sosyoekonomi. 2021; 29(47): 79-106.
IEEE V. Abioğlu , "Volatility Spillovers and Correlations between Oil Prices and Stock Sectors in Turkey: Implications on Portfolio Hedging and Diversification Opportunities", Sosyoekonomi, vol. 29, no. 47, pp. 79-106, Jan. 2021, doi:10.17233/sosyoekonomi.2021.01.04