Borsa Istanbul Sectoral Connectedness Analysis

Year 2024, Volume: 31 Issue: 1, 61 - 74, 26.03.2024

Erhan Uluceviz

https://doi.org/10.18657/yonveek.1284521

Abstract

This study examines the volatility connectedness among banks, industrials, and services subindices of Borsa Istanbul using the Diebold-Yılmaz connectedness index methodology. The findings indicate that the banks index typically acts as a net receiver of connectedness from industrials and services indices. If the banks index is considered a proxy for the financial side of the Turkish economy while the other two represent the real side, this result aligns with earlier observations on the connectedness between the real and financial sides of economies. Specifically, it suggests that when a proxy for the real side incorporates financial variables, the real side tends to be a net source of connectedness most of the time. As shock propagators, industrials play a dominant role, and the banks index often moves in the opposite direction to the other two sectors.
Key Words: Real and Financial Sectors, Financial Connectedness, Volatility, Borsa Istanbul.
JEL Classification: C32, E44, G10.

Keywords

real and financial sectors, connectedness, volatility, Borsa Istanbul

Borsa İstanbul Sektörel Bağlanmışlık Analizi

Abstract

Bu çalışma, Diebold-Yılmaz bağlanmışlık endeksi metodolojisi kapsamında Borsa İstanbul'un banka, sanayi ve hizmet alt endeksleri arasındaki volatilite bağlanmışlığını incelemektedir. Bulgular, bankalar endeksinin tipik olarak sanayi ve hizmetler endekslerinden net bir bağlanmışlık alıcısı olarak hareket ettiğini göstermektedir. Bankalar endeksinin Türkiye ekonomisinin finansal tarafını, diğer ikisinin ise reel tarafını temsil ettiği düşünülürse, bu sonuç ekonomilerin reel ve finansal tarafları arasındaki bağlanmışlığa ilişkin daha önceki gözlemlerle de uyumludur. Özellikle, reel taraf için kullanılan temsili değişken finansal değişkenleri içerdiğinde, reel tarafın çoğu zaman net bir bağlantılılık kaynağı olma eğiliminde olduğu gözlemlenmektedir. Şok yayıcı olarak, sanayi sektörü baskın bir rol oynamakta ve bankalar endeksi genellikle diğer iki sektörün tersi yönünde hareket etmektedir.
Anahtar Kelimeler: Reel ve Finansal Sektörler, Finansal Bağlanmışlık, Oynaklık, Borsa İstanbul.
JEL sınıflandırması: C32, E44, G10.

Keywords

reel ve finansal sektörler, bağlanmışlık, oynaklık, Borsa Istanbul

Borsa Istanbul Sectoral Connectedness Analysis

Abstract

This paper investigates volatility connectedness between banks, industrials and services subindices of Borsa İstanbul within Diebold-Yılmaz connectedness index methodology. We find that banks index is usually a net connectedness receiver from industrials and services indices. If banks index is considered a proxy for the financial side of the Turkish economy and the other two are deemed to represent the real side, the abovementioned result also confirms one of the earlier findings about connectedness between the real and the financial sides of economies, which mainly states that if a proxy for the real side of the economy is “contaminated” with financial variables; real side is usually a net source of connectedness most of the time. As shock propagators; industrials play a dominant role and banks index move in opposite direction with the other two sectors most of the time.

Keywords

real and financial sectors, connectedness, volatility, Borsa Istanbul

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