Borsa İstanbul'da Sektörel Volatilite: GARCH Tabanlı Karşılaştırmalı Bir Analiz

Öz

Bu çalışma, dinamik bir gelişmekte olan piyasa olan Borsa İstanbul'daki sektörel volatilite dinamiklerinin karmaşık yapısını Genelleştirilmiş Otoregresif Koşullu Değişen Varyans (GARCH) modelini kullanarak incelemiştir. Araştırma, 1 Mart 2013'ten 16 Ağustos 2023'e kadar uzanan bir veri setini analiz ederek, farklı sektörlerin piyasadaki şoklara nasıl tepki verdiğini ve bu tepkilerin sektörler arasında nasıl değiştiğini incelemiştir. Bulgular, sektörler arasında farklı volatilite davranışları olduğunu göstermiştir. BIST Finansal Kiralama Endeksi (FINK) şoklara karşı daha yüksek kırılganlık gösterirken, BIST Bankacılık Endeksi (BNK) ve BIST Mali Endeksi (MALI) nispeten daha ılımlı volatilite tepkileri sergilemiştir. Politika yapıcılar, düzenleyiciler ve yatırımcılar, risk yönetimi stratejilerini uyarlamak, piyasa istikrarını artırmak ve risk tercihlerine uygun portföyler oluşturmak için bu içgörüleri kullanabilirler. Bu araştırma, gelişmekte olan piyasalardaki sektörel dinamiklerin anlaşılmasına yardımcı olmayı hedeflemekte ve böylelikle sektörler, şoklar ve oynaklık modelleri arasındaki karmaşık etkileşime ilişkin gelecekteki araştırmalar için bir temel sunmaktadır.

Anahtar Kelimeler

• risk
• BIST
• volatilite
• GARCH

Sectoral Volatility in Borsa Istanbul: A GARCH-based Comparative Analysis

Öz

This study delved into the complex landscape of sectoral volatility dynamics within Borsa Istanbul, a dynamic emerging market, using the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model. By analyzing a dataset spanning from March 1, 2013, to August 16, 2023, the research examined how different sectors respond to market shocks and how these responses vary across sectors. The findings revealed distinct volatility behaviors among sectors, with the BIST Financial Leasing Index (FINK) displaying heightened vulnerability to external shocks, while the BIST Banking Index (BNK) and BIST Financial Index (MALI) exhibited comparatively milder volatility responses. Policymakers, regulators, and investors can utilize these insights to tailor risk management strategies, enhance market stability, and construct portfolios that align with risk preferences. This research enriches the understanding of sectoral dynamics in emerging markets, offering a foundation for future investigations into the intricate interplay between sectors, shocks, and volatility patterns.

Anahtar Kelimeler

• Volatility
• risk
• BIST
• GARCH

Kaynakça

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